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)
From MaRDI portal
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)
0 references
6 August 2003
0 references
Mackey-Glass equation
0 references
noisy chaos
0 references
volatility clustering
0 references
correlation dimension
0 references
Lyapunov exponents
0 references
GARCH effects
0 references
forecasting
0 references
