cointegration in Singapore and Hong Kong and no evidence of cointegration in China, Japan, Thailand, Malaysia, Indonesia and South …

. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these …

. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these …

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 …