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Stochastic Chaos or Arch Effects in Stock Series? A Comparative Study

Kyrtsou, Catherine; Terraza, Michel - 2003

Recent empirical studies have shown that the chaotic behaviour and excess volatility of financial series are the result of interactions between heterogeneous investors. In our article, we propose verifying this hypothesis. Thus, we use the Chen, Lux, and Marchesi (2000) model to show that the...

Persistent link: https://www.econbiz.de/10014088673

Comments on "Testing for nonlinear structure and chaos in economic time series"

Hommes, Cars H.; Manzan, Sebastiano - In: Journal of macroeconomics 28 (2006) 1, pp. 169-174

Persistent link: https://www.econbiz.de/10003291157

Identification of causal relationships in non-stationary time series with an information measure : evidence for simulated and financial data

Papana, Angeliki; Kyrtsou, Catherine; Kugiumtzis, Dimitris - In: Empirical economics : a quarterly journal of the … 64 (2023) 3, pp. 1399-1420

Persistent link: https://www.econbiz.de/10014226364

Estimation d'un modèle V.A.R. par le filtre de Kalman

Nakkar, Osman - In: Journal de la Société de Statistique de Paris 134 (1993) 4, pp. 3-16

Persistent link: https://www.econbiz.de/10001155427

Modélisation par le filtre de Kalman de la chronique mensuelle du prix du gas-oil en France de 1960 à 1992

Kouassi, Eugène - In: Journal de la Société de Statistique de Paris 135 (1994) 4, pp. 25-46

Persistent link: https://www.econbiz.de/10001182922

CAPM with fuzzy returns and hypothesis testing

Moussa, A. Mbairadjim; Kamdem, J. Sadefo; Shapiro, A. F.; … - In: Insurance / Mathematics & economics 55 (2014), pp. 40-57

Persistent link: https://www.econbiz.de/10010366209