Recent empirical researches have examined the relationship between US short-term interest rates using linear as well nonlinear econometric tools. The main objective of this paper is to employ a new dynamic model that combines the bivariate noisy Mackey-Glass and the BEKK GARCH processes...

This paper attempts to investigate further the nonlinear feedback relationship found in Kyrtsou and Labys (2006) between US inflation (BLS CPI) and primary commodity price index (the BLS PPI component for all primary commodity series). Our goal is to disaggregate the above index to the...

In this paper, we further analyse the rich dynamic properties of the noisy chaotic model developed by Kyrtsou (International Journal of Bifurcation and Chaos, 2005) considering homoskedastic errors, in the aim to derive information about possible linkages between noisy chaotic dynamics and ARCH...