343 5 5550 5
0102030ADC(^00) 5 5
(^05)
5
10
ADC
0
5 5
(^50)
5
0
5
10
ADC
(^0) 5
0.5
5
(^50)
0
0.5
ADC
0
Panel B: News impact surfaces for Germany
5 5
(^50)
0
10
20
ADC
Panel A: News impact surfaces for France
(^050) 5 5
(^05)
10
20
ADC
0 5
5
10
0
10
20
5
0
5
0 5
ADC
5
1
0
1
2
5
0
5
0 5
ADC
Panel C: News impact surfaces for Great Britain
5 5
0
(^05)
20
40
ADC
0
5
5 5
0
(^05)
20
40
ADC
0
5
5 5
0
(^205)
0
20
ADC
0
5
5 5
0
(^55)
0
5
ADC
0
5
CAC40 Variance
Covariance
DAX Variance
Covariance
FTSE Variance
Covariance
MIDCAC Variance
MIDCAC shock(t 1) CAC40 shock(t 1) MIDCAC shock(t 1) CAC40 shock(t 1)
MIDCAC shock(t 1) CAC40 shock(t 1) MIDCAC shock(t 1) CAC40 shock(t 1)
SDAX shock(t 1) DAX shock(t 1) SDAX shock(t 1) DAX shock(t 1)
SMALL CAP shock(t 1) FTSE shock(t 1) SMALL CAP shock(t 1) FTSE shock(t 1)
SMALL CAP shock(t 1) FTSE shock(t 1) SMALL CAP shock(t 1) FTSE shock(t 1)
SDAX shock(t 1) DAX shock(t 1) SDAX shock(t 1) DAX shock(t 1)
Beta
SDAX Variance
Delta
SMALL CAP variance
Beta
Figure 17.3News impact surfaces for the ADC model