Mackey–Glass equation driven by fractional Brownian motion
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References listed on IDEAS
- Catherine Kyrtsou & Michel Terraza, 2010.
"Seasonal Mackey–Glass–GARCH process and short-term dynamics,"
Springer, vol. 38(2), pages 325-345, April.
- Catherine Kyrtsou & Michel Terraza, 2008. "Seasonal Mackey-Glass-GARCH process and short-term dynamics," Discussion Paper Series 2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
- Tabak, Benjamin M. & Cajueiro, Daniel O., 2005. "The long-range dependence behavior of the term structure of interest rates in Japan," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 418-426.
- Catherine Kyrtsou & Michel Terraza, 2003. "Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series," Computational Economics, Springer;Society for Computational Economics, vol. 21(3), pages 257-276, June.
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- Nguyen Tien, Dung, 2013. "A stochastic Ginzburg–Landau equation with impulsive effects," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 1962-1971.
More about this item
KeywordsMackey–Glass equation; Fractional Brownian motion; Malliavin calculus;
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