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Geopolitical risks, oil price shocks and inflation: Evidence from a TVP–SV–VAR approach

Energy Economics, 2023
Employing a TVP–SV–VAR model, this study investigates the dynamic effects of geopolitical risks, oil price shocks, and inflation from January 2000 to July 2022 in China, the US, and 27 European countries.
Anna Min Du, Tianle Yang, Qunyang Du
exaly   +2 more sources

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Comparing Islamic and conventional stock markets in GCC: a TVP-VAR analysis

International Journal of Emerging Markets
PurposeThis study investigates the dynamic interdependence between Islamic and conventional stock markets in the Gulf Cooperation Council (GCC) economies and the influence of global financial uncertainties on this interconnection.Design/methodology/approachThe study employs the time-varying parameter vector autoregressions (TVP-VAR) technique and ...
Muhammad Abubakr Naeem, Shabeer Khan, Mohd Ziaur Rehman   +2 more
openaire   +2 more sources

Volatility Spillovers Among EAGLE Economies: Insights from Frequency-Based TVP-VAR Connectedness

Mathematics
This study aims to reveal the network connectedness between the volatilities of Emerging and Growth-Leading Economies (EAGLEs) stock exchanges with the frequency-based TVP-VAR connectedness approach. Connectedness results were obtained in short (1–5 days)
Harun Ucak, Yakup Ari
exaly   +2 more sources

Connectedness among El Niño-Southern Oscillation, carbon emission allowance, crude oil and renewable energy stock markets: Time- and frequency-domain evidence based on TVP-VAR model

Renewable Energy, 2023
Understanding the interactions among climate change, carbon emission allowance trading, crude oil and renewable energy stock markets, especially the role of climate change in this system is of great significance for policy makers, energy producers ...
Yu Wei, Jia-Hao Zhang, Lan Bai, Yizhi Wang   +3 more
semanticscholar   +1 more source

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
openaire   +1 more source

Exploring the Connectedness Between Green Bonds and Financial Markets and Its Drivers During Recent Crises: New Evidence From a TVP‐VAR Extended Joint Connectedness Approach and Wavelet Coherence Analysis

International Journal of Finance & Economics
This paper applies the TVP‐VAR extended joint connectedness model to investigate the time‐varying connectedness between green bonds, conventional bonds, stocks, clean energy, and commodities from January 2018 to April 2024, which includes the COVID‐19 ...
Wafa Abdelmalek, Molka Khemakhem
semanticscholar   +1 more source

The time-varying effects of trade policy uncertainty and geopolitical risks shocks on the commodity market prices: Evidence from the TVP-VAR-SV approach

Resources policy, 2022
The paper focuses on investigating the time-varying influence of geopolitical risks (GPR) and trade policy uncertainty (TPU) on commodity prices by using time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV).
Cai Yang, Zi-Bo Niu, Wang Gao
semanticscholar   +1 more source

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.
openaire   +1 more source

Modeling Asymmetric Volatility Connectedness and Spillover Dynamics in Emerging Forex Markets Through the Lens of a TVP-VAR Framework

Indian Journal of Finance
Purpose : This article investigated asymmetric volatility connectedness and spillover dynamics in emerging forex markets, emphasizing BRICS countries, amid recent geopolitical and trade-tariff conflicts.
Rajeev Singh, Tarun Sharma, Yashvardhan Singh, Ajay Kumar, Sunil Kumar   +4 more
semanticscholar   +1 more source

Untangling Market Links: A QVAR‐TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic

Journal of futures markets
This analysis aims to illuminate the interconnectedness of markets such as oil, gold, silver, palladium, and platinum during the COVID‐19 pandemic, employing the quantile vector autoregressive (QVAR) and time‐varying parameter vector autoregression (TVP ...
Syed Ali Raza, Maiyra Ahmed, Sajid Ali
semanticscholar   +1 more source