TVP-VAR frequency connectedness analysis on CPI-based monthly real return volatility of financial investment instruments

TVP-VAR frequency connectedness analysis on CPI-based monthly real return volatility of financial investment instruments

Purpose: This study explores volatility transmission among the real returns of financial investment instruments, using the Diebold-Yilmaz approach and data from the Turkish Statistical Institute. The dataset includes monthly real return rates of instruments like Gross Interest Rate (GIR) for deposit...

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Bibliographic Details
Main Authors: Nesrin Akbulut, Berkay Aktürk, Yakup Ari
Format: Article
Language:English
Published: Faculty of Economics and Business in Osijek 2024-01-01
Series:Ekonomski Vjesnik
Subjects:
real return
CPI
TVP-VAR frequency connectedness
volatility
Online Access:https://hrcak.srce.hr/file/471332
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