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Volatility transmission patterns and terrorist attacks

[journal article]

Soriano, Pilar; Chulia, Helena; Climent, Francisco Jose; Torro, Hipolit

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Please use the following Persistent Identifier (PID) to cite this document:http://nbn-resolving.de/urn:nbn:de:0168-ssoar-221455

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Abstract The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the financial market responses to the September 11, March 11 and July 7 terrorist attacks. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the turmoil periods themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the financial market responses to the terrorist attacks. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets.
Classification Political Economy; Economic Statistics, Econometrics, Business Informatics
Method theory application
Free Keywords Volatility Modelling, Multivariate Volatility, GARCH models, International Finance, International Asset Pricing, Risk Management
Document language English
Publication Year 2009
Page/Pages p. 607-619
Journal Quantitative Finance, 9 (2009) 5
DOI http://dx.doi.org/10.1080/14697680802637882
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)