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Have Volatility Transmission Patterns between the USA and Spain Changed after September 11?

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Advances in Risk Management

Part of the book series: Finance and Capital Markets Series ((FCMS))

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Abstract

On 11 September 2001, the USA experienced its most devastating terrorist attack. This attack had an influence over several economic variables and it obviously affected financial markets. Taking into account the increasing global financial integration, an important question arises: Could recent terrorist attacks have increased even more interrelations between financial markets?

The authors thank Andrew Patton and Farooq Malik for helpful comments and suggestions. Financial support from CICYT project BEC2003-09607-C04-04, and project GV04A/153 from Generalitat Valenciana and Instituto Valenciano de Investigaciones Económicas (IVIE) is gratefully acknowledged. H. Chuliá benefited from the financial support of a FPU grant from Ministerio de Educación y Ciencia and P. Soriano from the financial support of grant CTBPRB/2003/346 from Generalitat Valenciana.

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Authors
  1. Helena Chuliá
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  2. Francisco J. Climent
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  3. Pilar Soriano
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  4. Hipòlit Torró
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Editor information

Editors and Affiliations

  1. State University of New York (Plattsburgh), USA

    Greg N. Gregoriou (Associate Professor of Finance and coordinator of faculty research in the School of Business and Economics) (Associate Professor of Finance and coordinator of faculty research in the School of Business and Economics)

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© 2007 Helena Chuliá, Francisco J. Climent, Pilar Soriano and Hipòlit Torró

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Chuliá, H., Climent, F.J., Soriano, P., Torró, H. (2007). Have Volatility Transmission Patterns between the USA and Spain Changed after September 11?. In: Gregoriou, G.N. (eds) Advances in Risk Management. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9780230625846_16

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