Faculty of Economics and Business Administration Publications Database

Impulse Responses of Antipersistent Processes

Volume: 116
Number: 3
Pages: 454 - 456
Month: September
ISSN-Print: 0165-1765
Link External Source: Online Version
Year: 2012
Keywords: Fractional Integration; Short Memory; Persistence
Abstract: The behavior of impulse response coefficients as persistence measures is discussed under fractional integration. Results for long memory processes are extended to the antipersistent case of short memory.