One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, por...

This study explores the response characteristics of runoff to variability meteorological factors. A modified vector autoregressive (VAR) model is proposed by combining time-varying parameters (TVP) and stochastic volatility (SV). Markov chain Monte Carlo (MCMC) used estimate parameters. The TVP-SV-VAR daily factors established applied series from Linjiacun hydrological station, Shaanxi Province...

Utilizamos un conjunto de modelos VAR con parámetros variables en el tiempo y volatilidad estocástica (TVP-VAR-SV) para estimar la evolución del efecto traspaso tipo cambio (ERPT) a precios Perú periodo 1995Q2-2019Q4. Según dos criterios selección Bayesiana, los que mejor se ajustan datos permiten mayoría las varianzas evolucionen tiempo. Los resultados dividen partes: (i) ERPTs importación pro...

Based on data from March 2008 to June 2020, we use the TVP-SVAR-SV model study time-varying impact of economic policy uncertainty Chinese commodity prices and analyze effect in different periods. The results show that: Firstly, has a significant prices, short-term is larger than long-term effect. Secondly, positively affects during stock market crash 2015; negatively global financial crisis Dec...

Abstract This article discusses the evolution of monetary policy (MP) in Peru 1996Q1–2019Q4 using a mixture innovation time-varying parameter vector autoregressive (VAR) model with stochastic volatility (TVP-VAR-SV) as proposed by Koop, Leon-Gonzales and Strachan. The main empirical results are: (i) VAR coefficients volatilities change more gradually than contemporaneous over time; (ii) MP shoc...

In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a blend of the flexible least squares and Kalman filter techniques. The out-of-sample forecasting perf...

The sound and sustainable development of the international monetary system is cornerstone stable global economy. This paper takes digital currency in China as its research object utilizes a regime-switching transition auto-regression (STAR) model nonlinear time-varying parameter–stochastic volatility–vector auto regression (TVP-SV-VAR) to empirically analyze relationship between RMB, RMB intern...

Abstract The popularity of social media facilitates the dissemination private information, which has significant implications for investors’ behavior and market efficiency. This paper examines dynamic dependence between internet postings herd in China’s open-end fund by applying DCC-GARCH TVP-SV-VAR models. results show that relationship is time-varying asymmetric. Specifically, have a negative...