Nonlinear time series, complexity theory and finance

Nonlinear time series, complexity theory and finance (1995)

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by William A. Brock , Pedro J. F. de Lima

Venue:	Handbook of Statistics Volume 14: Statistical Methods in Finance
Citations:	10 - 0 self

BibTeX

@INPROCEEDINGS{Brock95nonlineartime,
    author = {William A. Brock and Pedro J. F. de Lima},
    title = {Nonlinear time series, complexity theory and finance},
    booktitle = {Handbook of Statistics Volume 14: Statistical Methods in Finance},
    year = {1995},
    pages = {317--361},
    publisher = {Elsevier}
}

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Citations

783	The Econometrics of Financial Markets - Campbell, Lo, et al. - 1997
693	Generalized autoregressive conditional heteroskedasticity - Bollerslev - 1986
533	Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation - Engle - 1982
515	Statistics for Long-Memory Processes - Beran - 1994
415	Heteroskedasticity and autocorrelation consistent covariance matrix estimation - Andrews - 1991
388	The Variation of Certain Speculative Prices - Mandelbrot - 1963
356	On the Relation Between the Expected Value and Volatility of Nominal Excess Return on Stocks - Glosten, Jagannathan, et al. - 1992
353	Conditional heteroskedasticity in asset returns: a new approach - Nelson - 1991
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256	Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance - SAMORODNITSKY, S - 1994
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218	A subordinated stochastic process model with finite variance for speculative prices - Clark - 1973
214	Asset prices in an exchange economy - Lucas - 1978
200	A long memory property of stock market returns and a new model - Ding, Granger, et al. - 1993
190	A simple general approach to inference about the tail of a distribution - Hill - 1975
188	ARCH models - Bollerslev, Engle, et al. - 1994
175	Permanent and temporary components of stock prices - Fama, French - 1988
164	Simple technical trading rules and the stochastic properties of stock returns - Brock, Lakonishok, et al. - 1992
163	Bounded Rationality in Macroeconomics - Sargent - 1993
157	A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration.” Econometrica 57(5 - McFadden - 1989
151	Long-term storage capacity of reservoirs - HURST - 1951
149	Fractional differencing - Hosking - 1981
139	Fractionally integrated generalized autoregressive conditional heteroskedasticity - Baillie, Bollerslev, et al. - 1996
139	Simulated moments estimation of Markov models of asset prices - Duffie, Singleton - 1993
134	Long-memory processes and fractional integration in econometrics - Baillie - 1996
132	D: Simulation and the Asymptotics of Optimization Estimators - Pakes, Pollard - 1989
112	Long memory relationships and the aggregation of dynamic models - GRANGER - 1980
112	Autoregressive Conditional Heteroskedasticity and Changes in Regime - Hamilton, Susmel - 1994
97	Long-term memory in stock market prices - Lo - 1991
92	Tests for specification errors in classical linear least squares regression analysis - Ramsey - 1969
88	prices and volume - GALLANT, ROSSI, et al. - 1992
84	Chaos and Nonlinear Dynamics: Applications to Financial Markets - Hsieh - 1991
83	Modeling and pricing long-memory in stock market volatility - Bollerslev, Mikkelsen - 1996
80	How Big is the Random Walk in GNP - Cochrane, H - 1988
74	Nonparametric estimators for time series - Robinson - 1983
70	Entropy, Large Deviations and Statistical Mechanics - Ellis - 1985
66	Artificial Economic Life: A Simple Model of a Stock - Arthur, Holland, et al. - 1994
64	From the bird’s eye to the microscope: a survey of new stylized facts of the intra-day foreign exchange markets, Finance and Stochastics - Guillaume, Dacorogna, et al. - 1997
64	Does the Stock Market Rationally Reflect Fundamental Values? Journal of Finance 41, 591-601. 30 Asset 1 overpriced 1.5 Over− and underpriced assets 0.2 - Summers - 1986
62	Nonlinear Dynamic Structures - Gallant, Rossi, et al. - 1993
61	Testing for Gaussianity and Linearity of Stationary Time Series - Hinich - 1982
61	A model of intertemporal asset prices under asymmetric information, The Review of Economic Studies 60 - Wang - 1993
60	Structural Estimation of Markov Decision Processes - Rust - 1994
55	Persistence in Variance, Structural Change, and the GARCH Model - Lamoureux, Lastrapes - 1990
53	A Consistent Conditional Moment Test of Functional Form - Bierens - 1990
52	Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility - Andersen - 1996
52	On some simple estimates of an exponent of regular variation - Hall - 1982
50	A test for independence based on the correlation dimension - Brock, Dechert, et al. - 1996
49	Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relantion - Hiemstra, Jones - 1994
49	Robust R/S analysis of long run serial correlation - Mandelbrot, Taqqu - 1979