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Modeling and pricing long memory in stock market volatility

  • Bollerslev, Tim
  • Ole Mikkelsen, Hans

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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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 73 (1996)
Issue (Month): 1 (July)
Pages: 151-184

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Handle: RePEc:eee:econom:v:73:y:1996:i:1:p:151-184
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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