Quoreshi, A.M.M. Shahiduzzaman - In: Economics Letters 101 (2008) 3, pp. 258-261
A vector integer-valued moving average (VINMA) model is introduced. The CLS and FGLS estimators are discussed. Empirically, it is found that the spillover effect from Ericsson B to AstraZeneca is larger than that from AstraZeneca to Ericsson B.