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Please use this identifier to cite or link to this item: http://hdl.handle.net/10609/109838
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dc.contributor.authorChuliá, Helena-
dc.contributor.authorCliment Diranzo, Francisco José-
dc.contributor.authorSoriano, Pilar-
dc.contributor.authorTorró Enguix, Hipòlit-
dc.contributor.otherUniversitat Oberta de Catalunya (UOC)-
dc.contributor.otherUniversitat de València-
dc.date.accessioned2020-02-18T08:24:02Z-
dc.date.available2020-02-18T08:24:02Z-
dc.date.issued2006-12-29-
dc.identifier.citationChuliá Soler, H., Climent, F., Soriano, P. & Torró Enguix, H. (2009). Volatility transmission patterns and terrorist attacks. Quantitative Finance, 9(5), 607-619. doi: 10.1080/14697680802637882en
dc.identifier.issn1469-7688MIAR
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dc.identifier.urihttp://hdl.handle.net/10609/109838-
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.format.mimetypeapplication/pdf-
dc.language.isoeng-
dc.publisherQuantitative Finance-
dc.relation.ispartofQuantitative Finance, 2009, 9(5)-
dc.relation.urihttps://doi.org/10.1080/14697680802637882-
dc.rightsCC BY-NC-ND-
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/3.0/es/-
dc.subjectinternational financial marketsen
dc.subjectstock market crisisen
dc.subjectmultivariate GARCHen
dc.subjectvolatility spilloversen
dc.subjectmercados financieros internacionaleses
dc.subjectmercats financers internacionalsca
dc.subjectcrisi del mercat de valorsca
dc.subjectcrisis del mercado de valoreses
dc.subjectmultivariate GARCHca
dc.subjectmultivariate GARCHes
dc.subjectderrames de volatilidades
dc.subjecttransmissions de volatilitatca
dc.subject.lcshMathematical statisticsen
dc.titleVolatility transmission patterns and terrorist attacks-
dc.typeinfo:eu-repo/semantics/article-
dc.subject.lemacEstadística matemàticaca
dc.subject.lcshesEstadística matemáticaes
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess-
dc.identifier.doi10.1080/14697680802637882-
dc.gir.idAR/0000001414-
dc.relation.projectIDinfo:eu-repo/grantAgreement/GV/2007/082-
dc.relation.projectIDinfo:eu-repo/grantAgreement/SEJ2006-15401-C04-04/ECON-
dc.type.versioninfo:eu-repo/semantics/submittedVersion-
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