Seasonal Mackey–Glass–GARCH process and short-term dynamics
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- 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.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kyrtsou, Catherine & Malliaris, Anastasios G. & Serletis, Apostolos, 2009. "Energy sector pricing: On the role of neglected nonlinearity," Energy Economics, Elsevier, vol. 31(3), pages 492-502, May.
- Nguyen, Dung Tien, 2012. "Mackey–Glass equation driven by fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5465-5472.
- Elena Olmedo, 2014. "Forecasting Spanish Unemployment Using Near Neighbour and Neural Net Techniques," Computational Economics, Springer;Society for Computational Economics, vol. 43(2), pages 183-197, February.
- Rachida Hennani & Michel Terraza, 2015. "Contributions of a noisy chaotic model to the stressed Value-at-Risk," Economics Bulletin, AccessEcon, vol. 35(2), pages 1262-1273.
- Rachida Hennani, 2015. "Can the Lasota(1977)’s model compete with the Mackey-Glass(1977)’s model in nonlinear modelling of financial time series?," Working Papers 15-09, LAMETA, Universitiy of Montpellier, revised Jun 2015.
More about this item
KeywordsNoisy chaos; Short-term dynamics; Correlation dimension; Lyapunov exponents; Recurrence quantifications; Forecasting; C49; C51; C52; C53; D84; G12; G14;
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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