The existing vector heterogeneous autoregression (VHAR) does not allow for threshold effects. The threshold autoregressions are well established in the literature, but the presence of an unknown threshold complicates inference. To resolve this dilemma, we propose the vector moving average...

This paper examines the issue of co-movement in G7 equity markets. Earlier research in this area has focussed on the first or the second moment of the return process from different markets. The approach in this paper takes the analysis to a finer level to examine the co-movement between these...

This paper enhances the investigation of international linkages in stock markets by focusing on the information dependence between the markets. This is achieved by examining the causality in the variances of the stock returns from the seven members of the OECD group of countries. The...

This paper empirically analyzes the relationship between asset returns and consumption stream in Japan, based on the non-expected utility model developed by Epstein (1988) and Epstein and Zin (1990, 1991). Generalized method of moments procedure is used to estimate and test the model. Empirical...