Volatility transmission patterns and terrorist attacks

Journal article | Zeitschriftenartikel

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.

Object Details

• Extent: Seite(n): 607-619
• Language: Englisch
• Notes: Status: Postprint; begutachtet (peer reviewed)

References and Relationships

• Bibliographic citation: Quantitative Finance, 9(5)

Classification and Topics

• Subject: Wirtschaft ; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik ; Volkswirtschaftslehre ; Theorieanwendung

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Soriano, Pilar ; Chulia, Helena ; Climent, Francisco Jose ; Torro, Hipolit
• Event: Veröffentlichung
• (where): Vereinigtes Königreich
• (when): 2009

Further information

• DOI: https://doi.org/10.1080/14697680802637882
• URN: urn:nbn:de:0168-ssoar-221455
• Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
• Last update: 21.06.2024, 4:27 PM CEST