Results 131 to 140 of about 1,157,980 (244)

Do Geopolitical Shocks Drive Currency Volatility? New Evidence from a TVP-VAR Framework

Journal of Risk and Financial Management
Exchange rate dynamics in OECD economies have been increasingly shaped by geopolitical tensions and systemic crises. Between 2010 and 2025, a sequence of major events including the European sovereign debt crisis, the COVID-19 pandemic, and the Russia ...
Ikram Ghamgui Frikha
semanticscholar   +1 more source

Functional Heterogeneity and Dynamic Risk Spillovers in China’s Carbon-Green Finance System: A Time-Frequency TVP-VAR Analysis

Journal of Applied Science and Engineering
The diverse roles of green financial sub-markets and their dynamic risk spillovers to the carbon market are important to explain the systemic risks of Chinese low-carbon transition. We employ a Time-Varying Parameter Vector Autoregression (TVP-VAR) model
Ying Huang, Juan Hu, Jing Chen
doaj   +1 more source

BİST100 Endeksi İle VIX Korku Endeksi Arasındaki Dönemsel Dinamik İlişkinin İncelenmesi: TVP-VAR Modeli Uygulaması

Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
Finansal piyasaların globalleşmesiyle birlikte piyasa endeksleri arasındaki etkileşimlerin analizi, hem akademik hem de pratik açıdan önemli bir çalışma alanı haline gelmiştir.
M. Aydın
semanticscholar   +1 more source

Evolution of China’s Economy and Monetary Policy: An Empirical Evaluation Using a TVP-VAR Model

East Asian Economic Review, 2021
China has experienced many structural changes in the process of economic development over the past three decades. Using a time-varying parameter VAR model with stochastic volatility and mixture innovations, this study investigates whether such structural changes in, especially tools and operational aims of monetary policy, affect the monetary ...
openaire   +2 more sources

Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach

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
core  

Impulse responses of asset prices to lending rate shocks in TVP-SVAR and simple VAR models.

, 2016
The figure shows impulse responses of stock market index (left) and the fundamental component of stock prices (right) to one SD innovation in the benchmark lending rate.
Ou Sun (3350147), Zhixin Liu (3350144)
core   +1 more source

Türkiye’de KOBİ’lere Verilen Krediler ile Seçilmiş Değişkenler Arasındaki Bağlantılılığın TVP-VAR Modeli ile İncelenmesi

Uluslararası Ekonomi, İşletme ve Politika Dergisi
Hem gelişmiş hem de gelişmekte olan ülkelerde KOBİ'ler, sağladıkları istihdam, yarattıkları katma değer ve gerçekleştirdikleri ihracat ve ithalat faaliyetleri ile ekonomik kalkınmanın ve istikrarın temel taşlarını oluşturmaktadır. Türkiye'de de KOBİ'ler,
Yalçın Yalman, Bahri Fatih Tekin
doaj   +1 more source

Volatility spillover between the energy and AI markets: a TVP-VAR approach

Frontiers in Environmental Economics
With the growing energy consumption from AI model training and use, as well as the increasing integration of AI into the energy industry, the AI and energy markets have grown to become more interconnected. This paper uses a Time-Varying Parameter Vector Autoregression (TVP-VAR) model to analyze the volatility spillover between AI and Energy stocks.
openaire   +1 more source

Dynamics of the relationship between stock markets and exchange rates during quantitative easing and tightening

Financial Innovation
This study utilizes two complementary models, the Time-Varying Parameter Vector Autoregressive Diebold–Yilmaz (TVP-VAR-DY) and the Time-Varying Parameter Vector Autoregressive Baruník–Křehlík (TVP-VAR-BK), to investigate the dynamic volatility ...
Farzaneh Ahmadian-Yazdi, Amin Sokhanvar, Soheil Roudari, Aviral Kumar Tiwari   +3 more
doaj   +1 more source

Codes and data: Interpretable Machine Learning Unveils Nonlinear Drivers of Global Energy Risk Spillovers: A TVP-VAR Approach

Replication files for "Interpretable Machine Learning Unveils Nonlinear Drivers of Global Energy Risk Spillovers: A TVP-VAR Approach" (Economic Modelling)
Zhang, Ditian
core   +1 more source