Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system

DOI10.1016/J.PHYSA.2017.04.060MaRDI QIDQ2147635zbMATH OpenOpenAlexFDO

Authors Mike G. Tsionas, Panayotis G. Michaelides

Publication date 20 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2017.04.060

zbMATH Keywords

sequential Monte CarloBayesian analysisLyapunov exponentneural networksglobal economyneglected chaos

Mathematics Subject Classification ID

Bayesian inference (62F15) Statistical methods; economic indices and measures (91B82) Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45) Economic dynamics (91B55)

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Cited in

(2)

• Stock market dynamics
• 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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