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Keywords: TVP-VAR
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Journal Articles
Does U.S. debt ceiling uncertainty drive crude oil markets? Evidence from heterogeneous impacts and influence channels
Available to Purchase
Journal:
China Finance Review International
China Finance Review International 1–25.
Published: 24 November 2025
... uncertainty Crude oil market Nonparametric causality-in-quantiles test TVP-VAR Influence mechanism National Natural Science Foundation of China 72571239 Natural Science Foundation of Sichuan Province 2024NSFSC1051 Yunnan Province Philosophy and Social Science Innovation Team...
Journal Articles
Exploring interconnections and risk evaluation of green equities and bonds: fresh perspectives from TVP-VAR model and wavelet-based VaR analysis
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2025) 15 (1): 117–139.
Published: 15 August 2024
..., this paper utilizes a connectedness index-based TVP-VAR model and applies the wavelet-based VaR ratio to daily data spanning from January 2018 to September 2023. Findings The empirical findings reveal a notable increase in the connectedness index between green stocks and green bonds during the COVID-19...
