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

Catherine Kyrtsou; M. Terraza

DOI:10.1023/A:1023939610962

Corpus ID: 154202123

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 M. Terraza},
  journal={Computational Economics},
  year={2003},
  volume={21},
  pages={257-276}
}

Catherine Kyrtsou, M. Terraza

Published 2003

Economics

Computational Economics

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… CONTINUE READING

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