Volatility transmission patterns and terrorist attacks
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Volatility transmission patterns and terrorist attacks

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Volatility transmission patterns and terrorist attacks

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Climent Diranzo, Francisco José; Chuliá Soler, Helena; Soriano Felipe, Pilar; Torró Enguix, Hipòlit
This document is a artículoDate2009

Este documento está disponible también en : http://hdl.handle.net/10550/36996
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

    Climent Diranzo, Francisco José Chulià, Helena Soriano Felipe, Pilar Torró Enguix, Hipòlit 2009 Volatility transmission patterns and terrorist attacks Quantitative Finance 9 5 607 619

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