Kavetsos, Georgios; Szymanski, Stefan - In: Revue d'économie politique 118 (2008) 2, pp. 189-206
This paper examines the impact of the announcement of the 2012 Olympic Games and the July 7th London terrorist attacks on the indices of the London and Paris Stock Exchanges. Using a GARCH ( 1,1 ) ? t specification, we are able to show that both events are estimated to have the expected sign,...
