Simple deterministic systems are capable of generating chaotic output that "mimics" the output of stochastic systems. For this reason, algorithms have been developed to distinguish between these two alternatives. These algorithms and related statistical tests are also useful in detecting the presence of nonlinear dependence in time series. In this article, the authors apply these procedures to stock returns and find evidence that indicates the presence of nonlinear dependence on weekly returns from the Center for Research in Security Prices value-weighted index. Copyright 1989 by the University of Chicago.
{"title":"Nonlinear Dynamics and Stock Returns","authors":"J. Scheinkman, B. LeBaron","doi":"10.1086/296465","DOIUrl":"https://doi.org/10.1086/296465","url":null,"abstract":"Simple deterministic systems are capable of generating chaotic output that \"mimics\" the output of stochastic systems. For this reason, algorithms have been developed to distinguish between these two alternatives. These algorithms and related statistical tests are also useful in detecting the presence of nonlinear dependence in time series. In this article, the authors apply these procedures to stock returns and find evidence that indicates the presence of nonlinear dependence on weekly returns from the Center for Research in Security Prices value-weighted index. Copyright 1989 by the University of Chicago.","PeriodicalId":255328,"journal":{"name":"Cycles and Chaos in Economic Equilibrium","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116934138","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Stochastic Equilibrium Oscillations","authors":"J. Benhabib, K. Nishimura","doi":"10.2307/2526550","DOIUrl":"https://doi.org/10.2307/2526550","url":null,"abstract":"","PeriodicalId":255328,"journal":{"name":"Cycles and Chaos in Economic Equilibrium","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1989-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132517010","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1988-10-01DOI: 10.1016/0022-0531(88)90149-4
B. Jullien
{"title":"Competitive Business Cycles in an Overlapping Generations Economy with Productive Investment","authors":"B. Jullien","doi":"10.1016/0022-0531(88)90149-4","DOIUrl":"https://doi.org/10.1016/0022-0531(88)90149-4","url":null,"abstract":"","PeriodicalId":255328,"journal":{"name":"Cycles and Chaos in Economic Equilibrium","volume":"95 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1988-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127101909","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1985-09-01DOI: 10.1007/978-3-642-51645-0_2
Jean-Michel Grandmont
{"title":"On Endogenous Competitive Business Cycles","authors":"Jean-Michel Grandmont","doi":"10.1007/978-3-642-51645-0_2","DOIUrl":"https://doi.org/10.1007/978-3-642-51645-0_2","url":null,"abstract":"","PeriodicalId":255328,"journal":{"name":"Cycles and Chaos in Economic Equilibrium","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1985-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121083826","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1979-12-01DOI: 10.1007/978-3-642-22397-6_3
J. Benhabib, K. Nishimura
{"title":"The Hopf Bifurcation and the Existence and Stability of Closed Orbits in Multisector Models of Optimal Economic Growth","authors":"J. Benhabib, K. Nishimura","doi":"10.1007/978-3-642-22397-6_3","DOIUrl":"https://doi.org/10.1007/978-3-642-22397-6_3","url":null,"abstract":"","PeriodicalId":255328,"journal":{"name":"Cycles and Chaos in Economic Equilibrium","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1979-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133589788","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Dynamical Systems that Solve Continuous-Time Concave Optimization Problems:","authors":"L. Montrucchio","doi":"10.2307/j.ctv19fvxt1.15","DOIUrl":"https://doi.org/10.2307/j.ctv19fvxt1.15","url":null,"abstract":"","PeriodicalId":255328,"journal":{"name":"Cycles and Chaos in Economic Equilibrium","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128768122","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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