title={Higher-Order Terms in Bivariate Returns to International Stock Market Indices},
author={Kirt C. Butler and Katsushi Okada},
journal={Multinational Finance Journal},
publisher={Multinational Finance Society; Global Business Publications},
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.},