CHAOTIC BEHAVIOR IN EXCHANGE-RATE SERIES - 1ST RESULTS FOR THE PESETA-UNITED-STATES DOLLAR CASE

被引：30

作者：

BAJORUBIO, O

FERNANDEZRODRIGUEZ, F

SOSVILLARIVERO, S

机构：

[1] INST FISCAL STUDIES,MADRID,SPAIN

[2] UNIV LAS PALMAS,LAS PALMAS,SPAIN

[3] UNIV COMPLUTENSE MADRID,MADRID 3,SPAIN

来源：

ECONOMICS LETTERS | 1992年 / 39卷 / 02期

关键词：

D O I：

10.1016/0165-1765(92)90291-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We test for the presence of deterministic chaos on daily data for the (spot and forward) Spanish Peseta-U.S. Dollar exchange rates. The finding of a chaotic behaviour in the series allows us to make short-run predictions which in general outperform those from the random walk model.

引用

页码：207 / 211

页数：5

共 15 条

[1]

BAJORUBIO O, 1992, IN PRESS CHAOTIC BEH

[2]

DEGRAUWE P, 1990, CEPR370 DISC PAP

[3] NONPARAMETRIC EXCHANGE-RATE PREDICTION [J].