Using the correlation dimension to detect non-linear dynamics: Evidence from the Athens Stock Exchange
David Chappell and
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David Chappell: Sheffield University
Econometrics from University Library of Munich, Germany
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: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 11 pages
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Note: Type of Document - pdf; pages: 11
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0504005
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