Journal
ECONOMICS LETTERS
Volume 115, Issue 3, Pages 487-489Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2011.12.110
Keywords
0-1 test; Chaos; Stock returns; Wavelet denoising
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This paper applies the 0-1 test for chaos to returns from the German stock market, providing empirical evidence of chaotic structures in the returns of all DAX members. For noise reduction purposes, wavelet denoising is employed prior to the application of the 0-1 test. (C) 2012 Elsevier B.V. All rights reserved.
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