IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY
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Publication:2995426
DOI10.1017/S0266466610000216zbMath1230.62118OpenAlexW2155896691MaRDI QIDQ2995426
Uwe Hassler, Piotr S. Kokoszka
Publication date: 21 April 2011
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466610000216
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (4)
(WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? ⋮ Impulse responses of antipersistent processes ⋮ Statistical analysis of autoregressive fractionally integrated moving average models in R ⋮ Effect of the order of fractional integration on impulse responses
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