We propose a confirmatory dynamic factor model for a large number of daily returns across multiple time zones. The model has a global factor and three continental factors. We propose two estimators of the model: a quasi-maximum likelihood estimator (QML-just-identified), and an improved estimator (QML-all-res). Our estimators are consistent and asymptotically normal. In particular, the asymptotic distributions of QML-all-res are the same as those of the infeasible OLS estimators that treat factors as known and utilize all the restrictions of the parameters of the model. We apply the model to MSCI equity indices of 42 developed and emerging markets, and find that the market is more integrated when the US VIX is high.

翻译：本文提出一个适用于多个时区大量日收益数据的确认性动态因子模型。该模型包含一个全球因子和三个洲际因子。我们提出了两种模型估计方法：准极大似然估计（QML-just-identified）和改进估计（QML-all-res）。两种估计量均具有一致性和渐近正态性。特别地，QML-all-res的渐近分布与将因子视为已知并利用模型全部参数约束的不可行OLS估计量相同。我们将该模型应用于42个发达与新兴市场的MSCI股票指数，发现当美国VIX指数处于高位时，市场一体化程度显著增强。