The effects war and terrorism have on the covariance between oil prices and the indices of four major stock markets – the American S&P500, the European DAX, CAC40 and FTSE100 – using non-linear BEKK–GARCH type models are investigated. The findings indicate that the covariance between stock...

Modern economies have been subjected to a number of shocks during the past several years such as the burst of the Internet bubble, terrorist attacks, corporate scandals, the war in Iraq, the uncertainty about energy prices, and the recent subprime mortgage crisis. In particular, during the last...