Recurrence Plots in Nonlinear Time Series Analysis: Free Software

Recurrence plots are graphical devices specially suited to detect hidden dynamical patterns and nonlinearities in data. However, there are few programs available to apply such a mehodology. This paper reviews one of the best free programs to apply nonlinear time series analysis: Visual Recurrence Analysis (VRA). This program is targeted to recurrence analysis and the so-called Recurrence Quantitative Analysis (RQA, the quantitative counterpart of recurrence plots), although it includes many procedures in a friendly visual environment. Comparisons with alternative programs are performed.

Recurrence Plots in Nonlinear Time Series Analysis: Free Software

Recurrence plots are graphical devices specially suited to detect hidden dynamical patterns and nonlinearities in data. However, there are few programs available to apply such a mehodology. This paper reviews one of the best free programs to apply nonlinear time series analysis: Visual Recurrence Analysis (VRA). This program is targeted to recurrence analysis and the so-called Recurrence Quantitative Analysis (RQA, the quantitative counterpart of recurrence plots), although it includes many procedures in a friendly visual environment. Comparisons with alternative programs are performed

Assessing Non-Linear Structures in Real Exchange Rates Using Recurrence Plot Strategies

Non-linearity; chaos; recurrence analysis

A Nonparametric Variance-Ratio Test of the Behavior of U.K. Real Estate and Construction Indices

This study utilizes tests based on ranks and signs suggested by Wright (2000), in addition to the traditional variance-ratio test, to examine the behavior of United Kingdom real estate and construction security indices. The results suggest a positive dependence in the index return series and provide a strong rejection of the random walk hypothesis for the two U.K. index series examined in this study. Thus, the efficient market hypothesis (EMH) is not confirmed for these real estate securities indices in the U.K.variance ratio; heteroskedasticity; stock index; random walk; ranks; signsJournal: International Real Estate Review

A Note on Resampling the Integration Across the Correlation Integral with Alternative Ranges

This paper reconsiders the nonlinearity test proposed by Koc-super-˘enda (Koc-super-˘enda, E. (2001). An alternative to the BDS test: integration across the correlation integral. Econometric Reviews20:337-351). When the analyzed series is non-Gaussian, the empirical rejection rates can be much larger than the nominal size. In this context, the necessity of tabulating the empirical distribution of the statistic each time the test is computed is stressed. To that end, simple random permutation works reasonably well. This paper also shows, through Monte Carlo experiments, that Koc-super-˘enda's test can be more powerful than the Brock et al. (Brock, W., Dechert, D., Scheickman, J., LeBaron, B. (1996). A test for independence based on the correlation dimension. Econometric Reviews15:197-235) procedure. However, more than one range of values for the proximity parameter should be used. Finally, empirical evidence on exchange rates is reassessed.Chaos, Nonlinear dynamics, Koc-super-˘enda's test, Random permutation, Exchange rates,

Exchange rates expectations and chaotic dynamics: a replication study

In this paper the author analyzes the behavior of exchange rates expectations for four currencies, by considering a re-calculation and an extension of Resende and Zeidan (Expectations and chaotic dynamics: empirical evidence on exchange rates, Economics Letters, 2008). Considering Lyapunov exponent-based tests results, they are not sup-portive of chaos in exchange rates expectations, although the so-called 0−1 test strongly supports the chaos hypothesis