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
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DOI: 10.1023/A:1023939610962
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Keywords
Mackey–Glass equation; noisy chaos; volatility clustering; correlation dimension; Lyapunov exponents; GARCH effects; forecasting;All these keywords.
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