Search Results - subject:"VaR"

Systemic operational risk in Morocco's banking sector : an empirical analysis using panel VAR

El Khadi, Kawtar; Firano, Zakaria - In: International Journal of Financial Studies : open … 14 (2026) 1, pp. 1-20

This study examines the systemic operational risk in Morocco's banking sector using a Panel VAR model based on data …

Persistent link: https://www.econbiz.de/10015591384

Incorporating micro data into macro models using pseudo VARs

Koop, Gary; McIntyre, Stuart; Mitchell, James; Wu, Ping - 2026

Persistent link: https://www.econbiz.de/10015618215

Comparing external and internal instruments for vector autoregressions

Bruns, Martin; Lütkepohl, Helmut - In: Journal of economic dynamics & control 177 (2025), pp. 1-15

Persistent link: https://www.econbiz.de/10015556653

Comparing the estimation of value at risk and expected shortfall with LSTM and EGARCH family members

Li, Shujie - 2026

Persistent link: https://www.econbiz.de/10015627081

Economic growth and environmental degradation in oman : testing the environmental Kuznets Curve hypothesis using time series analysis

Al-Hajri, Shamsa Salim; Khudari, Mohammed - In: International Journal of Energy Economics and Policy : IJEEP 16 (2026) 2, pp. 1012-1021

Persistent link: https://www.econbiz.de/10015620743

Structural drivers of growth at risk : insights from a VAR-quantile regression approach

Carboni, Giacomo; Fonseca, Luís; Fornari, Fabio; … - 2026

euro area. We model the conditional mean of these variables, along with selected financial indicators, using a VAR and … perform quantile regressions on the VAR residuals to estimate their time-varying variance as a function of macroeconomic and …

Persistent link: https://www.econbiz.de/10015592539

Fiscal and monetary dominance in a small open economy : a Markov-Switching VAR approach to Hungarian policy

Salimi, Sara; Tatay, Tibor; Kazinczy, Eszter; Amini, Mehran - In: Economies : open access journal 14 (2026) 2, pp. 1-16

. Adopting a Markov Regime-Switching VAR (MS-VAR) framework tailored to an open-economy context, the research estimates state …

Persistent link: https://www.econbiz.de/10015626067

Comparing external and internal instruments for vector autoregressions

Bruns, Martin; Lütkepohl, Helmut - 2025 - This version: February 11, 2025

In conventional proxy VAR analysis, the shocks of interest are identified by external instruments. This is typically … internalized by augmenting the VAR process by the instruments or proxies. These alternative identification methods are compared and …

Persistent link: https://www.econbiz.de/10015205441

Oil price shocks, exchange rate fluctuations, foreign direct investment inflows, and macroeconomic stability : evidence from Kazakhstan using a vector autoregressive approach

Turlybekova, Altynai; Sarsenova, Aķmaral Edílbajķyzy; … - In: International Journal of Energy Economics and Policy : IJEEP 16 (2026) 1, pp. 774-780

Persistent link: https://www.econbiz.de/10015617219

Sectoral and aggregate effects of supply chain disruptions in a small open economy

Friesenbichler, Klaus S.; Glocker, Christian; Hölzl, Werner - 2026

We present a country-specific measure of supply chain disruptions and compare it with a global counterpart. We identify each measure's macroeconomic role and consider a sectoral extension using the two-digit NACE level of disaggregation and a multi-sector general equilibrium model to assess the...

Persistent link: https://www.econbiz.de/10015628646