1. The effect of round-off error on long memory processes. (2013). La Spada, Gabriele ; Lillo, Fabrizio.
   In: Papers.
   RePEc:arx:papers:1107.4476.

   Full description at Econpapers || Download paper

2. An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics. (2007). Nolte, Ingmar ; Bień-Barkowska, Katarzyna ; Pohlmeier, Winfried ; Bien, Katarzyna .
   In: CoFE Discussion Papers.
   RePEc:zbw:cofedp:0704.

   Full description at Econpapers || Download paper

3. Overreaction and multiple tail dependence at the high-frequency level: The copula rose. (2006). Ng, Wing Lon.
   In: SFB 649 Discussion Papers.
   RePEc:zbw:sfb649:sfb649dp2006-086.

   Full description at Econpapers || Download paper

4. A Multivariate Integer Count Hurdle model: Theory and application to exchange rate dynamics. (2006). Pohlmeier, Winfried ; Nolte, Ingmar ; Bień-Barkowska, Katarzyna ; Bien, Katarzyna .
   In: CoFE Discussion Papers.
   RePEc:zbw:cofedp:0606.

   Full description at Econpapers || Download paper

5. Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose. (2006). Ng, Wing Lon.
   In: SFB 649 Discussion Papers.
   RePEc:hum:wpaper:sfb649dp2006-086.

   Full description at Econpapers || Download paper

6. A note on the Wang and Wang measure of the quality of the compass rose. (2006). McKenzie, Michael D. ; Mitchell, Heather.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:30:y:2006:i:12:p:3519-3524.

   Full description at Econpapers || Download paper

7. The tick/volatility ratio as a determinant of the compass rose pattern. (2005). Gleason, Kimberly ; Mathur, Ike ; Lee, Chun.
   In: The European Journal of Finance.
   RePEc:taf:eurjfi:v:11:y:2005:i:2:p:93-109.

   Full description at Econpapers || Download paper

8. Price clustering and discreteness: is there chaos behind the noise?. (2005). Vorlow, Constantinos E. ; Antoniou, Antonios.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:348:y:2005:i:c:p:389-403.

   Full description at Econpapers || Download paper

9. Price Clustering and Discreteness: Is there Chaos behind the Noise?. (2004). Vorlow, Costas ; Antoniou, Antonios.
   In: Papers.
   RePEc:arx:papers:cond-mat/0407471.

   Full description at Econpapers || Download paper

10. GARCH estimation and discrete stock prices: an application to low-priced Australian stocks. (2003). Amilon, Henrik.
    In: Economics Letters.
    RePEc:eee:ecolet:v:81:y:2003:i:2:p:215-222.

    Full description at Econpapers || Download paper

11. A Score Test for Discreteness in GARCH Models. (2002). Amilon, Henrik.
    In: Research Paper Series.
    RePEc:uts:rpaper:76.

    Full description at Econpapers || Download paper

12. Visibility of the compass rose in financial asset returns: A quantitative study. (2002). Wang, Huaiqing.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:6:p:1099-1111.

    Full description at Econpapers || Download paper

13. The compass rose and random walk tests. (2002). fang, yue.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:39:y:2002:i:3:p:299-310.

    Full description at Econpapers || Download paper

14. An explanation for the compass rose pattern. (2000). Gleason, Kimberly C. ; Mathur, Ike ; Lee, Chun I..
    In: Economics Letters.
    RePEc:eee:ecolet:v:68:y:2000:i:2:p:127-133.

    Full description at Econpapers || Download paper

15. Tick size and the compass rose: further insights. (2000). Hudson, Robert ; Keasey, Kevin ; Wang, Eliza.
    In: Economics Letters.
    RePEc:eee:ecolet:v:68:y:2000:i:2:p:119-125.

    Full description at Econpapers || Download paper

1. Abhyankar, A. ; Copeland, L.S. ; Wong, W. Uncovering nonlinear structure in real-time stock indices: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100. 1997 Journal of Business and Economics Statistics. 15 1-14

2. Brock, W.A. ; Dechert, D. ; LeBaron, B. ; Scheinkman, J.A. . 1996 A test for independence based on the correlation dimension.. Econometric Reviews 15 197-235
   Paper not yet in RePEc: Add citation now
   

3. Crack, T.F. ; Ledoit, O. Robust structure without predictability: The `Compass Rose' pattern in the stock market. 1996 Journal of Finance. 51 751-762

4. Farmer, J.D. ; Sidorowich, J.J. Forecasting chaotic time-series. 1987 Physical Review Letters. 59 845-848
   Paper not yet in RePEc: Add citation now
   
5. Grassberger, P. ; Procaccia, I. . 1983 Characterization of strange attractors. Physical Review Letters. 48 346-349
   Paper not yet in RePEc: Add citation now
   

6. Kramer, W. ; Runde, R. Chaos and the compass rose. 1997 Economics Letters. 54 113-118

7. NYSE, 1997, Press Release
   Paper not yet in RePEc: Add citation now
   

8. Scheinkman, J.A. ; LeBaron, B. Nonlinear dynamics and stock returns. 1989 Journal of Business. 62 311-337

9. Szpiro, G.G. Cycles and circles in roundoff errors. 1993 Physical Review E. 47 4560-4563
   Paper not yet in RePEc: Add citation now
   

10. Szpiro, G.G. Noise in unspecified non-linear time-series. 1997 Journal of Econometrics. 78 229-255

1. Efficient Market Hypothesis in South Africa: Evidence from Linear and Nonlinear Unit Root Tests. (2015). Phiri, Andrew.
   In: Managing Global Transitions.
   RePEc:mgt:youmgt:v:13:y:2015:i:4:p:369-387.

   Full description at Econpapers || Download paper

2. Chaotic Structure of the BRIC Countries and Turkeys Stock Market. (2015). Gunay, Samet.
   In: International Journal of Economics and Financial Issues.
   RePEc:eco:journ1:2015-02-24.

   Full description at Econpapers || Download paper

3. Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models. (2012). Ersin, Özgür ; Bildirici, Melike.
   In: MPRA Paper.
   RePEc:pra:mprapa:40330.

   Full description at Econpapers || Download paper

4. MARTINGALES, NONLINEARITY, AND CHAOS. (2012). Serletis, Apostolos ; Barnett, William.
   In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
   RePEc:kan:wpaper:201225.

   Full description at Econpapers || Download paper

5. NONLINEAR AND COMPLEX DYNAMICS IN ECONOMICS. (2012). Serletis, Apostolos ; Barnett, William ; Medio, Alfredo .
   In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
   RePEc:kan:wpaper:201223.

   Full description at Econpapers || Download paper

6. Chaotic Time Series Analysis in Economics: Balance and Perspectives. (2011). Faggini, Marisa.
   In: Working papers.
   RePEc:tur:wpaper:25.

   Full description at Econpapers || Download paper

7. Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management. (2011). Borusyak, K..
   In: Journal of the New Economic Association.
   RePEc:nea:journl:y:2011:i:11:p:85-105.

   Full description at Econpapers || Download paper

8. A search for long-range dependence and chaotic structure in Indian stock market. (2011). Bhanumurthy, N R ; Mishra, Ritesh ; Sehgal, Sanjay.
   In: Review of Financial Economics.
   RePEc:eee:revfin:v:20:y:2011:i:2:p:96-104.

   Full description at Econpapers || Download paper

9. Recurrence quantification analysis of global stock markets. (2011). Caiado, Jorge ; Bastos, João.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:390:y:2011:i:7:p:1315-1325.

   Full description at Econpapers || Download paper

10. Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis. (2011). Hallin, Marc ; Kley, Tobias ; Volgushev, Stanislav ; Dette, Holger.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/104763.

    Full description at Econpapers || Download paper

11. Testing for Neglected Nonlinearity in Weekly Foreign Exchange Rates. (2011). Sadique, Shibley M..
    In: Review of Economics & Finance.
    RePEc:bap:journl:110306.

    Full description at Econpapers || Download paper

12. Financial Integration of North Africa Stock Markets. (2009). Onour, Ibrahim.
    In: MPRA Paper.
    RePEc:pra:mprapa:14938.

    Full description at Econpapers || Download paper

13. Is Malaysian Stock Market Efficient? Evidence from Threshold Unit Root Tests. (2009). Munir, Qaiser ; Mansur, Kasim.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-09-00250.

    Full description at Econpapers || Download paper

14. Is There Any International Diversification Benefits in ASEAN Stock Markets?. (2009). Liew, Venus ; Lim, Kian-Ping ; Lee, Hock-Ann.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08f30074.

    Full description at Econpapers || Download paper

15. Financial Integration of North Africa Stock Markets. (2009). Onour, Ibrahim.
    In: API-Working Paper Series.
    RePEc:api:apiwps:0908.

    Full description at Econpapers || Download paper

16. Random walk and breaking trend in financial series: An econometric critique of unit root tests. (2008). Saadi, Samir ; Rahman, Abdul.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:17:y:2008:i:3:p:204-212.

    Full description at Econpapers || Download paper

17. A dynamic factor approach to nonlinear stability analysis. (2008). Shintani, Mototsugu.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:9:p:2788-2808.

    Full description at Econpapers || Download paper

18. Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries. (2008). Chen, Shyh-Wei.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2008:i:11:p:1-11.

    Full description at Econpapers || Download paper

19. Rational Bubbles in the Korea Stock Market? Further Evidence based on Nonlinear and Nonparametric Cointegration Tests. (2008). Chang, Tsangyao ; Liu, Wen-Chi.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08c30021.

    Full description at Econpapers || Download paper

20. Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries. (2008). Chen, Shyh-Wei.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08c20012.

    Full description at Econpapers || Download paper

21. A Nonparametric Variance-Ratio Test of the Behavior of U.K. Real Estate and Construction Indices. (2007). Belaire-Franch, Jorge ; McGreal, Stanley ; Opong, Kwaku K. ; Webb, James R..
    In: International Real Estate Review.
    RePEc:ire:issued:v:10:n:02:2007:p:94-112.

    Full description at Econpapers || Download paper

22. Convergencia y Estabilidad de los Tipos de Cambio Europeos: Una Aplicación de Exponentes de Lyapunov. (2007). Mateos de Cabo, Ruth ; Gimeno, Ricardo ; Escot, Lorenzo ; Olmedo, Elena.
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:44:y:2007:i:129:p:91-108.

    Full description at Econpapers || Download paper

23. Asymmetric temporary and permanent stock-price innovations. (2007). Shively, Philip A..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:1:p:120-130.

    Full description at Econpapers || Download paper

24. Stock Prices and Dividends in Taiwans Stock Market: Evidence Based on Time-Varying Present Value Model. (2007). Chen, Yahn-Shir ; Chang, Hsu-Ling ; Su, Chi-Wei.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:7:y:2007:i:4:p:1-12.

    Full description at Econpapers || Download paper

25. Stock Prices and Dividends in Taiwans Stock Market: Evidence Based on Time-Varying Present Value Model. (2007). Chen, Yahn-Shir ; Chang, Hsu-Ling ; Su, Chi-Wei.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-07g10003.

    Full description at Econpapers || Download paper

26. Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network. (2006). Georgoutsos, Dimitris ; Bekiros, Stelios.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:06-16.

    Full description at Econpapers || Download paper

27. Are the Australian and New Zealand stock prices nonlinear with a unit root?. (2005). Narayan, Paresh.
    In: Applied Economics.
    RePEc:taf:applec:v:37:y:2005:i:18:p:2161-2166.

    Full description at Econpapers || Download paper

28. A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs. (2005). Belaire-Franch, Jorge ; Opong, Kwaku.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:24:y:2005:i:1:p:93-107.

    Full description at Econpapers || Download paper

29. Does Rational Bubbles Exist in the Taiwan Stock Market? Evidence from a Nonparametric Cointegration Test. (2005). Chang, Tsangyao ; Chu, Hsiao-Ping ; Su, Chi-Wei.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2005:i:41:p:1-9.

    Full description at Econpapers || Download paper

30. Does Rational Bubbles Exist in the Taiwan Stock Market? Evidence from a Nonparametric Cointegration Test. (2005). Chang, Tsangyao ; Chu, Hsiao-Ping ; Su, Chi-Wei.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-05c50005.

    Full description at Econpapers || Download paper

31. Sources of Industry and Country Effects in Firm Level Returns. (2004). Phylaktis, Kate ; Xia, Lichuan .
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:10.

    Full description at Econpapers || Download paper

32. A Dynamic Factor Approach to Nonlinear Stability Analysis. (2004). Shintani, Mototsugu.
    In: Levine's Bibliography.
    RePEc:cla:levrem:122247000000000621.

    Full description at Econpapers || Download paper

33. Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies: The Case of the Kuala Lumpur Stock Exchange. (2003). Liew, Venus ; Lim, Kian-Ping ; Wong, Hock-Tsen.
    In: Finance.
    RePEc:wpa:wuwpfi:0312012.

    Full description at Econpapers || Download paper

34. International Diversification Benefits in ASEAN Stock Markets: a Revisit. (2003). Liew, Venus ; Lim, Kian-Ping ; Lee, Hock-Ann.
    In: Finance.
    RePEc:wpa:wuwpfi:0308003.

    Full description at Econpapers || Download paper

35. Testing for Non-Linearity in ASEAN Financial Markets. (2003). Liew, Venus ; Lim, Kian-Ping.
    In: Finance.
    RePEc:wpa:wuwpfi:0308002.

    Full description at Econpapers || Download paper

36. Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets. (2003). Liew, Venus ; Lim, Kian-Ping ; Habibullah, Muzafar Shah ; Azali, M..
    In: Finance.
    RePEc:wpa:wuwpfi:0308001.

    Full description at Econpapers || Download paper

37. The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets. (2003). Eldridge, R. M. ; Stevenson, Max ; Peat, Maurice.
    In: Working Paper Series.
    RePEc:uts:wpaper:122.

    Full description at Econpapers || Download paper

38. Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos. (2003). Shintani, Mototsugu ; LINTON, OLIVER.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:2097.

    Full description at Econpapers || Download paper

39. The nonlinear dynamics of stock prices. (2003). Shively, Philip A..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:43:y:2003:i:3:p:505-517.

    Full description at Econpapers || Download paper

40. Explaining movements in UK stock prices:. (2003). Sensier, Marianne ; Osborn, Denise ; Aslanidis, Nektarios.
    In: Working Papers.
    RePEc:crt:wpaper:0302.

    Full description at Econpapers || Download paper

41. Nonparametric neutral network estimation of lyapunov exponents and a direct test for chaos. (2002). Shintani, Mototsugu ; LINTON, OLIVER.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:58170.

    Full description at Econpapers || Download paper

42. Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos. (2002). Shintani, Mototsugu ; LINTON, OLIVER.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:2093.

    Full description at Econpapers || Download paper

43. The dual contributions of information instruments in return models: magnitude and direction predictability. (2002). Sivakumar, Ranjini ; Turtle, Harry ; Korkie, Bob .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:5:p:511-523.

    Full description at Econpapers || Download paper

44. Entropy and predictability of stock market returns. (2002). Racine, Jeffrey ; Maasoumi, Esfandiar.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:107:y:2002:i:1-2:p:291-312.

    Full description at Econpapers || Download paper

45. Chaotic behavior in national stock market indices: New evidence from the close returns test. (2001). McKenzie, Michael D..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:12:y:2001:i:1:p:35-53.

    Full description at Econpapers || Download paper

46. Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management. (2001). KÜÇÜKÖZMEN, CUMHUR ; Harris, Richard ; Harris, Richard D. F., .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:134:y:2001:i:3:p:481-492.

    Full description at Econpapers || Download paper

47. Martingales, nonlinearity, and chaos. (2000). Serletis, Apostolos ; Barnett, William.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:24:y:2000:i:5-7:p:703-724.

    Full description at Econpapers || Download paper

48. Martingales, Nonlinearity, and Chaos. (1998). Serletis, Apostolos ; Barnett, William.
    In: Econometrics.
    RePEc:wpa:wuwpem:9805003.

    Full description at Econpapers || Download paper

49. Tick size, the compass rose and market nanostructure. (1998). Szpiro, George G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:22:y:1998:i:12:p:1559-1569.

    Full description at Econpapers || Download paper

50. Nonlinear and Complex Dynamics in Economics. (1997). Serletis, Apostolos ; Medio, Alfredo ; Barnett, William.
    In: Econometrics.
    RePEc:wpa:wuwpem:9709001.

    Full description at Econpapers || Download paper

Report date: 2025-09-30 20:24:27 || Missing content? Let us know