volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … the US, UK, Euro Zone and BRICS (Brazil, Russia, India, China and South Africa) countries, as a proxy for the measurement … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …

The primary purpose of the study is to identify and measure the properties of asset bubbles, volatility clustering, and … empirical methods; the LPPL model to identify asset bubbles, the DCC-GARCH model to measure volatility clustering, and the … Diebold-Yilmaz volatility spillover index to measure the level of financial contagion. We provide robust evidence that during …

UK follows the return movement and volatility mainly from US markets. The two emerging markets of Asia, India and China …The present study makes an attempt to investigate the dynamics of contagion and spillover of volatility amongst stock … markets of five economies which include three developed nations; US , UK and Japan and two Asian emerging economies viz. India …