CHAPTER 16
Have Volatility
Transmission Patterns
between the USA and
Spain Changed after
September 11?
Helena Chuliá, Francisco J. Climent, Pilar Soriano
and Hipòlit Torró∗16.1 INTRODUCTION
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 increas-
ing 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 sugges-
tions. 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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