Results 241 to 250 of about 24,674,854 (304)

The effects of oil price on regional economies with different production structures: A case study from Korea using a structural VAR model

Energy Policy, 2011
Mo Chung, Sukgyu Lee
exaly   +2 more sources

Exploring the dynamic effects of financial factors on oil prices based on a TVP-VAR model

Physica A: Statistical Mechanics and its Applications, 2019
The financialization of crude oil has been enhanced since the 2000s, which has built a stronger relationship between oil and other financial assets, and has increased volatility in the crude oil market.
Fenghua Wen, Minzhi Zhang, M. Deng, Yupei Zhao, Ouyang Jian   +4 more
semanticscholar   +1 more source

An empirical analysis of the relationship between the environment, economy, and society: Results of a PCA-VAR model for Iran

Ecological Indicators, 2019
Iran is among the top ten CO2 emitters in the world and has pledged to reduce such emissions by up to 12 percent by 2030 through various policies and strategies.
S. Mamipour, Masoud Yahoo, Sahar Jalalvandi   +2 more
semanticscholar   +1 more source

Estimation of VAR Models Computational Aspects

Computational Economics, 2003
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Foschi, P., Kontoghiorghes, E. J.
openaire   +3 more sources

A comparison of GARCH models for VaR estimation

Expert Systems with Applications, 2010
This study is an attempt to compare a comprehensive list of GARCH models in quantifying risks of VaR under stress times. We gather data of stock market indices from both emerging (Brazil and Turkey) and developed (Germany and the USA) markets, over the period of global financial crisis and make use of numerous GARCH specifications to return VaR values.
Mehmet Orhan, Bülent Köksal
openaire   +1 more source

From VAR models to Structural VAR models

1997
In this chapter we introduce the philosophy, the basic concepts and definitions of VAR analysis (sections 1.1 and 1.2). After that, in section 1.3 we discuss the problems of VAR estimation and in section 1.4 we describe the possible uses of VAR models. Then in section 1.5 we start dealing with Structural VAR analysis, pointing out the main features of ...
Gianni Amisano, Carlo Giannini
openaire   +1 more source

A Robust VaR Model

SSRN Electronic Journal, 2005
This paper analyses several volatility models by examining their ability to forecast the Value-at-Risk (VaR) for two different time periods and two capitalization weighting schemes. Specifically, VaR is calculated for large and small capitalization stocks, based on Dow Jones (DJ) Euro Stoxx indices and is modeled for long and short trading positions by
Timotheos Angelidis, Alexander V. Benos, Stavros Antonios Degiannakis   +2 more
openaire   +1 more source

Structural VAR models in the Frequency Domain

Journal of Econometrics, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Guay, Alain, Pelgrin, Florian
openaire   +1 more source

Credit VaR Model

2023
Credit value at risk (VaR) is used for measuring and analyzing credit risk of a portfolio. The basic methodology of the Credit VaR employs the credit migration approach spearheaded by RiskMetrics. It assumes that obligor's credit quality is determined by the obligor's asset value, which in turn is approximated by its standardized equity return.
openaire   +1 more source

Fat-tails in VAR models [PDF]

, 2014
We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance.
Ching-Wai (Jeremy) Chiu, Haroon Mumtaz, Gabor Pinter   +2 more
openaire   +1 more source