Nonlinear Innovations and Impulse Responses.

This paper introduces a notion on nonlinear innovation for the ananlysis of nonlinear dynamics. We show that nonlinear processes can be represented as functions of current and lagged values of nonlinear innovations.

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Year of publication:	1999
Authors:	Gourieroux, C. ; Jasiak, J.
Subject:	INNOVATIONS \| RISK \| FINANCIAL MARKET

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Type of publication:	Book / Working Paper
Notes:	49 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005486765