نتایج جستجو برای: مدل tvp var
تعداد نتایج: 145258 فیلتر نتایج به سال:
This paper proposes an integrated TVP-VAR model to investigate the volatility spillover mechanisms among different financial markets as well their respective roles in global transmission system, including China’s carbon market, crude oil, new energy, energy automobile, coal and natural gas markets, which is named market. Utilizing time-varying indices (TVP-DY), we find that there are obvious dy...
This study provides a novel framework for analysing systematic tail risk transmission mechanisms by combining the Conditional Autoregressive Value-at-Risk (CAViaR) model with recently developed Time-Varying Parameter Vector (TVP-VAR) based connectedness approach. We estimate dynamic spillovers across two crude oil (Brent and WTI) four refined petroleum product (gasoline, heating oil, jet fuel p...
In this study we analyze exchange rate shocks in China on its macroeconomic variables by apply TVP-VAR modeling approach. Three-dimensional impulse response functions reveal that GDP, CPI and interest are affected the short run long run. Our findings have important policy implications for Chinese government conducting policy.
چکیده بر اساس نتایج مطالعات مختلف، ارزیابی تعیینکنندههای تورم با استفاده از الگوی VAR استاندارد به دلیل تورش متغیرهای حذف شده در الگوی VAR، به نتایج نادرستی منتهی می شود. به عنوان نمونه میتوان به مشکل معمای قیمت در ادبیات تجربی اشاره کرد. در این تحقیق جهت بررسی دقیق تر تعیینکنندههای تورم در اقتصاد ایران و پیشبینی تورم به جای مدل FAVAR با ضرایب ثابت با استفاده مدل های TVP-FAVAR، اقدام...
We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting models. We also propose residual-based diagnostic tests and examine out-of-sample forecasts. In-sample LR tests support the TVP model for coal and gas but not for oil, though companion diagnostics suggest that the model is t...
Purpose Spine surgeons have increasingly used intraoperative application of topical vancomycin powder (TVP) to prevent surgical site infections (SSIs). The goals of this study were to define the rate of pharmacological adverse reaction to TVP in young patients undergoing posterior spinal surgery and to summarise institutional variation in TVP dosing. Methods This retrospective observational s...
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