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Keywords: TVP-VAR
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Journal Articles
Fear sentiment spillovers and G7 market dynamics: evidence from a global crisis
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2026) 27 (3): 490–513.
Published: 21 April 2026
... correlations and the time-varying parameter vector autoregression (TVP-VAR) framework to assess time-varying connectedness across markets and fear indices. Findings Both FEAR and CORONA FEAR show long-run dynamic correlations with G7 stock markets. Uncertainty and pandemic fear gradually affect asset...
Journal Articles
Environmental sustainability and systemic risks in cryptocurrencies: evidence from dynamic linkages
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2026) 27 (3): 416–439.
Published: 20 April 2026
... act as financial safe havens or contribute to systemic vulnerabilities. Design/methodology/approach Using a time-varying parameter vector autoregressions (TVP-VAR) framework, the analysis covers 2020–2025 and investigates dynamic connectedness, volatility propagation and shock transmission among...
