The main goal of this study is to investigate the asymmetric impact of innovations on volatility in the case of the US and three biggest emerging CEEC–3 markets, using univariate EGARCH approach. We compare empirical results for both the whole sample from Jan 3, 2007 to Dec 30, 2011, and two...

This paper investigates the interdependence of price volatility across the U.S. stock market and two emerging markets: Poland and Hungary. Using daily data for countries located in different time zones, we point out the problems caused by the presence of nonsynchronous trading effects. To...