Common Volatility in International Equity Markets

@article{Engle1993CommonVI,
  title={Common Volatility in International Equity Markets},
  author={R. Engle and Raul Susmel},
  journal={Journal of Business \& Economic Statistics},
  year={1993},
  volume={11},
  pages={167-176}
}
In this article, we take advantage of the time-varying structure of stock-returns variances to investigate whether two international stock markets share the same volatility process. We use a test recently developed by Engle and Kozicki. This test is also used to assess the validity of a one-factor autoregressive conditional heteroscedasticity model. We find that some international stock markets have the same time-varying volatility. 
Common volatility across Latin American foreign exchange markets
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