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
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1960220
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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; zbMATH DE number 1960220 |
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
0.82037866
0 references
0.7995997
0 references
0.7987887
0 references
0.79755855
0 references
0.7948986
0 references
0.79325086
0 references
