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- W2056525165 abstract "The aim of this article is the study of complex structures which are behind the short-term predictability of stock returns series. In this regard, we employ a seasonal version of the Mackey-Glass-GARCH(p,q) model, initially proposed by Kyrtsou and Terraza (2003) and generalized by Kyrtsou (2005, 2006). It has either negligible or significant autocorrelations in the conditional mean, and a rich structure in the conditional variance. To reveal short or long memory components and non-linear structures in the French Stock Exchange (CAC40) returns series, we apply the test of Geweke and Porter-Hudak (1983), the Brock et al. (1996) and Dechert (1995) tests, the correlation-dimension method of Grassberger and Procaccia (1983), the Lyapunov exponents method of Gen?ay and Dechert (1992), and the Recurrence Quantification Analysis introduced by Webber and Zbilut (1994). As a confirmation procedure of the dynamics generating future movements in CAC40, we forecast the return series using a seasonal Mackey-Glass-GARCH(1,1) model. The interest of the forecasting exercise is found in the inclusion of high-dimensional non-linearities in the mean equation of returns." @default.
- W2056525165 created "2016-06-24" @default.
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- W2056525165 date "2008-01-01" @default.
- W2056525165 modified "2023-09-25" @default.
- W2056525165 title "Seasonal Mackey-Glass-Garch Process and Short-Term Dynamics" @default.
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- W2056525165 doi "https://doi.org/10.2139/ssrn.405260" @default.
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