Consistent estimation to determine the embedding dimension in financial data: with an application to the dollar/deutschmark exchange rate

Abstract : To detect chaos on observational data, we first need to know the embedding dimension. We propose a consistent approach to estimate this dimension using the theoretical work of Bosq and Guégan (1994) and we apply the results to real financial data.
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https://halshs.archives-ouvertes.fr/halshs-00194487
Contributor : Dominique Guégan <>
Submitted on : Thursday, December 6, 2007 - 3:56:21 PM
Last modification on : Tuesday, April 2, 2019 - 2:25:16 AM

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Dominique Guegan, Guillaume Léorat. Consistent estimation to determine the embedding dimension in financial data: with an application to the dollar/deutschmark exchange rate. European Journal of Finance, Taylor & Francis (Routledge), 1997, 3 (3), pp.231 - 242. ⟨10.1080/135184797337453⟩. ⟨halshs-00194487⟩

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