This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

This study examines the relationship between U.S. output growth and its volatility over the period 1875:Q1 to 2008:Q2 … breaks in the growth rate and its volatility. In so doing, we employ autoregressive generalized conditional … growth rate and its volatility with and without structural breaks in the mean and volatility processes. We discover one break …

moderation of output volatility compared to the well-known break during the mid-1980s. The period of analysis runs from 1962Q2 to … unconditional volatility and procedures of structural break detection (Inclan–Tiao test and autoregressive conditional …