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 … trading and hedging options. We show that a strong IGARCH e®ect may have relevant consequences on trading and on risk …