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 (Q1397412): Difference between revisions
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Latest revision as of 11:21, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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 |
scientific article |
Statements
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 (English)
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6 August 2003
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Mackey-Glass equation
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noisy chaos
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volatility clustering
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correlation dimension
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Lyapunov exponents
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GARCH effects
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forecasting
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