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| Tekijä: | Kyrtsou, C. Terraza, M. |
| Otsikko: | Stochastic chaos or ARCH effects in stock series? A comparative study |
| Lehti: | International Review of Financial Analysis
2002 : VOL. 11:4, p. 407-432 |
| Asiasana: | STOCHASTIC PROCESSES FORECASTING STOCKS COMPARATIVE RESEARCH |
| Kieli: | eng |
| Tiivistelmä: | Recent empirical studies have shown that the chaotic behaviour and excess volatility of financial series are the result of interactions between heterogeneous investors. In this article, the authors propose verifying this hypothesis. Thus, the authors use the Chen et al. model to show that the modification of the agents' homogeneity hypothesis can drive to stochastic chaotic evolution of price series. Then, through an econometric procedure, the authors try to identify the underlying process of the Paris Stock Exchange returns series (CAC40). To this end, the authors apply several different tests. The paper provides a substantial list of references on this subject. |
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