Higher-Order Terms in Bivariate Returns to International Stock Market Indices

Kirt C. Butler () and Katsushi Okada
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Kirt C. Butler: Michigan State University, U.S.A.
Katsushi Okada: Michigan State University, U.S.A.

Multinational Finance Journal, 2008, vol. 12, issue 1-2, 127-155

Abstract: This article documents the stochastic properties of bivariate returns to international stock market indices. In particular, the article searches for the best fit among a class of higher-order VARMA(u,v)-EGARCH(p,q) models with normal errors and a constant conditional correlation using MSCI domestic and world-ex-domestic index pairs for the Emu, Japan, the United Kingdom, and the United States. Although a first-order VAR or VMA specification is sufficient to accommodate the conditional means, second-order EGARCH terms are necessary in two of the four bivariate series.

Keywords: higher-order; bivariate; international diversification; EGARCH; VARMA (search for similar items in EconPapers)
JEL-codes: C15 C34 G11 G15 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:12:y:2008:i:1-2:p:127-155

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