Impulse responses of fractionally integrated processes with long memory

DOI10.1017/S0266466610000216MaRDI QIDQ2995426zbMATH OpenOpenAlexFDO

Authors Uwe Hassler, Piotr 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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 2174795 (Why is no real title available?)
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• Foundations of time series analysis and prediction theory
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• Fractional differencing
• Long memory and long run variation
• Nonlinear models for strongly dependent processes with financial applications
• Parameter estimation for infinite variance fractional ARIMA
• The distance between rival nonstationary fractional processes
• The integrated periodogram for long-memory processes with finite or infinite variance

Cited in

(13)

• Statistical analysis of autoregressive fractionally integrated moving average models in R
• Long Memory Factor Model: On Estimation of Factor Memories
• Impulse responses of antipersistent processes
• Calculating and analyzing impulse responses for the vector ARFIMA model.
• Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis
• A new bivariate distribution with uniform marginals
• Contiguity of fractional differencing
• Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
• Fractional differencing and long memory processes
• (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
• The impulse response function of the long memory GARCH process
• Jensen-autocorrelation function for weakly stationary processes and applications
• Effect of the order of fractional integration on impulse responses

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