@Article{mfj:780,
title={Higher-Order Terms in Bivariate Returns to International Stock Market Indices},
author={Kirt C. Butler and Katsushi Okada},
journal={Multinational Finance Journal},
volume={12},
number={1/2},
pages={127--155},
year=2008,
publisher={Multinational Finance Society; Global Business Publications},
url={http://www.mfsociety.org/../modules/modDashboard/uploadFiles/journals/MJ~773~p17546e14n1q7fc6chkjk2g16ur4.pdf}
keywords={higher-order; bivariate; international diversification; EGARCH; VARMA},
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.},
}