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
- Auteur
- JEBABLI, Ikram1 ; AROURI, Mohamed2 ; TEULON, Frédéric3
[1] CRCGM, Université d'Auvergne, France
[2] EDHEC Business School, France, 16 Rue du 4 Septembre, 75002 Paris, France
[3] IPAG Business School, IPAG Lab, France - Source
Energy economics. 2014, Vol 45, pp 66-98, 33 p ; ref : 3/4 p
- Editeur
- Elsevier, Amsterdam
- Pays de publication
- Netherlands
- Type de document
- Article
- Langue
- English
- Mot clé auteur
- C13 C15 G11 Hedge effectiveness O13 Portfolio diversification Q18 TVP-VAR model with stochastic volatility Volatility spillovers
- Mot clé (fr)
- Aliment Analyse multivariable Analyse stochastique Chaîne Markov Gestion portefeuille Généralisé Marché financier Modèle ARCH Modèle autorégressif Modèle économétrique Modélisation Méthode Monte Carlo Prix Produit alimentaire Pétrole Spillover Série temporelle Volatilité 1980-2012 Couverture risque
- Mot clé (en)
- Food Multivariate analysis Stochastic analysis Markov chain Portfolio management Generalized Financial market ARCH model Autoregressive model Econometric model Modeling Monte Carlo method Price Foodstuff Petroleum Spillover Time series Volatility Hedging
- Mot clé (es)
- Alimento Análisis multivariable Análisis estocástico Cadena Markov Gestión cartera Generalizado Mercado financiero Modelo ARCH Modelo autorregresivo Modelo econométrico Modelización Método Monte Carlo Precio Producto alimenticio Petróleo Rebose Serie temporal Volatibilidad
- Classification
- Pascal
- 001 Sciences exactes et technologie / 001D Sciences appliquees / 001D00 Generalites / 001D00D Economie
- Pascal
- 001 Sciences exactes et technologie / 001D Sciences appliquees / 001D06 Energie / 001D06A Etudes générales, économiques et professionnelles / 001D06A01 Economie de l'énergie / 001D06A01A Méthodologie. Modélisation
- Pascal
- 001 Sciences exactes et technologie / 001D Sciences appliquees / 001D06 Energie / 001D06A Etudes générales, économiques et professionnelles / 001D06A01 Economie de l'énergie / 001D06A01C Données économiques / 001D06A01C2 Combustibles fossiles et dérivés / 001D06A01C2B Pétrole
- Pascal
- 002 Sciences biologiques et medicales / 002A Sciences biologiques fondamentales et appliquees. Psychologie / 002A32 Agronomie. Sciences du sol et productions vegetales / 002A32A Généralités. Biométrie, expérimentation. Télédétection / 002A32A04 Economie agricole
- Discipline
- Agronomy. Soil sciences and vegetal productions Economy. Legislation. Training. Society Energy
- Provenance
- Inist-CNRS
- Base de données
- PASCAL
- Identifiant INIST
- 28833613
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.eneco.2014.06.008 
https://dx.doi.org/10.1016/j.eneco.2014.06.008
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