Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; … - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 203-230
components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an … representation of a time series naturally induces a persistence‐based variance decomposition of any weakly stationary process. We …