Keywords: 62P20; 62H15; 62J10; Clusters; Random effects; Serial correlation;
مقالات ISI (ترجمه نشده)
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Keywords: 14T99; 46A40; 54H25; 54C55; 54C65; 62P20; Tropical convexity; Riesz spaces; Fixed points; AR; Mathematical economics;
Keywords: 62G20; 62P20; Semiparametric efficiency; Partially linear single-index model; Single-index model; Conditional mean restriction; Conditional quantile restriction;
Keywords: primary; 62P20; secondary; 62F99; 60E05; Birnbaum-Saunders distribution; EM algorithm; High-frequency data; Maximum likelihood estimator; Monte Carlo simulation;
Optimal switching problem and related system of BSDEs with left-Lipschitz coefficients and mixed reflections
Keywords: 60G40; 93E20; 62P20; 91B99; Real options; Switching problem; Reflected BSDEs; Oblique reflection; Normal reflection; Optimal stopping problem;
The impact of cost uncertainty on Cournot oligopoly games
Keywords: Cournot model; Bounded rationality; Uncertainty; Risk; Bifurcation; Chaos; 91Axx; 91Bxx; 62P20;
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
Keywords: 62M10; 62N02; 62P20; 91B84; Exponential GARCH; Multivariate log-GARCH-X; VARMA-X; Equation-by-Equation estimation (EBEE); Least squares;
Frequency domain bootstrap for ratio statistics under long-range dependence
Keywords: primary; 62G09; secondary; 62P20; Frequency domain bootstrap; Long-range dependence; Ratio statistics; Spectral density; Normalized periodogram ordinates;
Bayesian multiple structural change-points estimation in time series models with genetic algorithm
Keywords: 62P20; 62J05; 62F15Bayesian time series model with multiple structural changes; BIC; Change-point; GDP; Genetic algorithm (GA); Posterior; Truncated Poisson
Stochastic optimal multi-modes switching with a viscosity solution approach
Keywords: 60G40; 62P20; 91B99; 91B28; 35B37; 49L25; Real options; Backward stochastic differential equations; Snell envelope; Stopping times; Switching; Viscosity solution of PDEs; Variational inequalities;
Statistical causality and orthogonality of local martingales
Keywords: 60G44; 60H10; 62P20; 60H07Filtration; Causality; Local martingales; Orthogonal martingales
A Generalized Hyperbolic model for a risky asset with dependence
Keywords: 60G10; 62P20; 91G20Generalized Hyperbolic; Generalized Inverse Gaussian; Ornstein–Uhlenbeck process; Subordinator model; Long range dependence
Information, data dimension and factor structure
Keywords: C32; C52; C8262-07; 62H25; 62P20; 94A17Kullback–Leibler numbers; Information; Factor structure; Data set dimension; Dynamic factor models; Leading index
A review of copula models for economic time series
Keywords: 62-02; 62H20; 62P20; 91B84; 62E20Correlation; Inference; Multivariate models; Semiparametric estimation; Time series
The point process approach for fractionally differentiated random walks under heavy traffic
Keywords: primary; 60F99; secondary; 60G52; 60G22; 60K25; 62M10; 60G70; 62P20; Heavy traffic; Point process; Supremum functional; Fractional random walk; FARIMA process; Poisson process;
Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution
Keywords: primary; 60F99; secondary; 60G52; 60G22; 60K25; 62M10; 60G70; 62P20; Heavy traffic; Ruin probability; Fractional random walk; FARIMA process; Fractional Lévy stable process;
Uniform convergence of empirical characteristic functions in a complex domain with applications to option pricing
Keywords: 60F15; 62P20; 91B70
Optimal premium policy of an insurance firm: Full and partial information
Keywords: IM10; IM30; IE10; 60G35; 62P20; 91B30; 93E20; Backward separation technique; Forward-backward stochastic differential equation; Optimal premium policy; Partial information; Stochastic control;
Data-transformation approach to lifetimes data analysis: An overview
Keywords: Weibull distribution; Transformations; Maximum likelihood estimation; Generalized Weibull; Exponentiated Weibull; Duration dependence; Reliability; Survival analysis62N02; 62N05; 62P20
Switching problem and related system of reflected backward SDEs
Keywords: 60G40; 93E20; 62P20; 91B99Real options; Starting and stopping problem; Switching problem; Backward SDEs; Reflected BSDEs; Oblique reflection; Snell envelope; Optimal stopping problem
A PDE approach to regularity of solutions to finite horizon optimal switching problems
Keywords: 60G40; 93E20; 62P20; 91B99Real options; Security design; Backward stochastic differential equation; Default risk; Snell envelope; Stopping time; Stopping and starting; Optimal switching; Viscosity solution of PDEs; Variational inequalities
Heavy-tailedness and threshold sex determination
Keywords: primary; 92B05; 62P10; 62P20; 60E15;
Modelling total tail dependence along diagonals
Keywords: 62H20; 62H30; 62P20; 91B82; Copula; Dependence structure; Model mixture; Quantitative risk; Total tail dependence;
Factor stochastic volatility with time varying loadings and Markov switching regimes
Keywords: 62C10; 62P20; 62F40; 91B70; 91B82Bayesian inference; Factor analysis; Variance decomposition; Dynamic models; Markov switching
Structured priors for multivariate time series
Keywords: 62H99; 62P20; 62P30; Multiple time series; Autoregressions; VAR models; Structured priors; Latent components; Model order uncertainty;
Confidence intervals of the ratio of means of two independent inverse Gaussian distributions
Keywords: 03C98; 62P20; Modified directed log-likelihood ratio; Goodness-of-fit test; Sufficient statistic;
Regional house price behaviour in the UK: application of a joint testing procedure
Keywords: 62P20; 65C05; Stationarity; Unit roots; Joint testing; UK house prices;