Results 61 to 70 of about 1,157,980 (244)

The time-varying impact of uncertainty shocks on the co-movement of regional housing prices of the United Kingdom

Humanities & Social Sciences Communications
The housing markets in districts across the United Kingdom (UK) co-move over time. We use the dynamic factor model to decompose the co-movement in house prices of the smallest possible geographical unit into national, regional, and idiosyncratic factors.
Oguzhan Cepni, Hardik A. Marfatia, Rangan Gupta   +2 more
doaj   +1 more source

Rare Earth Market, Electric Vehicles and Future Mobility Index: A Time-Frequency Analysis with Portfolio Implications

Risks, 2022
This study investigates the co-movements between the Solactive Electric Vehicle and Future Mobility Index (EVFMI) and multiple rare earth elements (REEs). We applied a TVP-VAR model and bivariate wavelet coherence approach to capture co-movements both in
Inzamam Ul Haq, Paulo Ferreira, Apichit Maneengam, Worakamol Wisetsri   +3 more
doaj   +1 more source

Estimating TVP-VAR models with time invariant long-run multipliers

, 2020
The main goal of this paper is to develop a methodology for estimating time varying parameter vector auto-regression (TVP-VAR) models with a timeinvariant long-run relationship between endogenous variables and changes in exogenous variables. We propose a Gibbs sampling scheme for estimation of model parameters as well as time-invariant long-run ...
Belomestny, Denis, Krymova, Ekaterina, Polbin, Andrey   +2 more
openaire   +2 more sources

Interaction of Operator−Patient Sex on Peri‐Procedural Treatments and Major Coronary Outcomes After Percutaneous Coronary Intervention

Catheterization and Cardiovascular Interventions, EarlyView.
ABSTRACT Background There are limited data evaluating the association between operator−patient sex, and outcomes in patients undergoing percutaneous coronary intervention (PCI). Methods We included 138,112 consecutive PCI procedures in patients presenting with acute coronary syndrome (ACS) in England and Wales, 2017−2020.
Sharon A. Ayayo, Vicky P. Taxiarchi, Angela Jerath, Evangelos Kontopantelis, Sonya N. Burgess, Sarah Zaman, Mamas A. Mamas   +6 more
wiley   +1 more source

Spillover Dynamics in DeFi, G7 Banks, and Equity Markets During Global Crises: A TVP-VAR Analysis

Research In International Business and Finance
Decentralized finance (DeFi) has become of significant interest for investors in both the financial and digital sectors. We use a time-varying parameter vector autoregression (TVP-VAR) approach to estimate the static and dynamic connections between and ...
Ijaz Younis, Himani Gupta, A. Du, Waheed Ullah Shah, Waqas Hanif   +4 more
semanticscholar   +1 more source

Tail Risk Transmission in Agricultural and Energy Markets

Journal of Futures Markets, EarlyView.
ABSTRACT This paper examines downside hedging, tail diversification, and extreme tail risk transmission between crude oil and agricultural commodity futures over two decades. We develop complementary indicators of downside dependence, including sign‐switching frequency and persistence, to assess tail risk dynamics, hedging effectiveness, and associated
Emmanuel Senyo Fianu, Daniel Felix Ahelegbey, Roberto Casarin, Luigi Grossi   +3 more
wiley   +1 more source

Risk spillovers between the S&P500, green bonds, real estate, oil market, and dollar index June 2022 [PDF]

Iranian Journal of Finance
One of the main concepts in finance is portfolio diversification and optimization. Typically, investors use the risk and return approach to diversify their portfolios. However, risk spillovers and market connectivity should also be considered when making
Hamid Jamshidi, Alimohammad Ghanbari
doaj   +1 more source

Using VARs and TVP-VARs with many macroeconomic variables [PDF]

Central European Journal of Economic Modelling and Econometrics, 2012
This paper discusses the challenges faced by the empirical macroeconomist and methods for surmounting them. These challenges arise due to the fact that macroeconometric models potentially include a large number of variables and allow for time variation in parameters.
openaire   +3 more sources

Technological Evolution in Fintech: A Decadal Scientometric and Systematic Review of Developments and Criticisms

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study aims to classify pivotal fintech innovations and explore the prospects and pitfalls associated with emerging fintech services extensively discussed in the literature. We conducted a multistage systematic review of research published on fintech over the past decade from a technological perspective. Using the Preferred Reporting Items
Muhammad Imran Qureshi, Nohman Khan
wiley   +1 more source

Industry Portfolio Volatility Connections and Industry Portfolio Returns

International Journal of Finance &Economics, EarlyView.
ABSTRACT This paper tracks dynamic connections that form among daily US industry portfolio return volatilities using a Bayesian time‐varying parameter VAR model. Market participants often focus on sectors to filter vast amounts of information, and this focus results in cross‐industry return predictability. We characterise connections that form over the
Michael Ellington, Michalis Stamatogiannis, Yawen Zheng   +2 more
wiley   +1 more source