Volatility transmission patterns and terrorist attacks

DOI10.1080/14697680802637882MaRDI QIDQ3645205zbMATH OpenOpenAlexWikidataFDO

Authors Helena Chuliá, Francisco J. Climent, Pilar Soriano, Hipòlit Torró

Publication date 16 November 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10609/109838

zbMATH Keywords

GARCH modelsrisk managementinternational asset pricinginternational financemultivariate volatilityvolatility modelling

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Actuarial science and mathematical finance (91G99)

Recommendations

• Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk
• A dynamical model of terrorism
• Self-exciting hurdle models for terrorist activity
• International market links and volatility transmission
• Terrorist attacks and total factor productivity
• Terrorism and probability neglect
• The influence of intraday seasonality on volatility transmission pattern

Cites work

• Empirical modelling of contagion: a review of methodologies
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• September 11 and Stock Return Expectations of Individual Investors*
• Statistical analysis of cointegration vectors
• Testing for a unit root in time series regression

Cited in

(5)

• Volatility transmission and spillover dynamics across financial markets: the role of geopolitical risk
• Volatility impacts on the European banking sector: GFC and COVID-19
• SHORT- AND LONG-TERM EFFECTS OF THE 9/11 EVENT: THE INTERNATIONAL EVIDENCE
• September 11 and Stock Return Expectations of Individual Investors*
• Terrorism and probability neglect

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