to providing new insights on contagion during crisis periods, we document patterns through time in world and regional … market integration and measure the proportion of volatility driven by global, regional, and local factors …

This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces … volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy … price volatility …

According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than …

institutions predicts higher volatility and greater noise in stock prices as well as greater fragility in times of crisis. When …

Adverse shocks to stock markets propagate across the world, with a jump in one region of the world seemingly causing an … increase in the likelihood of a different jump in another region of the world. To capture this effect mathematically, we … introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …

Current debates on globalization have tended to focus on financial market volatility and contagion. In fact, many … whether there has been volatility contagion from Mexico to the two South American nations. The results obtained from the … estimation of augmented GARCH equations indicate, quite strongly, that while there has been volatility contagion from Mexico to …