Determinism and non-linear behaviour of log-return and conditional volatility : empirical analysis for 26 stock markets
Zouhaier Dhifaoui
| Year of publication: |
2022
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|---|---|
| Authors: | Dhifaoui, Zouhaier |
| Published in: |
South Asian journal of macroeconomics and public finance. - London [u.a.] : Sage, ISSN 2321-0273, ZDB-ID 2728253-3. - Vol. 11.2022, 1, p. 69-94
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| Subject: | ARCH model | Correlation dimension | normalized non-linear prediction error | surrogates data method | Volatilität | Volatility | ARCH-Modell | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Schätzung | Estimation | Aktienmarkt | Stock market | Korrelation | Correlation | Nichtlineare Regression | Nonlinear regression | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1177/2277978721995654 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013256597