Keywords: همبستگی مشروط; C22; C32; D72; G10; G12; Conditional correlation; GARCH; Bond and stock returns comovement; US presidential cycles;
مقالات ISI همبستگی مشروط (ترجمه نشده)
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A note on conditional covariance matrices for elliptical distributions
Keywords: همبستگی مشروط; 62H05; 60E05; Elliptical distribution; Conditional covariance; Conditional correlation; Tail covariance matrix; Tail conditional variance; Conditional variance matrix;
Keywords: همبستگی مشروط; E3; C5; N1; Conditional correlation; GARCH; Price-output comovement; US economy;
Keywords: همبستگی مشروط; C32; C50; E31; E44; G1; N1; Conditional correlation; GARCH; Inflation and stock price comovement; US economy;
Keywords: همبستگی مشروط; C12; C32; G10; Dynamic hedge ratios; Conditional correlation; Commodity market; Equity index; Risk management;
Keywords: همبستگی مشروط; Conditional correlation; Conditional covariance; Kalman recursions; LDL decomposition; State space methods;
Keywords: همبستگی مشروط; Institutional investment; Volume spillover; Conditional correlation; Second moment; Emerging markets;
Keywords: همبستگی مشروط; C22; E31; O13Commodity markets; Conditional correlation; Portfolio investment
Keywords: همبستگی مشروط; C12; C32; G10; Q00; Volatility impulse response functions; Dynamic hedge ratios; Volatility spillovers; Conditional correlation; Commodity market; Equity index;
Keywords: همبستگی مشروط; Conditional correlation; Chinese stock market; US stock market; Cointegration; G10; G15; F36;
Keywords: همبستگی مشروط; G12; E52; Financial crisis; Residential housing market; Conditional correlation; Transmission mechanism;
Keywords: همبستگی مشروط; C32; G15; Conditional correlation; Contagion risk; Multivariate BEKK; Leverage effect; Nonparametric regression; Systematic risk; Systemic risk; Volatility spillover;
Keywords: همبستگی مشروط; G15; F36; C32Volatility transmission; MGARCH; Decoupling hypothesis; Emerging markets; Conditional correlation; Financial integration
Keywords: همبستگی مشروط; C1; G1The greater China region; Cointegration; Rolling windows; Conditional correlation; Diversification
Modeling rainfall-runoff relationship using multivariate GARCH model
Keywords: همبستگی مشروط; Rainfall-runoff; Bivariate GARCH; ARMAX-GARCH; Conditional covariance; Diagonal VECH; Conditional correlation;
Has recent financial crisis changed permanently the correlations between BRICS and developed stock markets?
Keywords: همبستگی مشروط; G01; G15; C22BRICS stock market; Developed stock market; Conditional correlation; Long-run trend
Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis
Keywords: همبستگی مشروط; G13; G14; Index futures; Causality; Conditional correlation; DCC-TGARCH-M; CCF test;
A cautionary note on computing conditional from unconditional correlations
Keywords: همبستگی مشروط; C13; C21; C34; Conditional correlation; t-distribution; Stock returns;
Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets
Keywords: همبستگی مشروط; C22; C32; G17; G32; Volatility spillovers; Multivariate GARCH; Conditional correlation; Asymmetries; Hedging;
Positivity constraints on the conditional variances in the family of conditional correlation GARCH models
Keywords: همبستگی مشروط; C32; C51; C52; G19; Multivariate GARCH; Positivity constraints; Conditional correlation;
Exchange rate exposure of sectoral returns and volatilities: Evidence from Japanese industrial sectors
Keywords: همبستگی مشروط; C22; F31; G12; G15; Exchange rate exposure; Asymmetric volatility spillovers; GARCH-type models; Conditional correlation;
Volatility and correlation in international stock markets and the role of exchange rate fluctuations
Keywords: همبستگی مشروط; F30Exchange rate fluctuations; Conditional volatility; Conditional correlation
Modelling the uncertainty in monthly international tourist arrivals to the Maldives
Keywords: همبستگی مشروط; International tourist arrivals; Tourism source countries; Volatility; Uncertainty; Univariate and multivariate models; Conditional correlation; Asymmetry; Shocks; Specialization; Diversification; Segmentation
The comovement between output and prices: Evidence from a dynamic conditional correlation GARCH model
Keywords: همبستگی مشروط; E3; C5; Conditional correlation; GARCH; Comovement;
Exploring large-scale brain networks in functional MRI
Keywords: همبستگی مشروط; Functional brain interactions; Large-scale networks; Functional MRI; Functional connectivity; Effective connectivity; Conditional correlation
A multivariate conditional autoregressive range model
Keywords: همبستگی مشروط; C32; C51; Conditional correlation; Mixing property; Range; Stationarity;
Comparative analysis of risk ratings for the East European region
Keywords: همبستگی مشروط; Country risk; Rating agencies; Rating systems; ICRG; Economic risk; Financial risk; Political risk; Composite risk; Volatility; Conditional correlation; Shocks; GARCH;
Testing for contagion: a conditional correlation analysis
Keywords: همبستگی مشروط; F30; G15; Contagion; Financial crises; Conditional correlation;
The forecasting abilities of implied and econometric variance-covariance models across financial measures
Keywords: همبستگی مشروط; GARCH; Implied model; Conditional correlation;