Multivariate EGARCHX-modelling of the international asset return signal response mechanism
研究日本股价对芬兰衍生品市场的一阶和二阶矩影响，通过引入外生变量扩展多变量EGARCH方法为MEGARCHX模型，有效捕捉芬兰股票和期货收益的线性依赖与异方差性。
The integration of national financial economies, enhanced by loosening capital control, has motivated the study of co-movements between markets. In this paper we use a variant of the multivariate EGARCH method, due to Koutmos and Booth, to study the impact of the Japanese stock prices on the Finnish derivatives market, both in the first and second moments. We extend the algorithm to MEGARCHX, by including exogenous variables in the estimation problem. MEGARCHX modelling of the Finnish stock returns and Futures returns effectively captures the linear dependence and heteroscedasticity present in the series. © 1997 John Wiley & Sons, Ltd.