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  • Search: subject:"TVP-VAR model with stochastic volatility"
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Year of publication
Subject
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TVP-VAR model with stochastic volatility 3 Hedge effectiveness 2 Portfolio diversification 2 Theorie 2 Theory 2 Volatility 2 Volatility spillovers 2 Volatilität 2 Aktienmarkt 1 Außenwirtschaftspolitik 1 Energiemarkt 1 Energy market 1 Energy market dynamics 1 Estimation 1 Food price 1 Foreign economic policy 1 Hedging 1 Lebensmittelpreis 1 Oil price 1 Partisan conflict 1 Political instability 1 Politische Instabilität 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risk 1 Schätzung 1 Stochastic process 1 Stochastischer Prozess 1 Stock market 1 Trade policy uncertainty 1 Welt 1 World 1 Ölpreis 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Arouri, Mohamed 2 Jebabli, Ikram 2 Teulon, Frédéric 2 Niu, Zibo 1 Qin, Yun 1 Yang, Cai 1 Zhang, Hongwei 1
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Published in...
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Energy Economics 1 Energy economics 1 Research in international business and finance 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Partisan conflict, trade policy uncertainty, and the energy market
Yang, Cai; Zhang, Hongwei; Qin, Yun; Niu, Zibo - In: Research in international business and finance 71 (2024), pp. 1-23
This paper investigates the time-varying effects of partisan conflict (PC) and trade policy uncertainty (TPU) on the energy market from January 2000 to July 2021 by employing a time-varying parameter vector autoregressive model with stochastic volatility. The results show that the pass-through...
Persistent link: https://www.econbiz.de/10015061705
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On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility
Jebabli, Ikram; Arouri, Mohamed; Teulon, Frédéric - In: Energy Economics 45 (2014) C, pp. 66-98
present a new time varying parameter VAR (TVP-VAR) model with stochastic volatility approach which provides extreme …
Persistent link: https://www.econbiz.de/10010939444
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On the effects of world stock market and oil price shocks on food prices : an empirical investigation based on TVP-VAR models with stochastic volatility
Jebabli, Ikram; Arouri, Mohamed; Teulon, Frédéric - In: Energy economics 45 (2014), pp. 66-98
Persistent link: https://www.econbiz.de/10010504792
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