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

By Amélie Charles, Olivier Darné. 2006

157 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0c0d2662f0e97790dbe111b9abf047aab1a98a79

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Citations in the corpus

War and stock markets: The effect of World War Two on the British stock market (2015, methodology): “Charles and Darné (2006) perform a study on the impact of the September 11 th attacks in 2001 on international stock markets by estimating abnormal price changes using an outlier detection method based on an ARIMA model.”
Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note (2019, background): “On the other hand, regarding geopolitical risks, the literature shows that conventional financial markets have not been immune to GPRs with negative effects observed at both the aggregate and sector level (e.g. Chen and Siems 2004; Charles and Darné 2006).”
Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models (2020, background): “Charles and Darné (2006), analyzing 10 daily stock market indexes, find supportive evidence that the terrorist attack and its aftermath cause large transient and permanent shocks to international stock markets.”
Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects (2014, methodology): “Therefore, they are used as proxies of the UK and Swiss markets, potentially reflecting shocks in the state of the economy of these two countries (Charles and Darné (2006) and Äijö (2008)).”
Terrorism and Stock Market Sentiment (2010, unknown): “Maillet and Michel (2005), Charles and Darne (2006) , Johnston and Nedelescu (2006), and”