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http://hdl.handle.net/10609/109838
Title: Volatility transmission patterns and terrorist attacks
Author: Chuliá Soler, Helena
Climent, Francisco José
Soriano, Pilar
Torró Enguix, Hipòlit
Keywords: International financial markets
Stock market crisis
Multivariate GARCH
Volatility spillovers
Issue Date: 2-Jan-2009
Publisher: Quantitative Finance
Citation: Chuliá Soler, H., Climent, F., Soriano, P. & Torró Enguix, H. (2009). Volatility transmission patterns and terrorist attacks. Quantitative Finance, 9(5), 607-619. doi: 10.1080/14697680802637882
Also see: https://www.tandfonline.com/doi/full/10.1080/14697680802637882
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.
Language: English
URI: http://hdl.handle.net/10609/109838
ISSN: 1469-7688MIAR
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