... ( GFC ), the COVID-19 Great Lockdown and the Russia–Ukraine war ( RUW ). Design/methodology/approach This study uses the recently developed TVP-VAR (time-varying parameter vector autoregressive) connectedness approach to analyze the dynamic connectedness of exchange rates and oil prices in India...

..., it is critical to conduct a thorough examination of the repercussions of Economic Policy Uncertainty ( EPU ) shocks on equity markets, considering the recent crisis. Design/methodology/approach The authors have applied an asymmetric time-varying parameter vector autoregression (TVP-VAR) model to assess...

... with the level of the geopolitical risk, especially during the periods of the COVID-19 pandemic and Russia and Ukraine conflict. To this aim, we consider a financial network consisting of 10 stock market sentiments in a time-varying parameter vector autoregression (TVP-VAR)-based connectedness framework...

.... Design/methodology/approach To comprehend the cross-category/cross-country evolution of uncertainty connectedness, the authors use the conditional connectedness approach. By using an inclusive network, this strategy lessens the bias caused by omitted variables. The TVP-VAR method is advantageous...

... and asset prices on asset prices and fiscal policy based on a time-varying parameter vector autoregressive (TVP-VAR) model. This enables the authors to isolate specific periods in time to understand the size and sign of the shocks. Findings – The results seem to suggest that at least two regimes exist...