Testing for Nonlinearity and Chaoticity in Ezchange Rate Time Series
The nonlinearity and chaoticity of exchange rate time series is investigated with complex systems theory. The data set that has been used in this analysis consists of 4 daily exchange rate recorded. The BDs test and surrogate data method indicate that the exchange rate time series of Canadian Dollars to United States Dollar (CD/USD), Japanese Yen to United States Dollar (JY/USD) and United States Dollar to British Pound (USD/BP) exhibit nonlinearity, while the exchange rate time series of United States Dollar to EURO (USD/EURO) is linear. The positive largest Lyapunov exponents have provided evidence for the possibility of deterministic chaos in the daily exchange rate time series of CD/USD, JY/USD and USD/BP. The research has important theoretical and practical significances for phase-space reconstruction, modeling and prediction of the exchange rate time series.
Ezchange rate Nonlinearity Chaos Time series
LIU Lixia
School of Economics, Tianjin University of Commerce, P.R.China, 300134
国际会议
天津
英文
242-245
2009-12-12（万方平台首次上网日期，不代表论文的发表时间）