Volatility transmission patterns and terrorist attacks

Helena Chuliá, Francisco Climent (), Pilar Soriano and Hipolit Torro

Quantitative Finance, 2009, vol. 9, issue 5, 607-619

Abstract: 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.

Keywords: Volatility modelling; International finance; International asset pricing; GARCH models; Multivariate volatility; Risk management (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (15)

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Working Paper: VOLATILITY TRANSMISSION PATTERNS AND TERRORIST ATTACKS (2007)
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DOI: 10.1080/14697680802637882

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