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| Author: | Guegan, D. Leorat, G. |
| Title: | Consistent estimation to determine the embedding dimension in financial data; with an application to the dollar/deutschmark exchange rate |
| Journal: | European Journal of Finance
1997 : SEP, Vol. 3:3, p. 231-242 |
| Index terms: | EXCHANGE RATES DOLLARS DEUTSCHMARKS |
| Language: | eng |
| Abstract: | To detect chaos on observational data, we first need to know the embedding dimension using the theoretical work of Bosq and Guegan (1994) and we apply the results to real financial data. The recent developments of investigation of financial and econometric series has led a lot of people to be interested in the chaotic approach. Thus, to detect chaos, it is necessary to have consistent tools to identify it from observational data. In chaos theory an important notion concerns the knowledge of the embedding dimension. In this paper we focus on this notion and we treat real data, specifically the intraday dollar/deutschmark exchange rate. |
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