Sudden changes in volatility in emerging markets: The case of Gulf Arab stock markets

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Sudden changes in volatility: The case of five central European stock markets (2009, methodology): “This is contrasted with the findings of Hammoudeh and Li (2006) who find that major global events are the dominant factors for Gulf Arab stock markets.”
Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets (2008, methodology): “Hammoudeh and Li (2008) examine sudden changes in volatility for five GCC stock markets at the market index using the iterated cumulative sums of squares (ICSS) algorithm, and analyze their impacts on the estimated persistence of volatility.”
Global financial crisis and spillover effects among the U.S. and BRICS stock markets (2016, background): “Hammoudeh and Li (2008) conclude that the events give rise to sudden changes are rather global than local ones.”