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Volatility transmission patterns and terrorist attacks

[Zeitschriftenartikel]

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

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):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.
Klassifikation Volkswirtschaftslehre; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Methode Theorieanwendung
Freie Schlagwörter Volatility Modelling, Multivariate Volatility, GARCH models, International Finance, International Asset Pricing, Risk Management
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 607-619
Zeitschriftentitel Quantitative Finance, 9 (2009) 5
DOI http://dx.doi.org/10.1080/14697680802637882
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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