The study of volatility inter-dependence provides useful insights into how information is transmitted and disseminated … paper explores volatility spillovers between the Australian and New Zealand stock markets. The objective of the paper is to … determine if volatility surprises in one market influence the volatility of returns in the other market. The existing literature …

for the generalised model. Second, we examine models which incorporate timeâ€varying volatility dynamics. Third, a class … of models that incorporates both timeâ€varying volatility and the levels model is analysed. We extend these models by …

This paper applies a disaggregated approach to examine stock volatility at the firm, industry and market level in … their methodology to incorporate: formal tests of changes in volatility as well as correlations; and the Hodrick …-Prescott Filter to identify trends in the series. A trend of decreasing volatility is identified at all levels of aggregation, which …

In the absence of comprehensive evidence regarding disaggregated volatility and correlations, this paper applies a … disaggregated approach to examine these characteristics in the East Asia region. Testing commences with an examination of portfolio … expanding their portfolio composition beyond Australian securities (Sault 2005) to include stocks within the East Asia region …

deficit. Very little attention was paid to the effects of fiscal policy on growth and on macroeconomic volatility over the …, fiscal policy has often amplified cyclical volatility and dampened growth. 'Fiscal Policy, Stabilization, and Growth …

total volatility for the Thai baht and 46 per cent for the South Korean won. Indonesia is found to be the most affected in …

attract uninformed speculative investors and thus destabilise cash markets by increasing volatility. On the other hand, it has … discovery, allow the transfer of risk, and may actually reduce spot volatility. The empirical evidence is controversial and has … Athens Stock Exchange, employing a methodology that allows the examination of changes in the nature of volatility rather than …