Showing 1 - 6 of 6
In this article, we specify the different approaches followed by the economists and the financial economists in order to use chaos theory. We explain the main difference using this theory with other research domains like the mathematics and the physics. Finally, we present tools necessary for...
Persistent link: https://www.econbiz.de/10010738474
This paper focuses on the use of dynamical chaotic systems in Economics and Finance. In these fields, researchers employ different methods from those taken by mathematicians and physicists. We discuss this point. Then, we present statistical tools and problems which are innovative and can be...
Persistent link: https://www.econbiz.de/10010738625
We investigate some statistical properties of the new k-factor Gegenbauer process with heteroscedastic noises One of the goals of the paper is to give tools which permit to use this model to explain the behaviour of certain data sets in finance and in macroeconomics. Monte Carlo experiments are...
Persistent link: https://www.econbiz.de/10008788958
Using Archimedean copulas, we investigate the dependence structure existing between several series of financial assets log-returns that come from different markets. These series are considered as components of a portfolio and they are investigated on a long period including high shocks. To...
Persistent link: https://www.econbiz.de/10008791451
Some crucial time series of market data, such as electricity spot prices, exhibit long memory, in the sense of slowly-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider the k-factor GIGARCH process and we propose two methods to address the...
Persistent link: https://www.econbiz.de/10008792746
Some crucial time series of market data, such as electricity spot prices, exhibit long memory, in the sense of slowly-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider the k-factor GIGARCH process and we propose two methods to address the...
Persistent link: https://www.econbiz.de/10008793109