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Fractionally integrated generalized autoregressive conditional heteroskedasticity

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  • Baillie, Richard T.
  • Bollerslev, Tim
  • Mikkelsen, Hans Ole

Abstract

Replication of Baillie, Bollerslev and Mikkelson(1996), "Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, vol 74, pp 3-30.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    • Handle: RePEc:eee:econom:v:74:y:1996:i:1:p:3-30
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