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http://hdl.handle.net/10609/109838
Title: | Volatility transmission patterns and terrorist attacks |
Author: | Chuliá, Helena Climent Diranzo, Francisco José Soriano, Pilar Torró Enguix, Hipòlit |
Others: | Universitat Oberta de Catalunya (UOC) Universitat de València |
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 |
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. |
Keywords: | international financial markets stock market crisis multivariate GARCH volatility spillovers |
DOI: | 10.1080/14697680802637882 |
Document type: | info:eu-repo/semantics/article |
Version: | info:eu-repo/semantics/submittedVersion |
Issue Date: | 29-Dec-2006 |
Publication license: | https://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
Appears in Collections: | Articles Articles cientÍfics |
Files in This Item:
File | Description | Size | Format | |
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Chulia_QF_2009_Volatility.pdf | pre-print | 421,85 kB | Adobe PDF | View/Open |
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