Volatility transmission patterns and terrorist attacks
AbstractThe 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.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 9 (2009)
Issue (Month): 5 ()
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- Helena ChuliÃ¡ Soler & Pilar Soriano Felipe & Francisco Climent & HipÃ²lit TorrÃ³, 2007. "Volatility Transmission Patterns And Terrorist Attacks," Working Papers. Serie EC, Instituto Valenciano de Investigaciones EconÃ³micas, S.A. (Ivie) 2007-09, Instituto Valenciano de Investigaciones EconÃ³micas, S.A. (Ivie).
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F30 - International Economics - - International Finance - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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