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

Computational Economics

Volumn 21, Issue 3, 2003, Pages 257-276

  Kyrtsou, Catherine ^a   Terraza, Michel ^a  

^a Lameta and University of Montpellier 1   (France)

Author keywords

correlation dimension; forecasting; GARCH effects; Lyapunov exponents; Mackey Glass equation; noisy chaos; volatility clustering

Indexed keywords

EID: 84867949373     PISSN: 09277099     EISSN: 15729974     Source Type: Journal    
DOI: 10.1023/A:1023939610962     Document Type: Article

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