Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series

2020 ◽  
pp. 3-34
Author(s):  
Gilles Dufrénot ◽  
Takashi Matsuki ◽  
Kimiko Sugimoto
Keyword(s):  
Time Series ◽  
Economic Time Series ◽  
New Approach ◽  
Economic Time

A NEW APPROACH TO TESTING FOR CHAOS, WITH APPLICATIONS IN FINANCE AND ECONOMICS

1993 ◽  
Vol 03 (03) ◽  
pp. 583-587 ◽  
Author(s):  
CLAIRE G. GILMORE
Keyword(s):  
Time Series ◽  
Chaotic Behavior ◽  
Noisy Data ◽  
Data Sets ◽  
Economic Time Series ◽  
Topological Approach ◽  
New Approach ◽  
Physics Literature ◽  
Economic Time ◽  
Adequate Test

Whether certain financial and economic time series exhibit chaotic behavior is an issue currently in dispute. Empirical research on chaotic behavior in such data has been hampered by lack of an adequate test. Metric methods do not produce reliable results when applied to small, noisy data sets. Thus, reported results have been inconclusive. Here we apply a new, topological approach to analyzing for chaos, recently developed in the physics literature, to a number of financial and economic series previously subjected to metric tests. The results of the topological test are compared with those reported in the literature using metric methods.

Benchmarking of Economic Time Series

1987 ◽  
Vol 82 (400) ◽  
pp. 1064-1071 ◽  
Author(s):  
Steven C. Hillmer ◽  
Abdelwahed Trabelsi
Keyword(s):  
Time Series ◽  
Economic Time Series ◽  
Economic Time
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