Strong Orthogonal Decompositions and Non-Linear Impulse Response Functions for Infinite Variance Processes
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References listed on IDEAS
- Davis, Richard & Resnick, Sidney, 1985. "More limit theory for the sample correlation function of moving averages," Stochastic Processes and their Applications, Elsevier, vol. 20(2), pages 257-279, September.
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- Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
More about this item
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-01-08 (All new papers)
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