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Is It Possible To Study Jointly Chaotic And Arch Behaviour? Application Of A Noisy Mackey-Glass Equation With Heteroskedastic Errors To The Paris Stock Exchange

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  • Catherine Kyrtsou

    (University of Montpellier 1, LAMETA, Espace Rechter)

  • Michel Terraza

    (University of Montpellier)

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Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2000 with number Z226.

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Date of creation: 05 Jul 2000
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Handle: RePEc:sce:scecf0:z226

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Postal: CEF 2000, Departament d'Economia i Empresa, Universitat Pompeu Fabra, Ramon Trias Fargas, 25,27, 08005, Barcelona, Spain
Fax: +34 93 542 17 46
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Web page: http://enginy.upf.es/SCE/
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  1. Kyrtsou, Catherine & Terraza, Michel, 2002. "Stochastic chaos or ARCH effects in stock series?: A comparative study," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 407-431.
  2. repec:att:wimass:9621 is not listed on IDEAS
  3. Giulia Iori, 2000. "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Finance 0004007, EconWPA.
  4. repec:taf:emetrv:v:13:y:1994:i:1:p:1-91 is not listed on IDEAS
  5. Scheinkman, Jose A & LeBaron, Blake, 1989. "Nonlinear Dynamics and Stock Returns," The Journal of Business, University of Chicago Press, vol. 62(3), pages 311-37, July.
  6. Chiarella, Carl & He, Xue-Zhong, 2002. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model," Computational Economics, Society for Computational Economics, vol. 19(1), pages 95-132, February.
  7. Chen, Shu-Heng & Lux, Thomas & Marchesi, Michele, 2001. "Testing for non-linear structure in an artificial financial market," Journal of Economic Behavior & Organization, Elsevier, vol. 46(3), pages 327-342, November.
  8. Carl Chiarella & Roberto Dieci & Laura Gardini, 2001. "Speculative Behaviour and Complex Asset Price Dynamics," Research Paper Series 49, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  10. Malliaris, A. G. & Stein, Jerome L., 1999. "Methodological issues in asset pricing: Random walk or chaotic dynamics," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1605-1635, November.
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