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Comments on “Re-examining the source of Heteroskedasticity: The paradigm of noisy chaotic models”

Author

Listed:
  • Sadek Melhem
  • Mahmoud Melhem

Abstract

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.

Suggested Citation

  • Sadek Melhem & Mahmoud Melhem, 2012. "Comments on “Re-examining the source of Heteroskedasticity: The paradigm of noisy chaotic models”," Working Papers 12-13, LAMETA, Universtiy of Montpellier, revised Apr 2012.
    • Handle: RePEc:lam:wpaper:12-13
    as

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    File URL: http://www.lameta.univ-montp1.fr/Documents/DR2012-13.pdf
    File Function: First version, 2012
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    References listed on IDEAS

    as
    1. 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.
    2. Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March.
    3. Hommes, Cars H. & Manzan, Sebastiano, 2006. "Comments on "Testing for nonlinear structure and chaos in economic time series"," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 169-174, March.
    4. 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.
    Full references (including those not matched with items on IDEAS)

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