Matches in SemOpenAlex for { <https://semopenalex.org/work/W2019913140> ?p ?o ?g. }
Showing items 1 to 96 of
96
with 100 items per page.
- W2019913140 endingPage "473" @default.
- W2019913140 startingPage "465" @default.
- W2019913140 abstract "This paper investigates the dynamic properties of high frequency foreign exchange rate returns. Using hourly data for four exchanges rates, the British Pound, the Deutschemark, the Japanese Yen and Swiss Franc, we attempt to differentiate between stochastic and deterministic behavior in hourly rates of returns. While the autocorrelation coefficients and the Brock-Dechert-Scheinkman test point to the presence of some non-linear dependence, correlation dimension estimates reveal little evidence in favor of low-dimensional chaos. The analysis appears to support the view that although it is not possible to exploit deterministic non-linear dependence in exchange rate time series in order to improve short-term forecasting, non-linear stochastic models can be used for conditional volatility forecasts." @default.
- W2019913140 created "2016-06-24" @default.
- W2019913140 creator A5028501165 @default.
- W2019913140 creator A5060042014 @default.
- W2019913140 date "1996-12-01" @default.
- W2019913140 modified "2023-09-24" @default.
- W2019913140 title "Distinguishing between stochastic and deterministic behavior in high frequency foreign exchange rate returns: Can non-linear dynamics help forecasting?" @default.
- W2019913140 cites W1582187563 @default.
- W2019913140 cites W1973127032 @default.
- W2019913140 cites W1987203652 @default.
- W2019913140 cites W1989824032 @default.
- W2019913140 cites W2008592128 @default.
- W2019913140 cites W2010187498 @default.
- W2019913140 cites W2016004282 @default.
- W2019913140 cites W2031716569 @default.
- W2019913140 cites W2054034433 @default.
- W2019913140 cites W2057418282 @default.
- W2019913140 cites W2058742375 @default.
- W2019913140 cites W2082179812 @default.
- W2019913140 cites W2091029773 @default.
- W2019913140 cites W2096748467 @default.
- W2019913140 cites W3124257956 @default.
- W2019913140 cites W3124263521 @default.
- W2019913140 cites W4241213040 @default.
- W2019913140 cites W4244036655 @default.
- W2019913140 cites W4249610976 @default.
- W2019913140 doi "https://doi.org/10.1016/s0169-2070(96)00686-3" @default.
- W2019913140 hasPublicationYear "1996" @default.
- W2019913140 type Work @default.
- W2019913140 sameAs 2019913140 @default.
- W2019913140 citedByCount "48" @default.
- W2019913140 countsByYear W20199131402012 @default.
- W2019913140 countsByYear W20199131402014 @default.
- W2019913140 countsByYear W20199131402015 @default.
- W2019913140 countsByYear W20199131402017 @default.
- W2019913140 countsByYear W20199131402018 @default.
- W2019913140 countsByYear W20199131402021 @default.
- W2019913140 countsByYear W20199131402022 @default.
- W2019913140 crossrefType "journal-article" @default.
- W2019913140 hasAuthorship W2019913140A5028501165 @default.
- W2019913140 hasAuthorship W2019913140A5060042014 @default.
- W2019913140 hasConcept C105795698 @default.
- W2019913140 hasConcept C110601934 @default.
- W2019913140 hasConcept C134306372 @default.
- W2019913140 hasConcept C135205223 @default.
- W2019913140 hasConcept C139719470 @default.
- W2019913140 hasConcept C143724316 @default.
- W2019913140 hasConcept C149782125 @default.
- W2019913140 hasConcept C151730666 @default.
- W2019913140 hasConcept C162324750 @default.
- W2019913140 hasConcept C163175372 @default.
- W2019913140 hasConcept C26546657 @default.
- W2019913140 hasConcept C2776988154 @default.
- W2019913140 hasConcept C33923547 @default.
- W2019913140 hasConcept C40636538 @default.
- W2019913140 hasConcept C5297727 @default.
- W2019913140 hasConcept C86803240 @default.
- W2019913140 hasConcept C91602232 @default.
- W2019913140 hasConceptScore W2019913140C105795698 @default.
- W2019913140 hasConceptScore W2019913140C110601934 @default.
- W2019913140 hasConceptScore W2019913140C134306372 @default.
- W2019913140 hasConceptScore W2019913140C135205223 @default.
- W2019913140 hasConceptScore W2019913140C139719470 @default.
- W2019913140 hasConceptScore W2019913140C143724316 @default.
- W2019913140 hasConceptScore W2019913140C149782125 @default.
- W2019913140 hasConceptScore W2019913140C151730666 @default.
- W2019913140 hasConceptScore W2019913140C162324750 @default.
- W2019913140 hasConceptScore W2019913140C163175372 @default.
- W2019913140 hasConceptScore W2019913140C26546657 @default.
- W2019913140 hasConceptScore W2019913140C2776988154 @default.
- W2019913140 hasConceptScore W2019913140C33923547 @default.
- W2019913140 hasConceptScore W2019913140C40636538 @default.
- W2019913140 hasConceptScore W2019913140C5297727 @default.
- W2019913140 hasConceptScore W2019913140C86803240 @default.
- W2019913140 hasConceptScore W2019913140C91602232 @default.
- W2019913140 hasIssue "4" @default.
- W2019913140 hasLocation W20199131401 @default.
- W2019913140 hasOpenAccess W2019913140 @default.
- W2019913140 hasPrimaryLocation W20199131401 @default.
- W2019913140 hasRelatedWork W1980437232 @default.
- W2019913140 hasRelatedWork W2019913140 @default.
- W2019913140 hasRelatedWork W2049771617 @default.
- W2019913140 hasRelatedWork W2086639218 @default.
- W2019913140 hasRelatedWork W2345198011 @default.
- W2019913140 hasRelatedWork W2508385371 @default.
- W2019913140 hasRelatedWork W3121508428 @default.
- W2019913140 hasRelatedWork W3125721575 @default.
- W2019913140 hasRelatedWork W47810221 @default.
- W2019913140 hasRelatedWork W2133602554 @default.
- W2019913140 hasVolume "12" @default.
- W2019913140 isParatext "false" @default.
- W2019913140 isRetracted "false" @default.
- W2019913140 magId "2019913140" @default.
- W2019913140 workType "article" @default.