Comments on “Re-examining the source of Heteroskedasticity: The paradigm of noisy chaotic models”
This 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.
|Date of creation:||Apr 2012|
|Date of revision:||Apr 2012|
|Contact details of provider:|| Postal: |
Web page: http://www.lameta.univ-montp1.fr/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Andrew P. Blake & George Kapetanios, 2003. "Testing for ARCH in the Presence of Nonlinearity of Unknown Form in the Conditional Mean," Working Papers 496, Queen Mary University of London, School of Economics and Finance.
- 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.
When requesting a correction, please mention this item's handle: RePEc:lam:wpaper:12-13. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Patricia Modat)The email address of this maintainer does not seem to be valid anymore. Please ask Patricia Modat to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.