This paper derives an analytical expression for an impulse-response function for a vector autoregression with multivariate GARCH errors, where the vector of conditional means is a function of the conditional variances. We also provide the appropriate interpretation of an impulse-response function for such models and suggest interesting empirical issues that can be addressed within this framework.

The standard linear technique of impulse response function analysis is extended to the nonlinear case by de"ning a generalized impulse response function. Measures of persistence and asymmetry in response are constructed for a wide class of time series. ( 2000 Elsevier Science B.V. All rights reserved. JEL classixcation: C22; C51; C52; E32

This work focuses on a new type of cost function based on fractional operators. To do so, the concept of definite integral is extended to arbitrary real-order. Some properties of this new fractional-order definite integral are studied and a fractional-order Barrow’s rule is proposed. It is illustrated by an example (the design of an IIR filter) how this new kind of cost function can be a valuab...

A method for reducing interblock interference (IBI) in an impulse response Signal transmitted by a communications channel such as a digital subscriber loop (DSL) channel. The method includes computing a time of reference (TOR) based on a windowing function that assumes that the main lobe Segment of the impulse response Signal does not contribute IBI power and that the tail Segments of the impul...

Characterization of the impulse response for real optical wireless channels states the acces bandwidth of communication. In the case of diffuse infrared wireless channel the impulse response varies abruptly with changes in receiver/emitter position and furniture composition of non-empty rooms, so the development of tools capable of estimating this response in real circumstances is important. In...