Investigating existence of chaos in short and long term dynamics of Moroccan exchange rates
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- 作者：Salim Lahmiri slahmiri@esca.ma" class="auth_mail" title="E-mail the corresponding author
- 关键词：Exchange rate ; Wavelet transform ; Chaos ; Lyapunov exponent ; Neural networks
- 刊名：Physica A: Statistical Mechanics and its Applications
- 出版年：2017
- 出版时间：1 January 2017
- 年：2017
- 卷：465
- 期：Complete
- 页码：655-661
- 全文大小：491 K
文摘
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Chaotic properties of several Moroccan exchange rates are investigated.
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Stationary wavelet transform is applied to exchange rate series to obtain both its long and short term trends.
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Lyapunov exponent is estimated for each type of trend.
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The hypothesis of chaotic structure is accepted for currency levels but it is rejected for currency returns on both long and short term dynamics.
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Long and short term dynamics of some Moroccan exchange rates exhibit different chaotic patterns.