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RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

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

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtz00009
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

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    File URL: https://www.estima.com/procs_perl/bailliebw1996.zip
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    Keywords

    Long memory; FIGARCH; RATS;
    All these keywords.

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