English, Article edition: Volatility transmission patterns and terrorist attacks Helena Chulia; Francisco Climent; Pilar Soriano; ...

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Volatility transmission patterns and terrorist attacks
Author
  • Helena Chulia
  • Francisco Climent
  • Pilar Soriano
  • Hipolit Torro
Physical Description
  • article
Notes
  • The objective of this study is to analyse 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 impacts that terrorist attacks had on both markets.
  • Volatility modelling, International finance, International asset pricing, GARCH models, Multivariate volatility, Risk management,
  • RePEc:taf:quantf:v:9:y:2009:i:5:p:607-619
Language
  • English
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