...: The author declares no conflict of interest in relation to this research. 28 08 2025 07 11 2025 30 11 2025 10 12 2025 © 2026 Emerald Publishing Limited 2026 Emerald Publishing Limited Licensed re-use rights only Bitcoin Oil prices Equity markets VAR VECM Saudi...

... Gold COVID Hedge VAR G11 G12 G15 The COVID-19 pandemic has taken its toll on the world economy, leading to an exploding behavior of the debt and the ever-increasing rate at which money is printed. It is thus timely to reevaluate the relationship between bitcoin (BTC) and other assets...

... (USDX). Design/methodology/approach The series used are weekly and cover the period from January 2016 to November 2022. To generate the results, the unrestricted vector autoregression (VAR), structural vector autoregression (SVAR) and wavelet coherence were performed. Findings The findings...

... rights only Brexit VaR vine copula modelling With the development of economic globalization, the world’s economies are getting closer and closer and their linkages are becoming stronger. At the same time, the in-depth development of financial markets has also increased investment risks...

... in this study focusses on the VAR (Sims, 1980) and two related techniques, Granger causality tests and the spillover index of Diebold and Yilmaz (2009 , 2012). The general k-variable, p-lagged VAR model is given by: (1) x t =   ∑ i = 1 p φ i x t − i...

... explained by ENCX, and shared positive (negative) correlations with cryptos (crude oil and heating oil). Using a vector autoregressive model (VAR), while the 1-day lagged ENCX (ENFX) was significant in estimating current ENCX (ENFX) values, only lagged ENCX was significant in estimating current ENFX...