This study provides new evidence of nonlinearities in the dynamics of volatility expectations during financial crises using Markov regime-switching models of model-free volatility indices. The regimes of changes in implied volatility in international financial markets are defined as function of...

This paper tests for nonlinearities in the behavior of volatility expectations based on model-free implied volatility indices. Using Markov regime-switching models, the empirical evidence from the German, Japanese and U.S. markets suggests that there are indeed regime-specific levels of...

This paper examines asymmetries in the dynamic relationship between foreign exchange fluctuations and stock market volatility in Pacific basin countries. The methodology is based on a dynamic covariance modelling that accounts for leverage effects and the asymmetric impact of currency...

This paper examines nonlinearities in the dynamics of volatility expectations using benchmarks of implied volatility for the US and Japanese markets. The evidence from Markov regime-switching models suggests that volatility expectations are likely to be governed by regimes featuring a long...

We investigate the extent of real convergence among G7 economies in terms of long-run real interest parity. A novel approach is applied where unit-root tests of real interest differentials are embedded within a Markov regime-switching framework. Whereas standard univariate unit-root tests...