Chaos and Nonlinear Dynamics: Application to Financial Markets

A new look at the statistical model identification

1974 • 46,507 citations

Estimating the Dimension of a Model

1978 • 43,634 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Deterministic Nonperiodic Flow

1963 • 18,282 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

Robust Locally Weighted Regression and Smoothing Scatterplots

1979 • 10,049 citations

Detecting strange attractors in turbulence

1981 • 9,723 citations

Measuring the strangeness of strange attractors

1983 • 5,440 citations

Locally Weighted Regression: An Approach to Regression Analysis by Local Fitting

1988 • 5,073 citations

The variation of certain speculative prices

1997 • 4,766 citations

The Variation of Certain Speculative Prices

1963 • 4,461 citations

Expected stock returns and volatility

1987 • 4,291 citations

Oscillation and Chaos in Physiological Control Systems

1977 • 3,922 citations

Chaos: Making a new science

1989 • 3,664 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

A two-dimensional mapping with a strange attractor

1976 • 2,788 citations

Chaos: The Making of a New Science

1988 • 2,722 citations

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

1987 • 2,601 citations

Dynamical Systems and Turbulence

1981 • 2,117 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

Consistent Nonparametric Regression

1977 • 1,745 citations

Stock Prices and Volume

1992 • 1,388 citations

Estimation of the Kolmogorov entropy from a chaotic signal

1983 • 1,376 citations

Threshold Autoregression, Limit Cycles and Cyclical Data

1980 • 1,177 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,128 citations

DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

1983 • 1,124 citations

ARCH models as diffusion approximations

1990 • 974 citations

A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

1974 • 921 citations

Studies of stock market volatility changes

1976 • 846 citations

Nonlinear Dynamics and Stock Returns

1989 • 784 citations

Testing for Nonlinear Dependence in Daily Foreign Exchange Rates

1989 • 683 citations

Economic prediction using neural networks: the case of IBM daily stock returns

1988 • 674 citations

Nonparametric exchange rate prediction?

1990 • 509 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

An Introduction to Bilinear Time Series Models

1980 • 484 citations

Chaos: Significance, Mechanism, and Economic Applications

1989 • 473 citations

Is the business cycle characterized by deterministic chaos?

1988 • 421 citations

Some Properties of Symmetric Stable Distributions

1968 • 407 citations

Distinguishing random and deterministic systems: Abridged version

1986 • 397 citations

An Introduction to Bilinear Time Series Models.

1979 • 326 citations

STATE‐DEPENDENT MODELS: A GENERAL APPROACH TO NON‐LINEAR TIME SERIES ANALYSIS

1980 • 307 citations

Evidence of Nonlinearity in Daily Stock Returns

1985 • 266 citations

Some Properties of Symmetric Stable Distributions

1968 • 208 citations

Rigorous statistical procedures for data from dynamical systems

1986 • 141 citations

Chaos: Making a New Science

1989 • 103 citations

Evidence of Nonlinearity in Daily Stock Returns

1985 • 102 citations

Bias and error bars in dimension calculations and their evaluation in some simple models

1989 • 101 citations

The estimation of a nonlinear moving average model

1977 • 64 citations

Some Theory of Statistical Inference for Nonlinear Science

1991 • 37 citations

A nonlinear stochastic rational expectations model of exchange rates

1992 • 34 citations

A NOTE ON THE DISTRIBUTIONS OF NON‐LINEAR AUTOREGRESSIVE STOCHASTIC MODELS

1981 • 14 citations