Wahab, Mahmoud; Lashgari, Malek - In: The Financial Review 28 (1993) 2, pp. 239-60
Intertemporal stationarity tests of the variance-covariance matrix of monthly returns on seven international equity indices are conducted over the most recent period. Pairwise covariances are then decomposed into their component statistics for further examination of the source(s) of stationarity...