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Volatility transmission patterns and terrorist attacks
[journal article]
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 asymmetr... view more
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.... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Political Economy
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
https://doi.org/10.1080/14697680802637882
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)