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Comments on “Re-examining the source of Heteroskedasticity: The paradigm of noisy chaotic models”

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  • Sadeck Melhem
  • Mahmoud Melhem
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    Abstract

    This paper is a comment on “Re-examining the source of Heteroskedasticity: The paradigm of noisy chaotic models” by kyrtsou. We summarize their results and discuss some of their conclusion. Simulation was investigated to clarify the functionality of the high dimensional dynamical system and its role in generating process.

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    File URL: http://www.lameta.univ-montp1.fr/Documents/DR2012-13.pdf
    File Function: First version, 2012
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    Bibliographic Info

    Paper provided by LAMETA, Universtiy of Montpellier in its series Working Papers with number 12-13.

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    Length: 6 pages
    Date of creation: Apr 2012
    Date of revision: Apr 2012
    Handle: RePEc:lam:wpaper:12-13

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    1. Andrew P. Blake & George Kapetanios, 2003. "Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean," Working Papers 496, Queen Mary, University of London, School of Economics and Finance.
    2. Kyrtsou, Catherine, 2008. "Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6785-6789.
    3. Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March.
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