past domestic volatilities does not generally affect the mean and the volatility of the estimated thresholds. Specifically …, with the exception of the Italian market we find at least two volatility regimes, due to an asymmetric structure of … volatility as a function of bad and good domestic news. Moreover, in the majority of the series under scrutiny we also identify …

large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH …

including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as …