Empirical asset return distributions: Is chaos the culprit?
(2004)
Journal Article
Muckley, C. (2004). Empirical asset return distributions: Is chaos the culprit?. Applied Economics Letters, 11(2), 81-86. https://doi.org/10.1080/1350485042000200150
This study employs Rescaled-range analysis; the Correlation Dimension test, and the BDS test, to analyse lengthy daily time series of financial data. Two equity and two commodity indices are examined. The results reject the hypothesis that the series... Read More about Empirical asset return distributions: Is chaos the culprit?.