...@kennesaw.edu 10 07 2021 06 01 2022 19 05 2022 08 08 2022 26 08 2022 29 08 2022 Oil price shocks Energy prices Impulse responses Volatility ARCH GARCH GARCH-M VAR VEC SVAR SVEC Production technologies and economics link oil prices and the prices of other...

... has altered the mutual feedback dynamics. Design/methodology/approach – The paper uses the bivariate VAR approach to model the returns of ADRs and A-shares. The model is jointly estimated with the three-stage least squares (3SLS) method. It also accounts for the non-synchronous trading problem...

.... Dr Vichet Sum can be contacted at: vsum@umes.edu © Emerald Group Publishing Limited 2014 VAR Price-to-earnings ratio Tobin's q ratio Figure 6 The orthogonalized impulse response function of PE to CPI The argument of this paper is that Tobin's q...

... as: Equation 2 for x>u. For a given probability, q > F(u), the VaR estimate is obtained by inverting the tail estimation formula above to get (Embrechts et al., 1997): Equation 3 The estimation of the GPD parameters, ξ and β, is made using the method of maximum...