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 …

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased … volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper … should lead to a reduction in return volatility as risk is spread among a larger number of investors …

-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However …