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Keywords: TVP-VAR
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Journal Articles
Journal:
Journal of Economic Studies
Journal of Economic Studies 1–19.
Published: 18 March 2026
... to January 2025 and utilizes sophisticated methodologies such as wavelet coherence, cross-power spectrum and time-varying parameter vector autoregression (TVP-VAR) to evaluate their dynamic interrelations and connectedness in both time and frequency domains. Findings The wavelet coherence analysis...
Journal Articles
Journal:
Journal of Economic Studies
Journal of Economic Studies (2023) 50 (3): 407–428.
Published: 25 March 2022
... autoregression (TVP-VAR) in combination with an extended joint connectedness approach. Findings The pandemic shocks appear to have influences on the system-wide dynamic connectedness, which reaches a peak during the COVID-19 pandemic. Net total directional connectedness suggests that each cryptocurrency...
