VORLOW, Constantinos; ANTONIOU, Antonios; KYRTSOU, Catherine - Society for Computational Economics - SCE - 2004
We investigate for evidence of complex-deterministic dynamics in financial returns time series. By combining the Surrogate Data Analysis inferential framework with the MG-GARCH (Kyrtsou and Terraza, 2003) modelling approach, we examine whether the sequences are characterized by aperiodic and...