This study analyzes the impacts of different drivers on pricing EU carbon futures in various periods by using time-varying parameter vector autoregressive (TVP-VAR) model. The results indicate that: (1) relationships between oil, gas, electricity, stock prices and price have significant characteristics those experienced an inversion 2016. might be due to pressure achieving “EU 20-20-20” targets...

In order to enrich the research on influence of weather factors agricultural economy and provide practical decision-making references for relevant market entities, this study took pointed pepper, loofah, Chinese chives tomato as examples, using weekly wholesale prices corresponding data from one main production areas in China based vector autoregressive (VAR) time-varying parameter (TVP-VAR) mo...

The aim of the study is to analyze shock and volatility spillover between BIST Finance, Industry, Technology, Tourism, Transportation, Food, Retail-Trade sectors. In this direction, daily data obtained January 5, 2010, December 4, 2020, were analyzed using a new method named TVP-VAR Diebold Yılmaz Spillover Index developed by Antonakakis et al. (2019). Our results indicate that industrial finan...

Bu çalışmada, para politikası tasarımlarının fiyat istikrarı ile finansal istikrar arasındaki ilişkileri açıklamakta 1990’lardan buyana Geleneksel Bilgelik ve Yeni Ortam Hipotezleriyle gösterdiği gelişim gözetilerek Euro alanındaki ülkelerin tasarımlarında ilişkilerin ampirik olarak incelenmesi amaçlanmaktadır. amaçla politikalarının temel amacı doğrultusunda tasarlandığı ülkelerde, zamanla değ...

This study aims to dynamically analyse the relationship between intraday market electricity prices and day-ahead amount of generated based on primary energy resource in Turkey. In this context, data set consisting market, generation resources, covering period from 1 January 2018 19 June 2022, was analysed with TVP-VAR. Findings reveal that variables changes over time is affected by global event...

This paper explores the time-varying nature of continuous development education and employment from 1993-2021, completes measurement integrated scale talent indicators using entropy power method, constructs a TVP-VAR model, investigation dynamic relationship between changes in growth equally spaced impulse responses time-point responses. It is found that: there are different degrees positive ne...

The target visitation problem (TVP) is concerned with finding a route to visit a set of targets starting from and returning to some base. In addition to the distance traveled a tour is evaluated by taking also preferences into account which address the sequence in which the targets are visited. The problem thus is a combination of two well-known combinatorial optimization problems: the travelin...

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...

Bu çalışmada, Bitcoin ile gelişmiş ve gelişmekte olan ülkelerin hisse senedi piyasaları arasındaki volatilite yayılım ilişkisinin incelenmesi bulguların finansal etkileyen küresel olaylar bağlamında değerlendirilmesi amaçlanmıştır. amaçla 03.01.2017-25.03.2022 dönemi, Bitcoin, MSCI ABD, Avrupa piyasalar endeksi günlük verilerine zamanla değişen parametre vektör otoregresif (TVP-VAR) modeli uygu...