In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and emerging markets from February 2001 to...

This paper examines whether Asian emerging stock markets (India, Korea, Malaysia, Philippines, Taiwan, and Thailand) have become integrated into world capital markets since their official liberalization dates by estimating and testing a dynamic integrated international capital asset pricing...