Volatility transmission patterns and terrorist attacks

Chuliá, Helena; Climent Diranzo, Francisco José; Soriano, Pilar; Torró Enguix, Hipòlit

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Camp DC	Valor	Llengua/Idioma
dc.contributor.author	Chuliá, Helena	-
dc.contributor.author	Climent Diranzo, Francisco José	-
dc.contributor.author	Soriano, Pilar	-
dc.contributor.author	Torró Enguix, Hipòlit	-
dc.contributor.other	Universitat Oberta de Catalunya (UOC)	-
dc.contributor.other	Universitat de València	-
dc.date.accessioned	2020-02-18T08:24:02Z	-
dc.date.available	2020-02-18T08:24:02Z	-
dc.date.issued	2006-12-29	-
dc.identifier.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	en
dc.identifier.issn	1469-7688MIAR	-
dc.identifier.uri	http://hdl.handle.net/10609/109838	-
dc.description.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.	en
dc.format.mimetype	application/pdf	-
dc.language.iso	eng	-
dc.publisher	Quantitative Finance	-
dc.relation.ispartof	Quantitative Finance, 2009, 9(5)	-
dc.relation.uri	https://doi.org/10.1080/14697680802637882	-
dc.rights	CC BY-NC-ND	-
dc.rights.uri	https://creativecommons.org/licenses/by-nc-nd/3.0/es/	-
dc.subject	international financial markets	en
dc.subject	stock market crisis	en
dc.subject	multivariate GARCH	en
dc.subject	volatility spillovers	en
dc.subject	mercados financieros internacionales	es
dc.subject	mercats financers internacionals	ca
dc.subject	crisi del mercat de valors	ca
dc.subject	crisis del mercado de valores	es
dc.subject	multivariate GARCH	ca
dc.subject	multivariate GARCH	es
dc.subject	derrames de volatilidad	es
dc.subject	transmissions de volatilitat	ca
dc.subject.lcsh	Mathematical statistics	en
dc.title	Volatility transmission patterns and terrorist attacks	-
dc.type	info:eu-repo/semantics/article	-
dc.subject.lemac	Estadística matemàtica	ca
dc.subject.lcshes	Estadística matemática	es
dc.rights.accessRights	info:eu-repo/semantics/openAccess	-
dc.identifier.doi	10.1080/14697680802637882	-
dc.gir.id	AR/0000001414	-
dc.relation.projectID	info:eu-repo/grantAgreement/GV/2007/082	-
dc.relation.projectID	info:eu-repo/grantAgreement/SEJ2006-15401-C04-04/ECON	-
dc.type.version	info:eu-repo/semantics/submittedVersion	-
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