This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …

This paper investigates possible drivers of volatility in the South African rand since the onset of the global … financial crisis. We assess the role played by local and international economic surprises, commodity price volatility, global … market risk perceptions, and local political uncertainty. As a measure of rand volatility, the study uses a market …

Using data for the major currencies from 1973 to 1994, we apply recent tests of asset price volatility to re …. Consistent with previous evidence from regression-based tests, most of the models that we examine are rejected by our volatility … “volatility”, however, may disguise the cause of rejection as excessive exchange rate volatility. This a Working Paper and the …