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Dynamics of EXPAR Models for High Frequency Data

M. A. Ghazal, A. Elhassanein

Abstract


Dynamics of EXPAR model, existence of equilibrium and conditions of stability are studied. The relation between the stability of the skeleton and realizations of EXPAR is discussed using spectral density estimate on disjoint segments of observations via simulation

Keywords


EXPAR models, skeleton, equilibrium points, stability, Lyapunov exponents, spectral density function and chaos

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