IMPULSE RESPONSES OF FRACTIONALLY INTEGRATED PROCESSES WITH LONG MEMORY

DOI10.1017/S0266466610000216zbMath1230.62118MaRDI 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

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

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, (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?

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