structural VARWe introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variablesChavleishvili, SulkhanManganelli , SimoneSocial Science Electronic Publishing
We use quantile vector autoregression (QVAR) to identify the connection between six variables related to digitalization (proxied by a number of Internet users and mobile cellular subscriptions), green technology development, green energy consumption, carbon dioxide emissions, and economic complexity index ...
To fill this gap in the literature, we compile empirical evidence on the quantile interconnectedness of C-SIBs from the salience theory perspective. The setting of employing a natural experiment in C-SIBs is appealing from an empirical standpoint. As the second largest economy in the world, China...
The literature has so far presented different robust models to explain the relationship between the clean energy market and the stock market, applying various empirical methods such as GARCH models (Ahmad et al., 2018; Kocaarslan and Soytas, 2019), vector autoregression (VAR) models (Kyritsis ...
the spillover index of Diebold and Yilmaz (2012), the time-varying parameters vector-autoregression (TVP-VAR) model, and the quantile regression approach... W Mensi,M Gubareva,T Teplova,... - 《North American Journal of Economics & Finance》 被引量: 0发表: 2023年 Spillover Effects of ...
Some studies propose the structural vector autoregression model and allege that the introduction of this multivariate time series tool can effectively deal with the problem of exogenous conditions (Sims, 1980). In this context, White, Kim and Manganelli (2015) proposed the multivariate multiquantile ...
2012) and the vector autoregression framework (Diebold and Yilmaz 2014), which fall short of accommodating heterogeneous effects across the size distribution of shocks. From the perspective of prudently supervising the financial system, network interconnectedness under extreme market conditions makes more ...
The findings support the predictability of exchange rate structural models is super to an autoregression model, and these structural models are effective. The paper analyzes the determinants of exchange rates in G7 countries based on the quantile regression, and finds out that the impact of factors...
Environmental sustainability is an umbrella approach depending on various climatic and economic policies. In doing so, the current study empirically evaluates the role of green finance, eco-innovation, and environmental policy stringency on the ecological footprint in China. To meet the objectives, the...
Let X be a d-dimensional vector of covariates taking values in X. The linear τth quantile regression model specifies the conditional distribution of a real response variable Y given the value X=x as (1.1)Y|x∼βτ0+x′βτ+ϵ, for some unknown coefficients βτ0∈R and βτ∈...