Hans Ole Mikkelsen is an econometrician who, at the University of Southern California (with earlier work done while visiting Northwestern University), co-developed the fractionally integrated approach to conditional-variance modeling. He is best known as a co-author of the FIGARCH model and, with Bollerslev, of its exponential counterpart FIEGARCH for long-memory stock-market volatility.
Key Contributions / Features
FIGARCH — Baillie, Bollerslev, and Mikkelsen (1996): With Richard Baillie and Tim Bollerslev, introduced the Fractionally Integrated GARCH process — replacing (1−L) in the IGARCH variance equation with the fractional operator (1−L)d to obtain hyperbolic (long-memory) decay of volatility shocks, with T-consistent approximate MLE. See FIGARCH and Baillie-Bollerslev-Mikkelsen (1996).
FIEGARCH — Bollerslev–Mikkelsen (1996): With Bollerslev, "Modeling and Pricing Long-Memory in Stock Market Volatility" (Journal of Econometrics), extending the fractionally integrated idea to the exponential-GARCH framework and to option pricing.