relations between six important world markets - U.S., U.K., Germany, Japan, China and India from January 2000 until December … quantify inter-market relations. The approach is based on the correlations between the market index, the index volatility, the … 2010. We found that while the developed ``western'' markets (U.S., U.K., Germany), are highly correlated, the …

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 …