correlations between monetary policy, economic growth, inflation and asset price volatility, explores the creation of financial … for China, the book uses the GARCH mean value model and MGARCH-BEKK model to create a pressure index and provide a three …

exchange rate, interest rate, money supply, and oil prices on volatility in their stock markets. Investor can search for …

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 …

reflect the Great Moderation. That is, leptokurtosis disappears after GARCH adjustment once we incorporate the break in the …