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Essays in econometrics of financial asset pricing models


Karaman, Mustafa Arif. Essays in econometrics of financial asset pricing models. 2012, University of Zurich, Faculty of Economics.

Abstract

The main focus of this paper is to study empirically the impact of terrorism on the behavior of stock, bond and commodity markets. We consider terrorist events that took place in 25 countries over an 11-year time period and implement our analysis using different methods: an event-study approach, a non-parametric methodology, and a filtered GARCH-EVT approach. In addition, we compare the effect of terrorist attacks on financial markets with the impact of other extreme events such as financial crashes and natural catastrophes. The results of our analysis show that a non-parametric approach is the most appropriate method among the three for analyzing the impact of terrorism on financial markets. We demonstrate the robustness of this method when interest rates, equity market integration, spillover and contemporaneous effects are controlled. We show how the results of this approach can be used for investors’ portfolio diversification strategies against terrorism risk.e, Modellen also welche eine „jump“ Komponente beinhalten, sollte daher die LE-methode verwendet werden.

Abstract

The main focus of this paper is to study empirically the impact of terrorism on the behavior of stock, bond and commodity markets. We consider terrorist events that took place in 25 countries over an 11-year time period and implement our analysis using different methods: an event-study approach, a non-parametric methodology, and a filtered GARCH-EVT approach. In addition, we compare the effect of terrorist attacks on financial markets with the impact of other extreme events such as financial crashes and natural catastrophes. The results of our analysis show that a non-parametric approach is the most appropriate method among the three for analyzing the impact of terrorism on financial markets. We demonstrate the robustness of this method when interest rates, equity market integration, spillover and contemporaneous effects are controlled. We show how the results of this approach can be used for investors’ portfolio diversification strategies against terrorism risk.e, Modellen also welche eine „jump“ Komponente beinhalten, sollte daher die LE-methode verwendet werden.

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Additional indexing

Item Type:Dissertation (monographical)
Referees:Mancini Loriano, Leippold Markus
Communities & Collections:UZH Dissertations
Dewey Decimal Classification:Unspecified
Language:English
Place of Publication:Zurich
Date:2012
Deposited On:16 Apr 2019 15:24
Last Modified:07 Apr 2020 07:17
Number of Pages:149
OA Status:Green
Related URLs:https://www.recherche-portal.ch/primo-explore/fulldisplay?docid=ebi01_prod007571423&context=L&vid=ZAD&search_scope=default_scope&tab=default_tab&lang=de_DE (Library Catalogue)

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