In this paper, we consider nonlinear transformations of random walks driven by thick-tailed innovations with undefined means or variances. In particular, we show how nonlinearity, nonstationarity, and thick tails interact to generate persistency in memory, and we clearly demonstrate that this...

We consider nonlinear transformations of random walks driven by thick-tailed innovations that may have infinite means or variances. These three nonstandard characteristics: nonlinearity, nonstationarity, and thick tails interact to generate a spectrum of asymptotic autocorrelation patterns...