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

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

zbMATH Keywords

Lyapunov exponentsforecastingcorrelation dimensionvolatility clusteringnoisy chaosMackey-Glass equationGARCH effects

Mathematics Subject Classification ID

Catastrophe theory (58K35)

Related Items (5)

Heterogeneity, nonlinearity and endogenous market volatility ⋮ Fractional Inverse Generalized Chaos Synchronization Between Different Dimensional Systems ⋮ Complex dynamics of a forced discretized version of the Mackey-Glass delay differential equation ⋮ Evidence for nonlinear asymmetric causality in US inflation, metal, and stock returns ⋮ EXPLORING THE IMPACT OF CALENDAR EFFECTS ON THE DYNAMIC STRUCTURE AND FORECASTS OF FINANCIAL TIME SERIES

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