The American Economist · 1991 · 15 citations · 12 references
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsInternational FinanceExchange Rate DeterminationExchange RatesFinancial CrisesForeign Exchange ManagementForeign Exchange MarketsForeign Exchange RiskCurrency CrashesCurrency ForecastingStock Market Crashes
This paper explores the use of a measure of chaotic behavior, the correlation dimension, in explaining the unpredictable fluctuations in foreign exchange rates. The resulting calculations indicate that the Singapore dollar has a smaller correlation dimension than four European currencies, consistent with the view that the Singapore dollar is a highly managed currency. We also utilize the correlation dimension to determine the impact of the stock market crash of October 19, 1987 on the five currencies. The four European currencies exhibit a statistically significant decrease in their correlation dimensions, while the Singapore dollar displays no significant change. This is consistent with a hypothesis of a an intervention in the management of the European currencies.
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Deterministic Nonperiodic Flow
Edward N. Lorenz · Journal of the Atmospheric Sciences · 1963 · 19.3K citations · Full text
Bootstrap Methods: Another Look at the Jackknife
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Expectations and Exchange Rate Dynamics
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