Advances in Risk Management

316 Table 16.6 Continued Panel C: post-September 11 period S&P500 conditional variance equationh11, =t 1,82 × 10 −^6 + 0,911 ...

HELENA CHULIÁ ET AL. 317 (ε^22 ). Moreover, the coefficient for its own asymmetric term (η^22 ) is significant, indicating that ...

318 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN 1
0.05 0.00 0.05 0.10 0.15 0.20 0.25 0.30 10 19 28 37 46 55 Days ...

HELENA CHULIÁ ET AL. 319 1
0.05 0.00 0.05 0.10 0.15 0.20 0.25 0.30 10 19 28 37 46 55 Days A. A negative shock in the S&P500 ...

320 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN 1
0.05 0.00 0.05 0.10 0.15 0.20 0.25 0.30 10 19 28 37 46 55 Days ...

HELENA CHULIÁ ET AL. 321 1
0.05 0.00 0.05 0.10 0.15 0.20 0.25 0.30 10 19 28 37 46 55 Days A. A negative shock in the S&P500 ...

322 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN 1
0.05 0.00 0.05 0.10 0.15 0.20 0.25 0.30 91725334149 Days A. A ...

HELENA CHULIÁ ET AL. 323
0.05 0.00 0.05 0.10 0.15 0.20 0.25 0.30 Days A. A negative shock in the S&P500 AVIRF S&P500 1 ...

324 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN Aspecial issue of theJournal of Risk and Uncertainty(2003, vol. 2 ...

HELENA CHULIÁ ET AL. 325 Hamao, Y., Masulis, R.W. and Ng, V. (1990) “Correlations in Price Changes and Volatility Across Interna ...

326 VOLATILITY TRANSMISSION PATTERNS BETWEEN THE USA AND SPAIN Ramchand, L. and Susmel, R. (1998) “Volatility and Cross Correlat ...

CHAPTER 17 Large and Small Cap Stocks in Europe: Covariance Asymmetry, Volatility Spillovers and Beta Estimates Helena Chuliá an ...

328 LARGE AND SMALL CAP STOCKS IN EUROPE transmitted from large to small capitalization companies but suggests that there are di ...

HELENA CHULIÁ AND HIPÒLIT TORRÓ 329 Which effect, leverage effect or volatility feedback effect, is the main determinant of asym ...

330 LARGE AND SMALL CAP STOCKS IN EUROPE Since the CAPM does not restrict the time variation in second moments, we employ a mult ...

HELENA CHULIÁ AND HIPÒLIT TORRÓ 331 There are two main advantages in simultaneously modeling the condi- tional mean and variance ...

332 LARGE AND SMALL CAP STOCKS IN EUROPE The use of market indices, instead of portfolios, provides two advantages to the practi ...

333 1991 0 2,000 4,000 6,000 8,000 10,000 12,000 Indices 1992199319941995199619971998199920002001200220032004 1991 0 2,000 4,000 ...

334 Table 17.1Summary statistics for the data Panel A: summary statistics for French indices series Large cap index return Small ...

HELENA CHULIÁ AND HIPÒLIT TORRÓ 335 Table 17.1 Continued Q(20) 42.6930 [0.002] 165.3912 [0.003] Q^2 (20) 196.426 [0.000] 162.928 ...