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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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Macroeconomic Response to BRICS Countries Stock Markets Using Panel VAR
This study measures the relationships between macroeconomic variables and stock returns for BRICS countries. The study uses monthly data of select...
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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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Mean-Variance-VaR portfolios: MIQP formulation and performance analysis
Value-at-risk is one of the most popular risk management tools in the financial industry. Over the past 20 years, several attempts to include VaR in...
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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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Exploring mycorrhizal diversity in sympatric mycoheterotrophic plants: a comparative study of Monotropastrum humile var. humile and M. humile var. glaberrimum
Mycoheterotrophic plants (MHPs) rely on their mycorrhizal fungus for carbon and nutrient supply, thus a shift in mycobionts may play a crucial role...
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A TVP-VAR assessment of the spillover effects of geopolitical risk shocks on macroeconomic variability: a study of the Ghanaian economy
Our study verified the implications of the spillover of geopolitical risk (GPR) shocks to the economic crisis in Ghana. Our analysis employed the...
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The Regularized WSM6 Microphysical Scheme and Its Validation in WRF 4D-Var
A cold cloud assimilation scheme was developed that fully considers the water substances, i.e., water vapor, cloud water, rain, ice, snow, and...
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Multi-objective dynamic VAR planning against fault-induced delayed voltage recovery using heuristic optimization
The fault-induced delayed voltage recovery (FIDVR) and short-term voltage instability are increasing, especially due to the widespread implementation...
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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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Deciphering the fiber quality of Gossypium barbadense L. var. brasiliensis in La Convención, Cusco, Perú
BackgroundThe quality of cotton fiber determines its value in the textile market, influencing agricultural profitability and the efficiency of...
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Quantile VAR network evidence for spillover effects and connectivity between China’s stock markets, green commodities, and Bitcoin
Numerous economic and financial crises, particularly the present crisis in the healthcare sector, have pushed major shock spillover channels over...
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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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The non-target site resistance mechanism to Penoxsulam in Echinochloa crus-galli var. zelayensis
BackgroudEchinochloa curs-galli (barnyardgrass) is the most prominent weed in rice fields, and its herbicide resistance seriously threatens rice...
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Volt/var Chain Process*
The massive connection of renewable and distributed generation and the electrification of other sectors give rise to new challenges and opportunities...