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Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity This paper introduces impulse response analysis for nonlinear processes based on the concept of nonlinear innovation. Our approach borrows from the traditional linear impulse response analysis in that we consider shocks to innovations of a process. It also extends the methods of nonlinear impulse response analysis proposed earlier in the literature, in that it eliminates the problem of serial correlation of errordoi:10.2307/20079126 fatcat:yodsxwj7qvectnhgrrpdykr3qu