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ArticleStochastic chaos or ARCH effects in stock series?

Catherine Kyrtsou2002

Article2002

Stochastic chaos or ARCH effects in stock series?

Catherine Kyrtsou · Michel Terraza

53 citations·0/0 files stored·International Review of Financial Analysis

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1990Noise Trader Risk in Financial Markets 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1981Fractional Differencing 1991Long-Term Memory in Stock Market Prices 1997A Rational Route to Randomness 1998Heterogeneous beliefs and routes to chaos in a simple asset pricing model 1989Long-term Memory in Stock Market Prices

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2013Noisy chaos in intraday financial data: Evidence from the American index 2013High level chaos in the exchange and index markets

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Year2002

Typearticle

Published2002-01-01

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations53

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/s1057-5219(02)00067-4

openalex_workW1506742809

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