Volatility transmission patterns and terrorist attacks

DOI10.1080/14697680802637882zbMath1176.91123OpenAlexW2113984249WikidataQ58060543 ScholiaQ58060543MaRDI QIDQ3645205

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

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

international asset pricingrisk managementGARCH modelsinternational financemultivariate volatilityvolatility modelling

Mathematics Subject Classification ID

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

Cites Work

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

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