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Calculating and analyzing impulse responses for the vector ARFIMA model · Study

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ArticleCalculating and analyzing impulse responses for the vector ARFIMA model

Ching‐Fan Chung2001

Article2001

Calculating and analyzing impulse responses for the vector ARFIMA model

Ching‐Fan Chung

24 citations·0/0 files stored·Economics Letters

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Time Series Analysis and Forecasting

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References

1981Fractional Differencing 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models 1996Analysing inflation by the fractionally integrated ARFIMA-GARCH model 1989Long memory and persistence in aggregate output 1991Real Exchange Rates under the Gold Standard 1993Long Memory in Foreign-Exchange Rates 1990Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models

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Year2001

Typearticle

Published2001-04-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations24

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0165-1765(00)00399-2

openalex_workW2138744489

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