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Fractionally integrated generalized autoregressive conditional heteroskedasticity

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

Replication of Baillie, Bollerslev and Mikkelson(1996), "Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, vol 74, pp 3-30.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 74 (1996)
Issue (Month): 1 (September)
Pages: 3-30

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Handle: RePEc:eee:econom:v:74:y:1996:i:1:p:3-30
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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