volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across … countries. The analysis uses both on univariate and bivariate switching volatility models. Our results do not rely on the … correlation coefficients, but on the co-dependence of volatility regimes. The results indicate that high-volatility episodes are …

reservations about the impact of foreign speculators on both expected" returns and market volatility. We propose a cross … receipts country funds and other financial instruments, in an extranational market and market volatility in emerging equity … always decreases after a capital market liberalization but the effect is" economically and statistically weak. The effects on …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …

has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the … time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of … particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital …

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the … foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to … transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns …

has also possessed excess volatility' in the past century. It finds no evidence of excess volatility in the pre-World War … I German stock market. By contrast, there is some evidence of excess volatility in the post-World War II German stock … volatility of German stock indices before 1914 …

This paper presents and implements statistical tests of stock market forecastability and volatility that are immune …

This paper shows that stock volatility increases during recessions and financial crises from 1834-1987. The evidence … stock volatility, I show that volatility increases after major financial crises. Moreover. stock volatility decreases and … can control stock volatility. The evidence supports the observation by Black [1976] that stock volatility increases after …

This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834 … volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of … of stock volatility, even over the 1834-1925 period …