Impulse responses of antipersistent processes

DOI10.1016/J.ECONLET.2012.04.023MaRDI QIDQ694922zbMATH OpenOpenAlexFDO

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

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

Cited in

(1)

• Effect of the order of fractional integration on impulse responses

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