This article examines whether the capital markets of the G7 countries are integrated. Capital market integration is examined under the joint hypothesis of an international multifactor asset pricing model. International factors are extracted from a world portfolio using both maximum likelihood...

This article develops a method of nonlinear modelling for the dividends of the Group of seven (G7) indexes using threshold techniques: Smooth Transition Autoregressive Models (STAR). First, smoothness and nonlinearity are justified by the presence of heterogeneous expectations and companies of...