HERZEL, Stefano; STARICA, Catalin; NORD, Thomas - Dipartimento di Economia, Università degli Studi di Perugia - 2007
This paper studies the integrated Garch (IGARCH) e®ect, a phenomenon often encountered when estimating conditional auto-regressive models on ¯nancial time series. The analysis of twelve indexes of major ¯nancial markets provides empirical evidence of its well-spread presence especially in...