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
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Publication:1397412
DOI10.1023/A:1023939610962zbMath1042.91045OpenAlexW1571039382WikidataQ56040470 ScholiaQ56040470MaRDI QIDQ1397412
Catherine Kyrtsou, Michel Terraza
Publication date: 6 August 2003
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1023939610962
Lyapunov exponentsforecastingcorrelation dimensionvolatility clusteringnoisy chaosMackey-Glass equationGARCH effects
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