Chulia, Helena; Climent, Francisco; Soriano, Pilar; … - In: Quantitative Finance 9 (2009) 5, pp. 607-619
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...