The aim of this paper is to investigate the return and volatility linkages among Moroccan stock market with that of U.S. and three European countries (France, Germany and U.K.) before and during the nancial BEKK GARCH model, we analyze the return and volatility spillover eects between the Moroccan market and the other considered markets. Moreover, the identication of break point due to the subprime crisis is made by Lee-Strazicich (2003 and Bai-Perron (1998 structural break tests. The empirical ndings provide clear evidence of stronger linkages between the Moroccan market and the four other considered stock markets have been created during the subprime nancial crisis period.
We compare the performance of the inverse and ordinary (partial) autocorrelations for time series model identification. It is found that, both in terms of Bahadur's slope and Pitman's asymptotic relative efficiency, the inverse partial autocorrelations are more efficient than the ordinary autocorrelations for identification of moving-average models. By duality, the partial autocorrelations turn out to be more powerful than the inverse autocorrelations to identify autoregressive models. Numerical experiments on both simulated and real data sets are presented to highlight the theoretical results. Copyright 2006 The Authors Journal compilation 2006 Blackwell Publishing Ltd.
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