In the increasingly globalized economy these days, the major crude oil markets worldwide are seeing higher level of integration, which results in higher level of dependency and transmission of risks among different markets. Thus the risk of the typical multi-asset crude oil portfolio is influenced by dynamic correlation among different assets, which has both normal and transient behaviors. This...

In this paper we propose a vine copula based Monte Carlo simulation model for estimating Portfolio Value at Risk. The vine copula model is introduced to analyze the complex dependence structure of different regional markets in the typical financial markets. Then we construct the vine copula based Portfolio Value at Risk model, taking into account the identified high dimensional dependence struc...

Impact of Economic Complexity and Political, Economic, Financial Risk Shock on Income Gap; Application PVAR Model

این پژوهش با الهام گرفتن از نتایج یک طرح مطالعاتی کاربردی، رویکرد سلسله­‌مراتبی جهت پیگیری فرایند توسعه تأمین‌کنندگان و حمایت تصمیمات موجود در هر مراحل آن ارائه‌ می‌کند. ابتدا، زمینه‌های تأمین نیازمند سپس واجد شرایط هریک زمینه‌ها به کمک تصمیم‌گیری چندشاخصه بهترین-بدترین مشخص می‌گردند. معیارهای شناسایی نیز مرور مطالعات پیشین بهره‌گیری نظرات خبرگان حوزه‌ی خرید استخراج‌شده‌اند. درنهایت، مدل ریاضی ...

This study implemented Panel Vector Autoregression (PVAR) Model to examine short-run dynamic relationships between inflation rate, population and unemployment rate as function of Gross Domestic Product (GDP) for Economic Community West Africa States (ECOWAS) counties. To achieve this, secondary data was sourced Population, Inflation Unemployment GDP from National Bureau Statistics, Nigeria ECOW...

This quantitative research aims to measure the factors that affect economy in 10 ASEAN countries 2014-2020. The method used is panel vector autoregressive (PVAR). results of were divided into several tests. First, causality test shows GDP has an effect on inflation and money supply with a one-way causality. Second, PVAR significant unemployment rate at lags 1 2. follow-up test, namely IRF, shoc...

Renewable energy policy is one of the remarkable parts sustainable development path. However, political-economic dimension renewable policies not so much widely discussed. Besides, democracy and globalization are essential factors affecting energy. Hence, this paper examines relationship between consumption, democracy, in Central Eastern European Countries (CEECs) during period 1995-2021. Econo...