Results 111 to 120 of about 1,157,980 (244)
Using VARs and TVP-VARs with Many Macroeconomic Variables [PDF]
, 2013 This paper discusses the challenges faced by the empirical macroeconomist and methods for surmounting them. These challenges arise due to the fact that macroeconometric models potentially include a large number of variables and allow for time variation in parameters.
openaire
Connectedness of Dynamic Volatility Over Green Cryptos, the ESG Indices, and Gold: TVP-VAR Approach
SAGE OpenThis study investigates the dynamic volatility transmission among green cryptocurrencies, ESG indices, and gold from 2018 to 2023, offering insights valuable to portfolio managers for risk management.
Nevi Danila
semanticscholar +1 more source
The Impact of Uncertainty on Forecasting the US Economy
Journal of Forecasting, Volume 45, Issue 6, Page 2703-2734, September 2026.ABSTRACT This paper examines the predictive value of uncertainty measures for key macroeconomic indicators across multiple forecast horizons. We evaluate how different uncertainty proxies—economic policy uncertainty (EPU), VIX, geopolitical risk, and measures of macroeconomic and financial uncertainty—enhance forecast accuracy for industrial production,
Angelica Ghiselli
wiley +1 more source
The Volatility Spillover in Metaverse Token Market: TVP-VAR Model Application
Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler DergisiIn this study, the volatility spillover between metaverse tokens is investigated to guide investors. In the research, price data of Decentraland, StarLink, Axie Infinity, Radio Caca, The Sandbox, Internet Computer, My Neighbor Alice and Enjin Token, for the period 12.14.2021-10.22.2023 analyzes with the time-varying parameter vector autoregressive (TVP-
Nazlıgül Gülcan +1 more
openaire +1 more source
Journal of Futures Markets, Volume 46, Issue 9, Page 1719-1747, September 2026.ABSTRACT This study examines the efficiency of systemic risk transmission to international oil futures markets by analyzing the dynamic connectedness between three distinct Common Volatility (COVOL) measures: Energy, Asset, and Country, and compares such with five major oil benchmarks.
Thomas Conlon +3 more
wiley +1 more source
EconometricsPrevious research on financial contagion has mostly looked at volatility spillovers using static or fixed parameter models. These models don’t always take into account how inter-market links change and depend on frequency during big crises.
H. Goel +4 more
semanticscholar +1 more source
Financial InnovationThis study explores the higher-order moments of connectedness among cryptocurrency, commodity, bond, and stock markets from April 19, 2017, to December 29, 2023, on the basis of the GARCH-SK and TVP-VAR models.
Tuna Can Güleç +2 more
doaj +1 more source
International Journal of Islamic Economics and Finance StudiesThe size of Islamic finance has become one of the most important sources of the global financial system, and its growth potential has necessitated a detailed market analysis. In this study, Islamic markets are analyzed by comparing them with conventional
S. Demir
semanticscholar +1 more source
Impact of Plasma Ashing on Mixed Monolayer Doping of Silicon
Small Methods, Volume 10, Issue 18, 23 September 2026.Mixed monolayer doping provides a controllable way to introduce phosphorus dopants into silicon. A gentle oxygen‐plasma treatment removes unwanted carbon while maintaining phosphorus on the surface. Following thermal diffusion, the treated silicon shows enhanced near‐surface n‐type behavior, demonstrating how carbon removal can tune molecular doping ...
Pol Torres‐Vila +5 more
wiley +1 more source
Dynamic interlinkages between the crude oil and gold and stock during Russia-Ukraine War: evidence from an extended TVP-VAR analysis. [PDF]
Environ Sci Pollut Res Int, 2023 Ha LT.
europepmc +1 more source