Volatility Transmission Patterns And Terrorist Attacks
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- Helena Chulia & Francisco Climent & Pilar Soriano & Hipolit Torro, 2009. "Volatility transmission patterns and terrorist attacks," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 607-619.
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- Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch & Mark Wohar, 2016. "Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries," Working Papers 201608, University of Pretoria, Department of Economics.
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More about this item
KeywordsMercados financieros internacionales; Crisis financieras; GARCH multivariante; Transmisión de volatilidad. International financial markets; Stock market crisis; Multivariate GARCH; Volatility spillovers.;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F30 - International Economics - - International Finance - - - General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-02 (All new papers)
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