Advances in Risk Management

296 NPV PROBABILITY DISTRIBUTION OF RISKY INVESTMENTS Using the development of log(1+z), given by log(1+z)=z−z 2 2 + z^3 3 − z^4 ...

JEAN-PAUL PAQUIN, ANNICK LAMBERT AND ALAIN CHARBONNEAU 297 Given that the cumulants of order higher than 2 generally are not equ ...

298 NPV PROBABILITY DISTRIBUTION OF RISKY INVESTMENTS We require the series to be stationary in mean and in variance which impli ...

JEAN-PAUL PAQUIN, ANNICK LAMBERT AND ALAIN CHARBONNEAU 299 and ̃X=^1 n(1−ρ) [u ̃ 1 (1−ρn)+u ̃ 2 (1−ρn−^1 )+u ̃ 3 (1−ρn−^2 )+··· ...

300 NPV PROBABILITY DISTRIBUTION OF RISKY INVESTMENTS We may express the logarithm of the characteristic function in terms of it ...

JEAN-PAUL PAQUIN, ANNICK LAMBERT AND ALAIN CHARBONNEAU 301 Consequently: nlim→∞√∑wt ̃ut ∑w 2 t =nlim→∞ ∑n t= 1 logφu ̃ ( wth ∑ ...

302 NPV PROBABILITY DISTRIBUTION OF RISKY INVESTMENTS Kendall, M. (1976)Time Series(New York, NY: Hafner Press). Laughhunn, D.J. ...

CHAPTER 16 Have Volatility Transmission Patterns between the USA and Spain Changed after September 11? Helena Chuliá, Francisco ...

304 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN The main objective of this study is to analyze whether volatility ...

HELENA CHULIÁ ET AL. 305 the USA), a jump in prices can be observed in the first market to open when the second one starts tradi ...

306 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN 200 0 01/18/0007/18/0001/18/0107/18/0101/18/0207/18/0201/18/0307/ ...

HELENA CHULIÁ ET AL. 307 Table 16.1Summary statistics R1,t p-value R2,t p-value Mean −0.00015 −0.00013 Variance 0.00014 0.00019 ...

308 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN Table 16.2 Returns, correlations and volatilities Panel A: return ...

HELENA CHULIÁ ET AL. 309 16.3 The econometric approach 16.3.1 The model The econometric model is estimated in a three-step proce ...

310 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN In the bivariate case, the BEKK model is written as follows: [ h ...

HELENA CHULIÁ ET AL. 311 In order to estimate the model in equations (16.1), (16.2) and (16.3), it is assumed that the vector of ...

312 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN It is important to note that this impulse response function exami ...

HELENA CHULIÁ ET AL. 313 Table 16.4Continued Panel B: pre-September 11 R1,t R2,t μ −0.00705 −0.000866 (0.26) (0.21) R1,t− 1 0.02 ...

314 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN Table 16.5 Summary statistics for the standardized residuals of t ...

315 Table 16.6 Results of the linearized multivariate BEKK model Panel A: total period S&P500 conditional variance equationh ...