King, Mervyn; Sentana, Enrique; Wadhwani, Sushil - In: Econometrica 62 (1994) 4, pp. 901-33
The authors attempt to account for the covariances between stock markets and to assess their integration. They estimate a factor model for sixteen national stock market returns whose volatility is induced by changing volatility in the factors. Unanticipated returns depend on innovations in...