Search Results - subject:"time varying parameter VAR"

Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

Baba, Boubekeur; Sevil, Güven - In: Financial Innovation 7 (2021) 1, pp. 1-25

This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with...

Persistent link: https://www.econbiz.de/10012602932

Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

Baba, Boubekeur; Sevil, Güven - In: Financial innovation : FIN 7 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10012594935

The fed, housing and household debt over time

Rella, Giacomo - 2021

Persistent link: https://www.econbiz.de/10012493219

Dynamic spillovers of economic policy uncertainty across the US, Europe, and East Asia

Cho, Dooyeon; Kim, Husang; Lee, Kyung-woo - In: Global economic review 52 (2023) 3, pp. 187-201

Persistent link: https://www.econbiz.de/10014419208

Real estate illiquidity and returns : a time-varying regional perspective

Ellington, Michael; Fu, Xi; Zhu, Yunyi - In: International journal of forecasting 39 (2023) 1, pp. 58-72

Persistent link: https://www.econbiz.de/10014462768

Time-varying interactions between geopolitical risks and renewable energy consumption

Cai, Yifei; Wu, Yanrui - 2020

This study utilizes a time-varying parameter Bayesian vector autoregressive model to investigate the dynamic interactions between geopolitical risk (GPR) and renewable energy consumption growth (RECG). The identification strategy is flexible to accommodate cases both with and without sign...

Persistent link: https://www.econbiz.de/10012609984