Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach. [PDF]
Financ Res Lett, 2023 This paper investigates the dynamic volatility spillover among energy commodities and financial markets in pre-and mid-COVID-19 periods by utilizing a novel TVP-VAR frequency connectedness approach and the QMLE-based realized volatility data.
Huang J, Chen B, Xu Y, Xia X.
europepmc +2 more sources
An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis. [PDF]
Technol Forecast Soc Change, 2022 We employ a time-varying parameter vector autoregression (TVP-VAR) in combination with an extended joint connectedness approach to study interlinkages between four markets, namely the crude oil, gold, stock, and cryptocurrency markets, by characterizing ...
Ha LT, Nham NTH.
europepmc +2 more sources
Maximum likelihood estimation of a TVP-VAR [PDF]
Economics Letters, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Moura, Guilherme V., Noriller, Mateus R.
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, 2023 Jan Čulík interviewed by the Polish English language TV station TVP World about the result of the second round of the Czech Presidential election, which took place on 27th and 28th January 2023 and what the victory of Petr Pavel means for the Czech ...
Kennedy, David, Čulík, Jan
core +7 more sources
Türkiye’de Finansal Piyasalar Arasında Volatilite Yayılımı: TVP-VAR Modeli Uygulaması
SosyoekonomiBu çalışmada, Türkiye’de BIST 100 endeksi, USD/TL kuru, altın fiyatları, TL gecelik referans faiz oranı, 5 yıllık tahvil faizi ve 5 yıllık CDS primi arasındaki volatilite yayılımı 02.01.2018-31.12.2024 dönemine ait günlük frekanslı verilerle incelenmiştir.
Yüksel İltaş, Adnan Güzel
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Oil Price Shocks to Foreign Assets and Liabilities in Saudi Arabia under Pegged Exchange Rate
Mathematics, 2022 The Saudi economy ought to maintain a significant amount of foreign exchange reserves due to the pegged exchange rate regime. As a hydrocarbon economy, we measure the dynamic response of external assets and liabilities of banks to the international oil ...
Nahla Samargandi, Kazi Sohag
doaj +1 more source
Connectedness Between Climate Risk Components and Energy Markets: A TVP-VAR Analysis
Energy RESEARCH LETTERSThis study investigates the connectedness between climate risk components and both clean and dirty energy markets using a TVP-VAR model. The results reveal significant spillover effects, with clean energy acting as a net transmitter of shocks and dirty energy as a net receiver. This spillover effects became more pronounced during the COVID-19 pandemic,
Hayet Soltani, Mouna Boujelbène Abbes
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Bayesian Modeling of TVP-VARs Using Regression Trees
, 2022 In light of widespread evidence of parameter instability in macroeconomic models, many time-varying parameter (TVP) models have been proposed. This paper proposes a nonparametric TVP-VAR model using Bayesian additive regression trees (BART) that models the TVPs as an unknown function of effect modifiers.
Hauzenberger, Niko +3 more
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Time-varying propagations between oil market shocks and a stock market: Evidence from Turkey
Borsa Istanbul Review, 2020 We use a Bayesian time-varying parameter vector autoregression (TVP-VAR) model to examine the time-varying transmission mechanisms between structural oil price shocks and Borsa Istanbul, Turkey's stock market (BIST).
Onur Polat
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EVOLUTION OF MONETARY POLICY TRANSMISSION MECHANISM IN MALAWI: A TVP-VAR APPROACH [PDF]
Journal of Economic Development, 2016 This paper investigates the evolution of monetary transmission mechanism in Malawi between 1981 and 2010 using a time varying parameter vector autoregressive (TVP-VAR) model with stochastic volatility. We evaluate how the responses of real output and general price level to bank rate, exchange rate and credit shocks have changed over timesince Malawi ...
Chance Mwabutwa +2 more
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