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Applying intervention analysis to financial performance data: The case of US airlines and September 11th

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Author Info
Vitaly Guzhva ()
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File URL: http://hdl.handle.net/10.1007/s12197-007-9023-1
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Publisher Info
Article provided by Springer in its journal Journal of Economics and Finance.

Volume (Year): 32 (2008)
Issue (Month): 3 (July)
Pages: 243-259
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Handle: RePEc:spr:jecfin:v:32:y:2008:i:3:p:243-259

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Related research
Keywords: US airlines; Intervention analysis; Terrorist attack; Impact effect; G14; L93; L98;

References listed on IDEAS
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  1. Larcker, David F. & Gordon, Lawrence A. & Pinches, George E., 1980. "Testing for Market Efficiency: A Comparison of the Cumulative Average Residual Methodology and Intervention Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(02), pages 267-287, June. [Downloadable!]
  2. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220 National Bureau of Economic Research, Inc. [Downloadable!]
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  3. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February. [Downloadable!] (restricted)
  4. Enders, Walter & Sandler, Todd & Parise, Gerald F, 1992. "An Econometric Analysis of the Impact of Terrorism on Tourism," Kyklos, Blackwell Publishing, vol. 45(4), pages 531-54.
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