Many applications call for measuring the response due to shocks from several variables at once. We introduce a joint impulse response function (jIRF) that is independent of the order of the variables and allows for simultaneous shocks from multiple …
We review the k-factor Gegenbauer autoregressive moving average (GARMA) model, which can reproduce a wide range of autocorrelation functions. As emphasized by Hunt, Peiris, and Weber (2022), a full set of theoretical results for estimators of the …
Surprisingly little is known regarding the asymptotic properties of estimators for cyclical long memory models such as the Gegenbauer autoregressive moving average (GARMA) model. In this paper, we review the GARMA process and study the properties of …
Spillover indices computed from VAR models are intended to measure the connectedness between the variables in the system. The generalized spillover index (*gSOI*) computed using the generalized forecast error variance decomposition is often …