Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach [PDF]
Energies, 2021 We investigated the connectedness of the returns and volatility of clean energy stock, technology stock, crude oil, natural gas, and investor sentiment based on the time-varying parameter vector autoregressive (TVP-VAR) connectedness approach.
Tiantian Liu, Shigeyuki Hamori
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TVP-VAR Based CARR-Volatility Connectedness: Evidence from The Russian-Ukraine Conflict
Ekonomi, Politika & Finans Araştırmaları Dergisi, 2022 This paper aims to examine the spillover between volatilities obtained from the Conditional Autoregressive Range (CARR) process with the Time-Varying Parameter Vector Autoregressive (TVP-VAR) based Diebold-Yilmaz approach.
Yakup Arı
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Spatial Price Transmission and Dynamic Volatility Spillovers in the Global Grain Markets: A TVP-VAR-Connectedness Approach [PDF]
FoodsThe global food market’s escalating volatility has led to a complex network of uncertainty and risk transmission across different grain markets. This study utilizes the Time-Varying Parameter Vector Autoregression (TVP-VAR)-Connectedness approach to ...
Huidan Xue +3 more
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Leadership shift in the global soybean market: Dynamic connectedness approach (TVP-VAR) [PDF]
HeliyonThe price transmission in international soybean market has been extensively examined. However, recent econometric advancements have enabled the application of dynamic connectedness methodology as outlined by Antonakakis and Gabauer (2017) [1], which is ...
Gustavo María Barboza Martignone +3 more
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Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework. [PDF]
Empir Econ, 2022 Financial risk is spread and amplified through the interconnectedness among financial institutions. We apply a time-varying parameter vector autoregression model to analyze the dynamic spillover effects in the Chinese financial system. We find that the 2017 house price control policies have significantly increased the risk of China's financial system ...
Xu HC, Jawadi F, Zhou J, Zhou WX.
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The dynamic impact mechanism of China's financial conditions on real economy and international crude oil market [PDF]
Heliyon, 2023 As financial conditions become more complex and variable, capturing economic patterns becomes harder. The Financial Conditions Index (FCI) has gained traction as a tool to assess the performance of financial markets in nations or regions.
Jiahui Li, Hongming Li, Yuanying Jiang
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Privatization on Environmental Pollution in Iran: Application of TVP-VAR Method [PDF]
پژوهشهای اقتصادی, 2023 Aim and Introduction Nowadays, the environmental impacts of human activities are considered one of the limitations of economic growth. Developing countries are facing the problem of environmental degradation, which hinders economic growth and ...
Saman Ghaderi +2 more
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Interstage market spillovers of the photovoltaic industry chain in China [PDF]
Scientific ReportsDriven by the goals of “carbon peak and carbon neutrality”, China’s photovoltaic industry has experienced rapid expansion, which provides a unique opportunity to study dynamic spillover effects within a structured industry framework. This study uses data
Jia Wang, Lanze Li, Tao Shen
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The spillover effects of military spending across superpowers using the TVP - VAR approach
Ho Chi Minh City Open University Journal of Science - Economics and Business AdministrationThe amount of money spent on military activities across superpowers globally has generally caused significant concerns regarding military conflicts, the arms race, economic growth development, security, political stability, and governance.
Duc Hong Vo +2 more
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Analysis of the impact of central bank digital currency on stock markets: Dynamics and implications [PDF]
Banks and Bank Systems, 2023 The purpose of the study is to explore the influence of central bank digital currency on stock markets. To realize the purpose, the TVP-VAR model was built, which determines the impact of volatility of the CBDC attention index (CBDCAI) on the volatility ...
Serhiy Frolov +4 more
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