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 paper is concerned with the mathematical analysis of terminal value problems (TVP) for a stochastic nonclassical diffusion equation, where source assumed to be driven by classical and fractional Brownian motions (fBms). Our two are study in sense well-posedness ill-posedness meanings. Here, TVP problem determining statistical properties initial data from final time data. In case [Formula: ...

This paper discusses the challenges faced by the empirical macroeconomist and methods for surmounting them. These challenges arise due to the fact that macroeconometric models potentially include a large number of variables and allow for time variation in parameters. These considerations lead to models which have a large number of parameters to estimate relative to the number of observations. A...

This paper proposes methods for Bayesian inference in time-varying parameter (TVP) quantile regressions (QRs) featuring conditional heteroskedasticity. I use data augmentation schemes to render the model conditionally Gaussian and develop an efficient sampling algorithm. Regularization of high-dimensional space is achieved via dynamic shrinkage priors. The merits proposed approach are illustrat...

This paper estimates a 7 variable TVP-VAR on US data using kernel methods. We identify monetary policy shocks using sign restrictions for each period in our sample. We then fit the SmetsWouters (2007) model to these impulse responses, tracing out evolutions in the structural DSGE parameters over time. Parameters defining nominal rigidities move a lot. Some real side ones move a lot (investment ...