International Stock Market Efficiency: A Non-Bayesian Time-Varying Model   Approach
  This paper develops a non-Bayesian methodology to analyze the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in the sense of Fama (1970, 1991). Our empirical results provide a new perspective that the international linkages and market efficiency change over time and that their behaviors correspond well to historical events of the international financial system. 
Mikio Ito and Akihiko Noda and Tatsuma Wada
q-fin.ST