Volatility transmission patterns and terrorist attacks
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
- Standort
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Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
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Online-Ressource
- Sprache
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Englisch
- Anmerkungen
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Postprint
begutachtet (peer reviewed)
In: Quantitative Finance ; 9 (2009) 5 ; 607-619
- Klassifikation
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Wirtschaft
- Ereignis
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Veröffentlichung
- (wo)
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Mannheim
- (wann)
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2009
- Urheber
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Soriano, Pilar
Chulia, Helena
Climent, Francisco Jose
Torro, Hipolit
- DOI
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10.1080/14697680802637882
- URN
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urn:nbn:de:0168-ssoar-221455
- Rechteinformation
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
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25.03.2025, 13:46 MEZ
Datenpartner
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Beteiligte
- Soriano, Pilar
- Chulia, Helena
- Climent, Francisco Jose
- Torro, Hipolit
Entstanden
- 2009
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