On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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6 results for “TVP-VAR”

A time-varying study of Chinese investor sentiment, stock market liquidity and volatility: Based on deep learning BERT model and TVP-VAR modelq-fin.CP

This study examines investor sentiment's impact on stock market liquidity and volatility using deep learning and TVP-VAR models.

problem Investor sentiment's impact on stock market liquidity and volatility.

method Deep learning BERT model for sentiment extraction and TVP-VAR model for time-varying analysis.

result Investor sentiment has a stronger impact on stock market liquidity and volatility, with more pronounced effects in short-term shocks.

Chinese investors stock market liquidity volatility BERT model TVP-VAR model

2022-05-11abs ↗pdf ↗

Interconnected Markets: Exploring the Dynamic Relationship Between BRICS Stock Markets and Cryptocurrencyecon.GN

Study examines dynamic relationship between BRICS stocks and cryptocurrencies.

problem Understanding the impact of BRICS stock markets on cryptocurrency markets.

method Time-varying parameter vector autoregression model (TVP-VAR).

result Three out of five BRICS stock markets are primary sources of shocks affecting the financial network.

BRICS Stock Markets Cryptocurrency Dynamic Connectedness Time-Varying Parameter

2024-06-11abs ↗pdf ↗

Uncovering the Sino-US dynamic risk spillovers effects: Evidence from agricultural futures marketsecon.GN

Study measures risk spillovers between US and China's agricultural futures markets.

problem Interconnectedness and risk transmission in agricultural futures markets.

method TVP-VAR-DY model with quantile method.

result CBOT corn, soybean, and wheat are primary risk transmitters; DCE corn and soybean are main receivers.

agricultural futures risk spillovers China-US dynamics TVP-VAR-DY model quantile method

2024-03-04abs ↗pdf ↗

Assessing Dynamic Connectedness in Global Supply Chain Infrastructure Portfolios: The Impact of Risk Factors and Extreme Eventsecon.EM

This study analyzes dynamic connectedness in global supply chain infrastructure portfolios, identifying key risk factors and extreme events.

problem Understanding dynamic connectedness in global supply chain infrastructure portfolios under various risk factors and extreme events.

method Time-varying parameter vector autoregression (TVP-VAR) model to study spillover and interconnectedness of risk factors.

result Risk shocks influence dynamic connectedness between portfolios and risk factors, and extreme events affect investment outcomes.

Supply Chain Infrastructure Dynamic Connectedness Risk Factors Extreme Events TVP-VAR

2025-08-06abs ↗pdf ↗

Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network sciencephysics.soc-ph

Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network science. Following [1] a Time-Varying Parameter Vector AutoRegressive (TVP-VAR) app…

2017-07-02abs ↗pdf ↗

Dynamic Risk in the U.S. Banking System: An Analysis of Sentiment, Policy Shocks, and Spillover Effectsecon.EM

This paper analyzes how banking risks spread through sentiment and policy shocks.

problem Systemic risk in the U.S. banking system during the 2023 crisis.

method Time-Varying Parameter Vector Autoregression (TVP-VAR) model with 30-day rolling windows.

result Risk spillovers were driven by perceived similarities in bank business models under interest rate pressure.

banking crisis sentiment policy shocks systemic risk risk spillover

2026-01-05abs ↗pdf ↗