This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …

moderation of output volatility compared to the well-known break during the mid-1980s. The period of analysis runs from 1962Q2 to … unconditional volatility and procedures of structural break detection (Inclan–Tiao test and autoregressive conditional …