Fractionally integrated generalized autoregressive conditional heteroskedasticity

Richard Baillie, Tim Bollerslev and Hans Ole Mikkelsen

Journal of Econometrics, 1996, vol. 74, issue 1, 3-30

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:74:y:1996:i:1:p:3-30

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