Large shocks and the September 11th terrorist attacks on international stock markets

Economic Modelling

Volumn 23, Issue 4, 2006, Pages 683-698

  Charles, Amélie ^a   Darné, Olivier ^b  

^a UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

^b Banque de France ^*  (France)

Author keywords

GARCH model; Large shocks; Outliers; Stock market indexes; Terrorist attacks

Indexed keywords

EID: 33746237668     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2006.03.008     Document Type: Article

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