An application of Rolling chaos 0-1 test on Stock Market
In this paper we apply a rolling 0-1 test for chaos on different stock market indices returns in the world, considering different time period windows to capture the effects of adding new information. A rolling sample is defined for each index and at the same time, wavelet denoising has been employed...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad de Chile
2013-02-01
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| Series: | Estudios de Administración |
| Online Access: | https://estudiosdeadministracion.uchile.cl/index.php/EDA/article/view/56390 |