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Keywords: TVP-VAR
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Journal Articles
Journal of Economic and Administrative Sciences 1–26.
Published: 23 September 2025
... collated daily data on sovereign bond yields from January 2011 to November 2023. The data were divided into three subsamples: pre-COVID, COVID-19 and Russia–Ukraine war periods. The Diebold and Yilmaz connectedness approach with the time-varying parameter vector autoregression (TVP-VAR) model is applied...
