Comments on “Re-examining the source of Heteroskedasticity: The paradigm of noisy chaotic models”
AbstractThis 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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Bibliographic InfoPaper provided by LAMETA, Universtiy of Montpellier in its series Working Papers with number 12-13.
Length: 6 pages
Date of creation: Apr 2012
Date of revision: Apr 2012
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- Andrew P. Blake & George Kapetanios, 2003.
"Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean,"
496, Queen Mary, University of London, School of Economics and Finance.
- Blake, Andrew P. & Kapetanios, George, 2007. "Testing for ARCH in the presence of nonlinearity of unknown form in the conditional mean," Journal of Econometrics, Elsevier, vol. 137(2), pages 472-488, April.
- 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.
- 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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