Impulse responses of antipersistent processes

DOI10.1016/J.ECONLET.2012.04.023zbMATH Open1253.91160OpenAlexW2022584526MaRDI QIDQ694922FDOQ694922

Authors: Uwe Hassler 

Publication date: 19 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.04.023

zbMATH Keywords

fractional integrationpersistenceshort memory

Mathematics Subject Classification ID

Memory and learning in psychology (91E40)

Cites Work

• Long‐Memory Time Series
• Fractional differencing
• Fractional ARIMA with stable innovations
• Are output fluctuations transitory?
• Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
• Nonlinear models for strongly dependent processes with financial applications
• A Class of Antipersistent Processes
• Impulse responses of fractionally integrated processes with long memory

Cited In (1)

• Effect of the order of fractional integration on impulse responses

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