Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series
@article{Kyrtsou2003IsIP, title={Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series}, author={Catherine Kyrtsou and Michel Terraza}, journal={Computational Economics}, year={2003}, volume={21}, pages={257-276} }
Most recent empirical works that apply sophisticated statistical proceduressuch as a correlation-dimension method have shown that stock returns arehighly complex. The estimated correlation dimension is high and there islittle evidence of low-dimensional deterministic chaos. Taking the complexbehaviour in stock markets into account, we think it is more robust than thetraditional stochastic approach to model the observed data by a nonlinearchaotic model disturbed by dynamic noise. In fact, we…
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