[ARTICLE] This is an article on the effect of large-scale interdependence (e.g. social networks) on individual persistence with links to fractals.
by Guillaume Chevillon (ESSEC Business School), Alain Hecq, Sébastien Laurent
This paper shows that a large dimensional vector autoregressive model (VAR) of finite order can generate fractional integration in the marginalized univariate series. We derive high-level assumptions under which the final equation representation of a VAR(1) leads to univariate fractional white noises and verify the validity of these assumptions for two specific models.