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Reducing Dimensions in a Large TVP-VAR

SSRN Electronic Journal, 2018
This paper proposes a new approach to estimating high dimensional time varying parameter structural vector autoregressive models (TVP-SVARs) by taking advantage of an empirical feature of TVP-(S)VARs. TVP-(S)VAR models are rarely used with more than 4-5 variables.
Joshua C. C. Chan   +2 more
openaire   +1 more source

Reducing the state space dimension in a large TVP-VAR

Journal of Econometrics, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chan, Joshua C.C.   +2 more
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Fast estimation of a large TVP-VAR model with score-driven volatilities

Journal of Economic Dynamics and Control, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Tingguo Zheng, Shiqi Ye, Yongmiao Hong
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Metaverse Token Piyasasında Volatilite Yayılımı: TVP-VAR Modeli Uygulaması

2023
In 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-
Gülcan, Nazlıgül   +1 more
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MONETARY POLICY TRANSMISSION MECHANISM AND TVP-VAR MODEL [PDF]

open access: possibleNetwork Intelligence Studies, 2013
The transmission of monetary policy to the economy is a subject of major importance for central banks because, by using these measures, central banks can achieve their purpose of ensuring price stability without neglecting the objective of sustainable economic growth.
openaire  

Separating Variances and Correlation; A New Prior for TVP-VARs

SSRN Electronic Journal, 2017
Time-Varying parameter models have become more popular in recent years, especially as they are adapted to accommodate larger datasets. However, all recent developments use standard priors, specifically the Inverse-Wishart class of priors over the parameter error covariance matrix.
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