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Volatility transmission patterns and terrorist attacks

[journal article]

dc.contributor.authorSoriano, Pilarde
dc.contributor.authorChulia, Helenade
dc.contributor.authorCliment, Francisco Josede
dc.contributor.authorTorro, Hipolitde
dc.date.accessioned2011-02-23T03:54:00Zde
dc.date.accessioned2012-08-29T23:07:46Z
dc.date.available2012-08-29T23:07:46Z
dc.date.issued2009de
dc.identifier.urihttp://www.ssoar.info/ssoar/handle/document/22145
dc.description.abstractThe 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.en
dc.languageende
dc.subject.ddcWirtschaftde
dc.subject.ddcEconomicsen
dc.subject.otherVolatility Modelling, Multivariate Volatility, GARCH models, International Finance, International Asset Pricing, Risk Management
dc.titleVolatility transmission patterns and terrorist attacksen
dc.description.reviewbegutachtet (peer reviewed)de
dc.description.reviewpeer revieweden
dc.source.journalQuantitative Financede
dc.source.volume9de
dc.publisher.countryGBR
dc.source.issue5de
dc.subject.classozEconomic Statistics, Econometrics, Business Informaticsen
dc.subject.classozWirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatikde
dc.subject.classozPolitical Economyen
dc.subject.classozVolkswirtschaftslehrede
dc.identifier.urnurn:nbn:de:0168-ssoar-221455de
dc.date.modified2011-03-17T16:30:00Zde
dc.rights.licencePEER Licence Agreement (applicable only to documents from PEER project)de
dc.rights.licencePEER Licence Agreement (applicable only to documents from PEER project)en
ssoar.gesis.collectionSOLIS;ADISde
ssoar.contributor.institutionhttp://www.peerproject.eu/de
internal.status3de
dc.type.stockarticlede
dc.type.documentjournal articleen
dc.type.documentZeitschriftenartikelde
dc.rights.copyrightfde
dc.source.pageinfo607-619
internal.identifier.classoz10905
internal.identifier.classoz1090300
internal.identifier.document32
internal.identifier.ddc330
dc.identifier.doihttps://doi.org/10.1080/14697680802637882de
dc.subject.methodsTheorieanwendungde
dc.subject.methodstheory applicationen
dc.description.pubstatusPostprinten
dc.description.pubstatusPostprintde
internal.identifier.licence7
internal.identifier.methods15
internal.identifier.pubstatus2
internal.identifier.review1
internal.check.abstractlanguageharmonizerCERTAIN
internal.check.languageharmonizerCERTAIN_RETAINED


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