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A Class of Antipersistent Processes

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  • Pascal Bondon
  • Wilfredo Palma
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    Abstract

    We introduce a class of stationary processes characterized by the behaviour of their infinite moving average parameters. We establish the asymptotic behaviour of the covariance function and the behaviour around zero of the spectral density of these processes, showing their antipersistent character. Then, we discuss the existence of an infinite autoregressive representation for this family of processes, and we present some consequences for fractional autoregressive moving average models. Copyright 2007 The Authors Journal compilation 2007 Blackwell Publishing Ltd.

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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

    Volume (Year): 28 (2007)
    Issue (Month): 2 (03)
    Pages: 261-273

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    Handle: RePEc:bla:jtsera:v:28:y:2007:i:2:p:261-273

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    Cited by:
    1. Lopes, Sílvia R.C. & Prass, Taiane S., 2014. "Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 401(C), pages 278-307.
    2. Hassler, Uwe, 2012. "Impulse responses of antipersistent processes," Economics Letters, Elsevier, Elsevier, vol. 116(3), pages 454-456.
    3. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-145, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

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