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
Ikram Jebabli; Mohamed Arouri; Frédéric Teulon
Year of publication: |
2014
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Authors: | Jebabli, Ikram ; Arouri, Mohamed ; Teulon, Frédéric |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 45.2014, p. 66-98
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Subject: | TVP-VAR model with stochastic volatility | Volatility spillovers | Portfolio diversification | Hedge effectiveness | Volatilität | Volatility | Ölpreis | Oil price | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Aktienmarkt | Stock market | Lebensmittelpreis | Food price | Spillover-Effekt | Spillover effect | Schätzung | Estimation | Hedging | Theorie | Theory |
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