Auflistung Nach Schlagwort "Conditional volatility"
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Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange
(2006)This paper analyses the impact of exogenous national security related shocks on the time-varying volatility structure of the Greek stock market. Alternative autoregressive conditional heteroscedastic models are estimated, ... -
Stock markets and terrorist attacks: Comparative evidence from a large and a small capitalization market
(2011)An expanding body of literature has investigated the economic impact of terrorist attacks. A part of this literature has focused on financial markets. We examine three research questions: whether markets' reactions to ... -
Terrorism and capital markets: The effects of the Madrid and London bomb attacks
(2011)Using event study methodology and GARCH family models, the paper investigates the effects of two terrorist incidents - the bomb attacks of 11th March 2004 in Madrid and 7th July 2005 in London - on equity sectors. Significant ...