RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

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

Language: RATS
Requires: RATS 6.10
Keywords: Long memory; FIGARCH (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.estima.com/procs_perl/bailliebw1996.zip (application/zip)

Related works:
Journal Article: Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:rtz00009

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().