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ARFIMA-FIGARCH processes

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Marco Sandri

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May 13, 1999, 3:00:00 AM5/13/99
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Dear all,

I'm looking for a Matlab-code to simulate FIGARCH(p,d,q) and
ARFIMA(p,d,q) models.
Can anyone help me?
Thanks a lot in advance

Marco

******************************

Marco Sandri
Centro di Calcolo - C.I.C.A.
Universita' di Verona
Via dell'Artigliere 19
I-37129 Verona - Italy
Tel +39 45 8098511
Fax +39 45 8098387
Email: msa...@chiostro.univr.it
Web: http://www.univr.it/complex/msandri/

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Michael Robbins

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Jun 11, 1999, 3:00:00 AM6/11/99
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Yeah. And I'd like some multivariate GARCH stuff, too. If anyone
knows of any routines (C routines are good too), please respond.

LZhang2300

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Jun 19, 1999, 3:00:00 AM6/19/99
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Hi, Michael:

Have you found any multivariate GARCH? I am also searching. I only find some
GARCH(1,1) code.

If anyone finds something, would you pls email the information to
ZHA...@FASECON.ECON.NYU.EDU?

thanks.

Lingjia

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