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gozzi84
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Joined: April 26th, 2008, 8:24 am

Multiplicative GARCH (Geweke, Pantula & Milhoj)

April 16th, 2009, 7:46 am

HI,I'm interested in the multiplicative approach to GARCH models. I've found some useful references on the internet such as:1) Milhǿj, A. (1987). A Multiplicative Parameterization of ARCH Models, University of Copenhagen, Department of Statistics, Mimeo.2) Pantalu, S.G. (1986), “Modeling the Persistence of Conditional Variances: A Comment,” Econometric Review, 5, 71-74.3) Geweke, J. (1986), “Modeling the Persistence of Conditional Variances: A Comment,” Econometric Review, 5, 57-61.Does anyone know where can I download them for free? Otherwise could you suggest me other literature sources. Thanks!Regards,Lorenzo