Results 11 to 20 of about 1,157,980 (244)

Climate, energy, and geopolitical risks in African stock markets: a comparative TVP-VAR and QVAR approach

Future Business Journal
This study seeks to investigate the spillover effects between uncertainty indexes and returns on African stock markets; explore the time-varying nature of these interactions using TVP-VAR and QVAR techniques; and assess the resilience of individual stock
David Korsah
doaj   +2 more sources

PETROL FİYAT ŞOKLARI VE FİNANSAL AKTİVİTE: TVP-VAR YAKLAŞIMI [PDF]

Business & Management Studies: An International Journal, 2020
Bu çalışma Şubat 1990 ve Kasım 2019 döneminde petrol fiyat şoklarının küresel finansal aktiviteye olan zaman-değişimli etkilerini Zamana Göre Değişen Parametreli VAR (TVP-VAR) modeli uygulayarak incelemektedir. Bu bağlamda aylık spot WTI ham petrol fiyatları, dünya ham petrol üretimi ve Kansas Şehri Finansal Stres Endeksi (KCFSI) verileri ampirik ...
Polat, Onur
core   +6 more sources

The Volatility Relationship Among Financial Assets: TVP-VAR Model

International Journal of Business and Economic Studies, 2023
In the post-pandemic period, intense fluctuations in interest rates, inflation, and prices were observed in many countries around the world. This study was conducted to analyze the dynamic interconnectedness between financial assets during this turbulent period.
Erdoğan, Burhan
openaire   +4 more sources

Risk Şokları ve Türkiye’deki Finansal Varlıklar Arasındaki Yayılım Etkisinin TVP-VAR Dayalı Wavelet Uyum Analizi İle İncelenmesi

Ekonomi, Politika & Finans Araştırmaları Dergisi
Bu çalışmanın amacı, risk şokları ile Türkiye’de finansal varlıklar arasındaki yayılım etkisinin TVP-VAR genişletilmiş ortak bağlantılılık yaklaşımına dayalı wavelet uyum analizi ile incelemektir. Bu amaç doğrultusunda, BIST100 Endeksi, Brent ham petrol,
Aslan Aydoğdu
doaj   +2 more sources

Russia-Ukraine War and Oil Price: A TVP-VAR Analysis

Energy RESEARCH LETTERS
This paper examines the dynamic connectedness between the Russian-Ukraine conflict and oil prices in several novel ways. First, it accounts for the connectedness using the Antonakakis and Gabauer (2017) TVP-VAR model. Second, the study recognizes the role of exchange rates, particularly the US dollar/Euro, within its framework.
Kingsley Imandojemu, Aliyu Akorede Rufai, Adebukunola M Ademayowa   +2 more
openaire   +2 more sources

Previsões macroeconômicas baseadas em modelos TVP-VAR: evidências para o Brasil [PDF]

Revista Brasileira de Economia, 2015
Modelos baseados em vetores autoregressivos com parâmetros variantes no tempo e contendo efeitos heterocedasticos (TVP-VAR) propostos por Koop & Korobilis (2013) sao utilizados na previsao da inflacao (IPCA), da taxa de juros (SELIC) e do indicador mensal do PIB (IBC-Br) para diversos horizontes. Estrategias de previsao baseadas em selecao e combinacao
Caldeira, João F., Moura, Guilherme V., Santos, André A. P.   +2 more
core   +6 more sources

Exploring portfolio diversification with alternative investments: An international TVP-VAR approach [PDF]

Research in International Business and Finance
This study examines the potential for portfolio diversification across a wide range of international assets, including equities, bonds, commodities, and alternatives like gold, Bitcoin, and real estate. Using 13 years of daily returns data from over 30 countries (MSCI indices) and employing time-varying parameter vector autoregressive (TVP-VAR ...
Alexandros Tsioutsios, Larisa Yarovaya, Dimitrios Dimitriou   +2 more
openaire   +2 more sources

Local Attention and ASEAN-5 Connectedness: A TVP-VAR and GARCH-MIDAS Analysis

Risks
We show that financial integration in emerging Asia is state-dependent in the sense that cross-market linkages vary systematically across regimes of global uncertainty and market stress.
Faten Chibani, Jamel Eddine Henchiri
doaj   +2 more sources

Pavel outruns Babiš Czech Republic presidential elections | World Today | TVP World

, 2023
This is a 12 minute interview Jan Čulík gave to the Polish English-speaking TV channel TVP World on the results of the first round of the Czech Presidential ...
Kennedy, David, Culik, Jan
core   +7 more sources

Measuring the Risk Spillover Effect of RCEP Stock Markets: Evidence from the TVP-VAR Model and Transfer Entropy. [PDF]

Entropy (Basel)
This paper selects daily stock market trading data of RCEP member countries from 3 December 2007 to 9 December 2024 and employs the Time-Varying Parameter Vector Autoregression (TVP-VAR) model and transfer entropy to measure the time-varying volatility ...
Zou Y, Chen Q, Han J, Xiao M.
europepmc   +2 more sources