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Keywords: Time-varying parameter
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2026) 34 (2): 96–112.
Published: 01 May 2026
... connectedness using a time-varying parameter vector autoregressive (TVP-VAR) frequency connectedness approach of Chatziantoniou et al. (2023), building on the work of Antonakakis et al. (2020) and Baruník and Křehlík (2018). The investigation period was from January 1, 2020, to December 31...
Includes: Supplementary data
