Refined Measures of Dynamic Connectedness based on TVP-VAR

By Nikolaos Antonakakis, David Gabauer. 2017

198 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/13f2abb446894faf711b5a9ef625c5c0c242e281

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Citations in the corpus

Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms (2020, unknown): “…to the investigation of issues such as stock market interdependencies, business cycle synchronization, and volatility spillovers (see, among others,Antonakakis & Gabauer, 2017; Antonakakis, Gabauer, Gupta, & Plakandaras, 2018; Baruník, Kočenda, & Vácha, 2016; Bubák, Kočenda, & Žikeš, 2011;…”
Return connectedness across asset classes around the COVID-19 outbreak (2020, methodology): “…questions, we consider a financial system to be a network of five interconnected assets covering gold, crude oil, equities, currencies, and bonds and then apply a dynamic connectedness approach based on time-varying parameter vector auto-regressions (TVP-VAR) in line with Antonakakis et al. (2020).”
Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios (2019, methodology): “(2005), we extend the time-varying parameter connectedness methodology outlined in Antonakakis and Gabauer (2017) by using the TVP-FAVAR model introduced by Koop and Korobilis (2014)(1).”
International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression (2019, methodology): “By doing so, the TVP-VAR approach overcomes the burden of the often arbitrarily chosen rolling-window-size, that could lead to very erratic or flattened parameters, and loss of valuable observations (Antonakakis and Gabauer, 2017; Antonakakis et al., 2018; Gabauer and Gupta, 2018; Korobilis and Yilm”
On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach (2018, methodology): “We investigate the internal and external categorical economic policy uncertainty (EPU) spillovers between the US and Japan using a novel extension of the TVP-VAR connectedness approach of Antonakakis and Gabauer (2017).”
How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020, unknown): “We first employ the time-varying parameter vector autoregressions (TVP-VAR) approach of Antonakakis and Gabauer (2017) to explore the spillover connectedness across the markets unlike the dynamic connectedness methods of Diebold and Yılmaz (2009, 2012, 2014).”
Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities? (2020, unknown): “To overcome these defects, Antonakakis and Gabauer (2017) expand the D–”