On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVPVAR models with stochastic volatility
Year of publication: |
2014-04-10
|
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Authors: | Jebabli, Ikram ; Arouri, Mohamed ; Teulon, Frédéric |
Institutions: | Institut de Préparation à l'Administration et à la Gestion (IPAG) |
Subject: | Price volatility | TVP-VAR model | stochastic volatility | total volatility spillovers | directional volatility spillovers | food market | energy market | financial market | portfolios diversification | hedge effectiveness |
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