Kamel malik Bensafta   ''Non-stationary Variance and Volatility Causality'' ( 2010, Vol. 30 No.4 )     This paper aims to describe bias estimates when non-stationary variance is not detected. We first present a theoretical multivariate GARCH model with structural changes in variance. Then we describe the non-stationary variance and Volatility Causality in the case of the US and the three developed Asian stock markets Japan, Hong Kong and Singapore. Daily data are used for the period May 30th 2002 until June 29th 2010.     Keywords: Multivariate GARCH, Non linear VAR, Mean spillover, Volatility spillover, Structural break in variance, Market Co-movement. JEL: C5 - Econometric Modeling: General   Manuscript Received : Nov 03 2010   Manuscript Accepted : Nov 08 2010   This abstract has been downloaded 1943 times                The Full PDF of this paper has been downloaded 173507 times