CINECA IRIS Institutional Research Information System
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
EnglishThe aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents’ beliefs, in order to explore non-linearities and possible chaotic behavior. The theoretical model contains an intrinsic non-linearity that gives rise to a jerk differential equation, which is in principle capable of generating chaos. The model is econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our results indicate that the possibility of chaotic dynamics in our model is rejected.
Scheda prodotto non validato
Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo
| Titolo: | The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs |
| Autori: | |
| Data di pubblicazione: | 2012 |
| Rivista: | |
| Abstract: | The aim of this paper is to develop a continuous time exchange rate model that allows for heterogeneity of the agents’ beliefs, in order to explore non-linearities and possible chaotic behavior. The theoretical model contains an intrinsic non-linearity that gives rise to a jerk differential equation, which is in principle capable of generating chaos. The model is econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our results indicate that the possibility of chaotic dynamics in our model is rejected. |
| Handle: | http://hdl.handle.net/11580/19676 |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
File in questo prodotto:
http://hdl.handle.net/11580/19676
Copyright © 2020