process. We consider a BEKK expand with shocks to volatility transmission across markets. The purpose of these amendments is … shocks to volatility persistence over estimating; second, heteroskedasticity and omitted variables bias in market cross … and 2006. Several interesting results are obtained with this model: the reduction of shocks to volatility persistence …

Detecting structural changes in volatility is important for understanding volatility dynamics and stylized facts … observed for financial returns such as volatility persistence. We propose modified CUSUM and LM tests that are built on a …

In this paper we analyse the impact of non-stationary volatility on the recently developed unit root tests which allow … general form, including, for example, the case of a single break in the volatility of the innovations which may or may not … root statistics based around this estimator are not pivotal in the presence of non-stationary volatility. Associated Monte …