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...

In this paper we provide an update regarding the effects of money growth variability on real economic activity in the United States using monthly data and the new CFS Divisia monetary aggregates, extending the work in Serletis and Shahmoradi (Macroecon Dyn 10:652–666 <CitationRef CitationID="CR25">2006</CitationRef>) and Serletis and...</citationref>

We derive a neat and compact representation of the asymptotic Fisher information matrix of a vector ARMA process. Its inverse can be used immediately as the asymptotic covariance matrix of the Gaussian maximum likelihood estimator. We also provide the robust sandwich covariance estimator when...