Fractionally integrated generalized autoregressive conditional heteroskedasticity

Journal of Econometrics

Volumn 74, Issue 1, 1996, Pages 3-30

  Baillie, Richard T ^a   Bollerslev, Tim ^b   Mikkelsen, Hans Ole ^c  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b UNIVERSITY OF VIRGINIA   (United States)

^c UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Exchange rate volatility; FIGARCH; Fractional integrated ARACH; IGARCH; Mean reversion; Monte Carlo simulations

Indexed keywords

EID: 0040485278     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(95)01749-6     Document Type: Article

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