Consistent estimation to determine the embedding dimension in financial data; with an application to the dollar/deutschmark exchange rate

Dominique Guegan and Guillaume Leorat

The European Journal of Finance, 1997, vol. 3, issue 3, 231-242

Abstract: To detect chaos on observational data, we first need to know the embedding dimension. We propose a consistent approach to estimate this dimension using the theoretical work of Bosq and Guegan (1994) and we apply the results to real financial data.

Keywords: Dimension Of Correlation Dynamical Systems Embedding Dimension Kernel Estimates Lyapunov Exponents Non-PARAMETRIC Estimation (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1080/135184797337453

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