Scholar4AI Updated 2026-10-26 11:39 UTC+09:00

Vector autoregression (VAR)

area: Time series · 0 papers in the last 7 days

← Most-used equations and models

yt=c+∑i=1pAiyt−i+εt

Models several time series jointly, each as a function of the lags of all of them.

LaTeX: y_t = c + \sum_{i=1}^{p} A_i\, y_{t-i} + \varepsilon_t

Names searched for: vector autoregression, vector autoregressive, SVAR, TVP-VAR, panel VAR, Bayesian VAR, structural VAR, VAR model, VAR framework, VAR approach, VAR analysis

Key findings

  • Vector autoregression (VAR) was mentioned in 49 papers in the last 30 days (2026-09-27 to 2026-10-26), ranking #10 of the 88 equations and models mentioned.
  • By journal category: Finance (23), Economics (20), Management (3), Operations Research (2) and AI (1).
  • Most of them appeared in International Review of Economics & Finance (6), Finance research letters (4) and Economic Modelling (3).
  • Often mentioned together with GARCH (10), Granger causality (9) and Cointegration and error correction (VECM) (8).
  • Datasets named in the same papers: VIX (8), S&P 500 (8) and Marketization index (Fan Gang) (6).
Papers mentioning Vector autoregression (VAR), newest first.
DateTitleJournalAuthorsAffiliations
2026-10-19Time-varying impacts of government spending on CO2 emissionsJournal of Economic Behavior & OrganizationStefano Di Bucchianico, Mario Di Serio, Matteo Fragetta et al.University of Salerno; International Monetary Fund; Ifo Institute for Economic Research
2026-10-17The resilience of sentiment: VIX-led connectedness and monetary decoupling in a high-inflation regimeJournal of Economics and FinanceSayed Akif Hussain, Syed Amer Hussain, Syed Atif Hussain et al.Shihezi University; Chongqing University of Posts and Telecommunications; Abbottabad University of Science and Technology; …
2026-10-17Asymmetric effects of policy uncertainty on aggregate earningsFinance research lettersWeiyi Kang, Jing WangCalifornia Polytechnic State University; California State University, Bakersfield
2026-10-16The unstable boundary: conditional classification of non-performing loan determinants and its implications for banking regulationJournal of Banking RegulationMichael GiannoulakisUniversity of Greenwich
2026-10-16Sustainable finance versus non-sustainable finance and environmental sustainability: evidence from selected OECD economiesFinancial InnovationDaniel Balsalobre‐Lorente, Magdalena Radulescu, Niu Rong et al.Azerbaijan State University of Economics; Universidad Ecotec; University of Castilla-La Mancha; …
2026-10-15Geopolitical risk spillovers among GCC stock markets, non-renewable energy, and gold: evidence from a quantile connectedness approachPortuguese Economic JournalNidhal Mgadmi, Fekria Belhouichet, Ştefan Cristian Gherghina et al.University of Sfax; Faculty of Economics and Management of Sfax; Bucharest University of Economic Studies; …
2026-10-13Monetary and macroprudential policy transmission to housing prices: Evidence from conventional and unconventional monetary policy regimes in the euro areaInternational Review of Economics & FinanceOndřej Závacký, Aleš MeleckýVSB - Technical University of Ostrava
2026-10-12State-dependent exchange rate pass-through in Costa Rica: Evidence from an endogenous regime-switching SVAREconomic ModellingCarlos Brenes Soto, Fabio Gómez-RodríguezLehigh University
2026-10-12Uncertainty and tail spillovers: Dynamic connectedness between DeFi tokens and BRICS equity marketsPacific-Basin Finance JournalWeiping Li, Ziying Lian, Junbo Wang et al.City University of Macau; Wenzhou-Kean University; Shandong University of Finance and Economics
2026-10-12Productivity convergence for the capable? Endogenous capabilities, the great recession, and the effectiveness of EU Cohesion PolicyThe Annals of Regional ScienceFederico Colozza, Massimo Bagarani, Luigi SalvatiUniversity of Pavia; Marconi University; University of Messina
2026-10-10Imported financial risk in global foreign exchange markets: A time-frequency network analysisFinance research lettersZhongzhe Ouyang, Yuqi Guo, Yaoxun Deng et al.Guangzhou University; China Construction Bank; Hunan Normal University
2026-10-08Entrepreneurship development, corruption perception, and sustainable development outcomes in emerging economies: the moderating role of digital financial inclusionFuture Business JournalSeun Adebowale Adebanjo
2026-10-08Structural change and economic complexity in Brazil’s manufacturing sector: evidence across the states (2011–2019)The Annals of Regional ScienceLuiz Carlos de Santana Ribeiro, Luciano Ferreira Gabriel, Bruno de Oliveira Cruz et al.Institute of Applied Economic Research; Universidad de Oviedo
2026-10-08Cross-border risk co-movement and multidimensional network resilience in global clean energy markets: Evidence from a higher-order downside co-movement networkEnergy EconomicsYaoxun Deng, LAI Yongzeng, Tianlei Zhu et al.Hunan Normal University; Wilfrid Laurier University; Beijing Jiaotong University
2026-10-07Testing for dominance in risk transmission mechanisms towards the European energy marketFinance research lettersJone Ascorbebeitia, Eva Ferreira, Susan OrbeUniversity of the Basque Country
2026-10-06Is bitcoin a hedge against central banking? Evidence from AI-driven monetary policy expectationsJournal of International Money and FinanceMaxime L. D. Nicolas, François Sicard, Marion Labouré et al.University College London; Deutsche Bank (United Kingdom)
2026-10-06Sentiment interactions in financial markets: Conditional volatility, feedback, and shock propagationInternational Review of Economics & FinanceMd Tanvir HasanUniversity of Dhaka; University of Glasgow
2026-10-05The cost of collateral scarcity: Asset prices and misallocation in supply crisesEconomic ModellingYe Zhang, Ying Tung ChanTohoku University; Beijing Normal-Hong Kong Baptist University
2026-10-05Dynamics of regime and quantile connectedness across new economy marketsInternational Review of Economics & FinanceSami Al Kharusi, Rim M. El Khoury, Walid Mensi et al.Sultan Qaboos University; Lebanese American University; Pusan National University
2026-10-05An innovative approach to stock forecasting: combining LSTM, VMD, and artificial rabbit optimizationFuture Business JournalHoma Mehtarizadeh, Najme Mansouri, Behnam Mohammad Hasani Zade et al.Shahid Bahonar University of Kerman
2026-10-05Corrigendum to “Equity markets and ESG dynamics: Assessing spillovers and portfolio strategies through time-varying parameters” [Energy Econ., 134 (2024), 107548]Energy EconomicsYi Wang, Shoaib Ali, Muhammad AyazXihua University; Jiangsu University; Lebanese American University; …
2026-10-03Climate policy uncertainty and risk spillovers: Evidence from China’s carbon marketsInternational Review of Economics & FinanceJinjin Tian, Li Chen, Yong Ma et al.Central South University of Forestry and Technology; Hunan University
2026-10-03International spillovers of the US–China trade war 2.0: The case of Asian stock marketsInternational Review of Economics & FinanceWojciech Grabowski, Ewa Stawasz‐GrabowskaUniversity of Łódź
2026-10-03Tail Dependence in EU Carbon Markets: Graphical Models of Extremes for EUA FuturesComputational EconomicsJan Maciejowski, Manuele LeonelliIE University
2026-10-01Trade wars, geopolitical risk, and volatility dynamics in sustainable and conventional energy ETFsEnergy EconomicsMuhammad Shabaz, Mosab Ismail Tabash, Umaid A. Sheikh et al.Beijing Institute of Technology; Gulf University for Science & Technology; University of Cambridge; …
2026-10-01Media Interpretation, Investor Attention, and Volatility Escalation in Global Financial MarketsFinance research lettersZuzana JankováBrno University of Technology
2026-10-01The effects of aggregate and local extreme weather on financial distress risk: Evidence from ChinaEmerging Markets ReviewLi Li, Xiangyang Li, Jingjie XiangNankai University; Central China Normal University
2026-10-01U.S.-China tensions and systemic risk transmission across asset classes: New evidence from a TVP-VAR connectedness frameworkEmerging Markets ReviewDavid Y. Aharon, Martin M. Bojaj, Arie Jacobi
2026-10-01A sequential hybrid simulation framework linking digital contagion, strategic interaction, and macroeconomic spillovers: Calibration-conditional insights into middle-power resilienceInternational Review of Economics & FinanceSupriya KrishnanPatna University
2026-10-01Unveiling volatility networks: asymmetric shock transmission across global financial marketsThe North American Journal of Economics and FinanceYüksel İltaş, Fatih GÜZEL, Ümit BulutAhi Evran University
2026-10-01Japan’s Low Inflation: A Structural VAR Analysis of Cost-Push Pricing and Bank Lending over Three DecadesEconomic ModellingKei-Ichiro InabaGovernment of Japan
2026-10-01Exchange rate stability and global shocks: Policy for inflation control in emerging marketsJournal of Policy ModelingHakan Yilmazkuday ZFlorida International University
2026-10-01Governing sustainability under uncertainty: dynamic evidence on climate risk and policy swingsJournal of Innovation & KnowledgeXiaotian Dong, Wenhui Ma, Kai-Hua Wang et al.Qingdao University; City University of Macau; Superior University
2026-10-01Inflation component spillovers and the limits of monetary sovereignty in inflation-targeting EuropeJournal of Policy ModelingAlexis Stenfors, David Gabauer, Mimoza Shabani et al.University of Portsmouth; Lincoln University; Audencia Business School; …
2026-10-01Younger households’ inflation is more responsive to monetary policyEconomics LettersAeimit K. Lakdawala, Timothy MorelandWake Forest University; University of North Carolina at Greensboro
2026-10-01Evaluating dynamic efficiency: Multi-layer dynamic non-radial data envelopment analysis with time-lagged effect structureEuropean Journal of Operational ResearchYing Zhang, Francesca MeddaUniversity College London
2026-10-01AN ALTERNATIVE CONCEPTUAL FRAMEWORK OF THE PROXIMATE SOURCES OF GROWTH ACCELERATIONS IN SUB-SAHARAN AFRICAN COUNTRIESStructural Change and Economic DynamicsKevin S. Nell, Maria M. De MelloUniversity of Johannesburg
2026-10-01Forecasting the price of carbon with macroeconomic and financial variablesJournal of Economic Dynamics and ControlAndrea Bastianin, Elisabetta Mirto, Yan Qin et al.University of Milan; Fondazione Eni Enrico Mattei; Swiss National Bank
2026-10-01Adaptive Bayesian very short-term wind power forecasting based on the generalised logit transformationInternational Journal of ForecastingTao Shen, Jethro Browell, Daniela Castro‐Camilo
2026-09-30Catalysts or constraints? The dual role of natural resources and greenfield investment amid geopolitical riskEnergy PolicyPriyanka Pradhan, Rajib Kumar Malik, Narayan Sethi et al.National Institute of Technology Rourkela; Indian Institute of Management Sambalpur
2026-09-30The Markov switching regime global VAR model (MSR-GVAR)OR SpectrumGiorgos Kotsompolis, Konstantinos Ν. Konstantakis, Panos Xidonas et al.National Technical University of Athens; University of Piraeus; Hellenic Open University; …
2026-09-30What can we gain from pooling VAR and local projection impulse response functions?Journal of Economic Dynamics and ControlViet Hoang DinhMonash University
2026-09-30Natural gas prices and macroeconomies: Evidence from exporting and importing countriesJournal of commodity marketsPeng Chen, Xiaojing CaiOkayama University; Kobe University
2026-09-30Words that move markets: ECB presidential tone and euro area bank CDS spreadsJournal of Financial StabilityDimitrios Anastasiou, Theodoros Bratis, Apostolos G. Katsafados et al.Athens University of Economics and Business; University of Zurich; Swiss Finance Institute; …
2026-09-29Beyond the hotspots: Identifying public opinion blind spots and agenda-setting dynamics in crisis information generationInformation Processing & ManagementYujiao Sun, Siyue Xiong, Zhijian Zhang et al.Wuhan University; Fudan University
2026-09-29The price of ethics: Liquidity and safe haven properties of responsible physical gold ETPsResearch in International Business and FinanceBorja Amor Tapia, Paula Castro, María Teresa Tascón FernándezUniversidad de León
2026-09-29Foreign exchange intervention in dollarized economies: A quantitative evaluationJournal of Financial StabilityPaul Castillo B., Ruy Lama, Juan Pablo MedinaInternational Monetary Fund; Adolfo Ibáñez University
2026-09-28A Korean macroeconomic database for data-rich policy analysis and U.S.–Korea dependenceJournal of Asian EconomicsChangryong Baek, Seung Hyun Moon, Seunghyeon LeeSungkyunkwan University; Seoul National University; Bank of Korea
2026-09-27Bank market power and corporate stock price crash risk: borrowers’ manipulation incentivesJournal of International Financial Markets Institutions and MoneyShengfeng Li, Liang Han, Biao MiUniversity of Sheffield; Dongbei University of Finance and Economics; University of Surrey; …