Revolutionizing agricultural stock volatility forecasting: a comparative study of machine learning and HAR-RV models

Journal of Applied Economics, Год журнала: 2025, Номер 28(1)

Опубликована: Янв. 25, 2025

Язык: Английский

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Dynamic Spillovers of Economic Policy Uncertainty: A TVP-VAR Analysis of Latin American and Global EPU Indices

Economies, Год журнала: 2025, Номер 13(1), С. 11 - 11

Опубликована: Янв. 7, 2025

This study examines the dynamic interconnectedness of economic policy uncertainty (EPU) among Latin American economies—Brazil, Chile, Colombia, and Mexico—and significant international regions, including United States, Europe, Japan, as well a global EPU index. Using Time-Varying Parameter Vector Autoregressive (TVP-VAR) model with monthly data, this reveals evolving spillover effects dependencies capturing how in one market can transmit across others on both regional scales. The findings highlight impact external EPU, particularly from U.S. sources America, positioning it primary recipient uncertainty. These results underscore need for economies to adopt resilience strategies—such trade diversification cooperation—to mitigate vulnerabilities shocks. offers valuable insights into mechanisms transmission, guiding policymakers developing coordinated responses reduce volatility foster stability.

Язык: Английский

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Navigating extreme risk spillovers: Building a synergistic network of rare earths, green bonds, and clean energy markets in China

Energy Economics, Год журнала: 2025, Номер unknown, С. 108562 - 108562

Опубликована: Май 1, 2025

Язык: Английский

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Geopolitical, economic risk and the time-varying structure of extreme risk in the carbon emissions trading market

Frontiers in Environmental Science, Год журнала: 2024, Номер 12

Опубликована: Дек. 16, 2024

Amidst global climate challenges, carbon emission trading has become the most important market-based environmental policy tool, attracting widespread attention for mitigating price volatility caused by extreme risks. This study applies multivariate multi-quantile conditional autoregressive value-at-risk (MVMQ-CAVIaRX) model to measure market risk and modifies Diebold Yilmaz (DY) spillover index calculated using time-varying parameter vector with exogenous variables (TVP-VARX) examine structures its characteristics of European emissions market. The relevant results are threefold. (1) Significant effects exist between stock, commodity, exchange rate, interest rate markets, influenced economic risks geopolitical (2) In average structure market, aside from itself, contribute most, followed stock commodity while contributions relatively small, exerting a slow steadily increasing influence on in over forecast period. (3) exhibits significant characteristics, related risks, showing variations during periods such as COVID-19 pandemic Russia–Ukraine war. These findings have implications policymakers manage

Язык: Английский

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The divergence of China’s prices under economic policy uncertainty shock: A time-varying perspective

The North American Journal of Economics and Finance, Год журнала: 2024, Номер unknown, С. 102345 - 102345

Опубликована: Дек. 1, 2024

Язык: Английский

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