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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

Value-at-Risk under Lévy GARCH models : evidence from global stock markets

Slim, Skander; Koubaa, Yosra; BenSaïda, Ahmed - In: Journal of international financial markets, … 46 (2017), pp. 30-53

Persistent link: https://www.econbiz.de/10011745291

Modeling of stock indices with HMM-SV models

Nkemnole, E. B.; Wulu, J. T. - In: Theoretical and applied economics : GAER review 24 (2017) 2, pp. 45-60

Persistent link: https://www.econbiz.de/10011795001

Value-at-risk for South-East Asian stock markets : stochastic volatility vs. GARCH

Quang, Paul Bui; Klein, Tony; Nguyen Nam Hai; Walther, … - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20

markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance …-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility …

Persistent link: https://www.econbiz.de/10011855291