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A New Look at Cross-Country Aggregation in the Global VAR Approach: Theory and Monte Carlo Simulation
Requirements to understand and forecast the behavior of complex macroeconomic interactions mandate the use of high-dimensional macroeconometric...
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A mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns
We present the first application of the mixed-frequency VAR (MF-VAR) method in the market microstructure literature, studying the interaction between...
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Global Shocks of Education, Health, and Environmental Footprint on National Development in the Twenty-First Century: A Threshold Structural VAR Analysis
This paper provides an insight on whether the global shock of education budget, health budget, and environmental footprint are supporting national...
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The ever-evolving trade pattern: a global VAR approach
This paper focuses on the spillover dynamics of shocks originating in China during the last two decades. More specifically, the paper compares the...
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Forecasting VaR and ES by using deep quantile regression, GANs-based scenario generation, and heterogeneous market hypothesis
Value at risk (VaR) and expected shortfall (ES) have emerged as standard measures for detecting the market risk of financial assets and play...
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Cross-border spillovers in G20 sovereign CDS markets: cluster analysis based on K-means machine learning algorithm and TVP–VAR models
This paper investigates cross-border spillovers between G20 sovereign credit default swap (CDS) markets over the period 2009–2023. First, using the...
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Time-variation in response of inflation to monetary policy shocks in India: evidence from TVP-VAR models
This study attempts to explore the time-variation in the response of inflation to monetary policy shocks in India for the period April 1999 to March...
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Time-Varying Effects of External Shocks on Macroeconomic Fluctuations in Peru: An Empirical Application using TVP-VAR-SV Models
This study uses a family of VAR models with time-varying parameters and stochastic volatility (TVP-VAR-SV) to analyze the impact of external shocks...
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The response of household debt to COVID-19 using a neural networks VAR in OECD
This paper investigates responses of household debt to COVID-19-related data like confirmed cases and confirmed deaths within a neural networks panel...
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Oil price uncertainty and real exchange rate in a global VAR framework: a note
In this study, we contribute to the literature in twofold. First, we analyse the nexus between oil price uncertainty shock and real exchange rate...
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Asymmetric oil price shocks and the economies of selected oil-exporting African countries: a global VAR approach
The study investigated the effect of oil price shocks on the economies of four selected oil-exporting African countries from the period of the first...
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Monetary Policy Regulation and Macroeconomic Fluctuations—Empirical Research Based on VAR Model
The objective of this study is to investigate the effect of changes in the money supply and interest rates on the gross domestic product (GDP) and... -
A macroeconomic viewpoint using a structural VAR analysis of silver price behaviour
This article investigates silver price as a fluctuating commodity price since the financial crisis of 2007–2009. In this regard, a structural vector...
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Dynamic connectedness and hedging opportunities of the commodity and stock markets in China: evidence from the TVP-VAR and cDCC-FIAPARCH
This study examines the dynamic connectedness and hedging opportunities between CSI300 (China Security Index 300) and copper, gold, PTA (purified...
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Comparison of Value at Risk (VaR) Multivariate Forecast Models
We investigate the performance of VaR (Value at Risk) forecasts, considering different multivariate models: HS (Historical Simulation), DCC-GARCH...
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Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets
In this paper, we address the question of whether long memory, asymmetry, and fat-tails in global real estate markets volatility matter when...
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The dynamic connectedness between collateralized loan obligations and major asset classes: a TVP-VAR approach and portfolio hedging strategies for investors
Motivated by the increasing demand for alternative assets that can contribute to reducing portfolio risk, this paper examines the volatility...
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Co-inventions, uncertainties and global food security
This paper examines the effects of international collaborative efforts on climate-friendly agricultural technologies on global food security. In...
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The volatility connectedness between fertilizers and rice price: evidences from the global major rice-producing countries
This study examined the volatility connectedness between rice price and selected fertilizer commodity products among global rice-producing countries...
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COVID-19 Pandemic, Employment Differential and Health Expenditure Nexus in Sub-Saharan African Countries: Evidence from Vector Autorfegressive (VAR) Model
COVID-19 pandemic has imposed a lot of global challenges not only to health but also to other economic activities. The emergence of this pandemic...