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|
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- 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.
- 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 & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March. Full references (including those not matched with items on IDEAS)
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