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Modeling and pricing long memory in stock market volatility

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  • Bollerslev, Tim
  • Ole Mikkelsen, Hans

Abstract

Replication file for Bollerslev and Mikkelson(1996), "Modeling and pricing long memory in stock market volatility", Journal of Econometrics, vol 73, pp 151-184. This estimates FIGARCH and FIEGARCH models (fractionally integrated GARCH and fractionally integrated EGARCH)
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  • Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
    • Handle: RePEc:eee:econom:v:73:y:1996:i:1:p:151-184
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