Using the Correlation Dimension to Detect non-linear dynamics

Theodore Panagiotidis and David Chappell (d.chappell@shef.ac.uk)
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David Chappell: University of Sheffield

Discussion Paper Series from Department of Economics, Loughborough University

Abstract: The standardised residuals from GARCH models fitted to three stock indices of the Athens Stock Exchange are examined for evidence of chaotic behaviour. In each case the correlation dimension is calculated for a range of embedding dimensions. The results do not support the hypothesis of chaotic behaviour; it appears that each set of residuals is iid.

Keywords: Non-linear Dynamics; Stock Indices; Chaos; Correlation Dimension. (search for similar items in EconPapers)
JEL-codes: C22 C53 G10 (search for similar items in EconPapers)
Date: 2004-11, Revised 2004-11
New Economics Papers: this item is included in nep-ets and nep-fin
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