Browsing Department of Economics (MU) by Title "Working papers (Department of Economics);WP 08-01"
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Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory
(Department of Economics, 2008)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 ...