Impulse responses of fractionally integrated processes with long memory

DOI10.1017/S0266466610000216zbMATH Open1230.62118OpenAlexW2155896691MaRDI QIDQ2995426FDOQ2995426

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

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Mathematics Subject Classification ID

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

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Alternative forms of fractional Brownian motion
• Fractional ARIMA with stable innovations
• Foundations of time series analysis and prediction theory
• Title not available (Why is that?)
• Title not available (Why is that?)
• 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
• A model for long memory conditional heteroscedasticity.
• Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
• Nonlinear models for strongly dependent processes with financial applications
• Long memory and long run variation

Cited In (12)

• Long Memory Factor Model: On Estimation of Factor Memories
• Statistical analysis of autoregressive fractionally integrated moving average models in R
• Impulse responses of antipersistent processes
• Calculating and analyzing impulse responses for the vector ARFIMA model.
• 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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