Modeling and pricing long memory in stock market volatility

Tim Bollerslev and Hans Ole Mikkelsen

Journal of Econometrics, 1996, vol. 73, issue 1, 151-184

Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (710)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0304-4076(95)01736-4
Full text for ScienceDirect subscribers only

Related works:
Software Item: RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models
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: https://EconPapers.repec.org/RePEc:eee:econom:v:73:y:1996:i:1:p:151-184

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().