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 …

correlations between monetary policy, economic growth, inflation and asset price volatility, explores the creation of financial … research in China has primarily focused on the correlation between monetary policy and a specific asset price, while this book …

of absolute log returns, which is a typical measure of volatility, for each period. We find that (i) the tail of the …