Keywords: C01; C58; C22; E44Extreme value theory; Value at Risk; Subprime crisis; German stock market
مقالات ISI (ترجمه نشده)
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Keywords: C01; C22; C31; C51; C58; G01Credit crisis; Coexceedance; Quantile regression; News events; Risk perception
Keywords: C01; C02; C44; C63; G21; Systemic risk; Financial networks; Payment systems; Interbank market;
Keywords: G1; C01; C02; Risk management; Serial dependence; Cross-interdependence; Copula methods;
Keywords: C01; Q42; Q48; Time series; Biofuels; Price levels; Price volatility; Literature review;
Keywords: C01; D12; L11; O33; Q41; Q21; Fuel demand; Energy policy; Ethanol; Flex-fuel vehicle; Dynamic panel data model;
Keywords: O34; O31; O30; K39; Z18; C01; Patent; Infringement; Award; Regression; Empirical; Predictable;
Keywords: C01; C33; C34; J31; Wage inequality; Wage uncertainty; Unobserved heterogeneity; Selectivity; Education; Replication;
Keywords: C01; C024; C29; C58; G01; G15; Crude oil price volatility; GCC economy; Nonlinear relationship; Stock market; Regime switching;
Keywords: C01; C15; C44; Structural change; CUSUM test; Regression;
Keywords: C01; C13; C30; C20; Large conditional covariance matrix; GARCH; Multivariate GARCH;
Developing an extended theory of planned behavior model to explore circular economy readiness in manufacturing MSMEs, India
Keywords: D22; Q52; Q53; C87; C01; O53; Circular economy; Extended theory of planned behavior; Environmental commitment; Green economic incentives; Manufacturing; MSME; India;
Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test
Keywords: G01; G12; C01; Bitcoin; Price bubble; Speculation; GSADF;
Determinants for adoption decision of small scale biogas technology by rural households in Tigray, Ethiopia
Keywords: C01; D11; Q01; Q42; Biogas technology; Determinants; Adoption; Tigray region;
The econometrics of unobservables: Applications of measurement error models in empirical industrial organization and labor economics
Keywords: C01; C14; C22; C23; C26; C32; C33; C36; C57; C70; C78; D20; D31; D44; D83; D90; E24; I20; J21; J24; J60; L10; Measurement error model; Errors-in-variables; Latent variable; Unobserved heterogeneity; Unobserved state variable; Mixture model; Hidden Markov
Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis
Keywords: C0; C01; E0; High-dimensional time series; Generalized dynamic factor models; Vector processes with singular spectral density; One-sided representations of dynamic factor models; Consistency and rates;
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
Keywords: C01; C14; C58; D53; D81; EM algorithm; Kalman filter; Market microstructure noise; Asynchronous data; Factor model; Portfolio allocation; Quasi-likelihood; Semimartingale;
The equivalence of three latent class models and ML estimators
Keywords: C01; C10; C30; C40; Binary Roy model; Partial observability model; Misclassified data; Probit model; Switching regression;
A test for changing trends with monotonic power
Keywords: G10; C01; C14; G14; U-statistic; Deterministic trends; Structural changes; Monotonic power;
Asymptotic variance of Brier (skill) score in the presence of serial correlation
Keywords: C01; C12; C53; Probability forecasts; Serial correlation; Brier score; Brier skill score; Survey of Professional Forecasters;
Impacts of OPEC's political risk on the international crude oil prices: An empirical analysis based on the SVAR models
Keywords: C01; C32; C50; Q41; Q43; Q47; OPEC; Political risk; Oil price; SVAR;
A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds
Keywords: Actuarial science; Non-linear time-series; Mortality/longevity risk; Securitization; Risk-cubic pricing; C01; C22; G22; G23;
Formación de los precios de alquiler de viviendas en Machala (Ecuador): análisis mediante el método de precios hedónicos
Keywords: C01; C21; C51; Q53; Áreas verdes; Precios implÃcitos; Alquiler; C01; C21; C51; Q53; Green areas; Implicit prices; Rental;
Volatility linkages between energy and agricultural commodity prices
Keywords: Energy; Agriculture; Biodiesel; Volatility model; Interdependencies; Dynamic hedging; C01; C14; C32; Q02; Q41; Q16;
Gold, oil, and stocks: Dynamic correlations
Keywords: C01; C13; C58; F37; G11; G15; Financial markets; Time-frequency dynamics; High-frequency data; Dynamic correlation; Financial crisis; Wavelets;
Relación entre el ingreso y los derechos sociales: estimación de micro-regresiones para México, 2012
Keywords: pobreza multidimensional; ingresos; derechos sociales; micro-regresiones; modelos logit; C01; C13; I32; Multidimensional poverty; income; social entitlements; micro-regressions; logit models;
Is there an Environmental Kuznets Curve for South Africa? A co-summability approach using a century of data
Keywords: Environmental Kuznets Curve; CO2 emissions; Output; Co-summability; South Africa; C01; C22; Q53;
A bootstrapped spectral test for adequacy in weak ARMA models
Keywords: C01; C12; C22; Block-wise random weighting method; Diagnostic checking; Least squares estimation; Spectral test; Weak ARMA models; Wild bootstrap;
Oracle inequalities for high dimensional vector autoregressions
Keywords: C01; C02; C13; C32; VAR; LASSO; Adaptive LASSO; Oracle inequality; High-dimensional data;
Oil prices, US stock return, and the dependence between their quantiles
Keywords: G10; C01; C14; G14; Oil prices; Stock return; Local linear regression; Quantile regression;
Monetary environments and stock returns: International evidence based on the quantile regression technique
Keywords: Quantile regression; Monetary policy; Stock markets; C01; C21; C51; E52; G12;
Treatment effect estimation with covariate measurement error
Keywords: C01; C14; Measurement error; Potential outcomes; Parameter asymptotics; Treatment effects;
Weighted KS statistics for inference on conditional moment inequalities
Keywords: C01; C14; C34; Moment inequalities; Set inference; Adaptive inference; Irregular identification;
A check for finite order VAR representations of DSGE models
Keywords: C01; C18; C32; E32; DSGE models; Vector autoregressions; Invertibility; Fundamentalness;
Recursive predictive tests for structural change of long-memory ARFIMA processes with unknown break points
Keywords: C22; C53; C01; Structural breaks; Predictive tests; Long memory;
Energy as a driver of growth in oil exporting countries?
Keywords: C01; C33; 013; Q43; Energy-income nexus; Panel cointegration; Oil exporting countries;
Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models
Keywords: Gold; Markov; Switching; Bubbles; Lease; Rates; C01; F49; G12; G15;
Fitting semiparametric Markov regime-switching models to electricity spot prices
Keywords: C01; C14; C22; C24; C51; Q40; Electricity spot prices; Mean-reversion; Markov regime-switching; Robust estimation; Semiparametric estimation; Simulation study;
Impact of CEPA on the labor market of Hong Kong
Keywords: C01; C18; C23; C51; C54; Panel data; Counterfactual analysis; Hong Kong labor market; Unemployment;
Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis
Keywords: O13; C01; C23; Oil prices; Exchange rates; Agricultural commodity prices; Panel cointegration; Panel causality;
Econometric modeling and value-at-risk using the Pearson type-IV distribution
Keywords: C01; C46; C5; Financial markets; Value-at-risk; GARCH model; Pearson type-IV distribution;
On model specification and parameter space definitions in higher order spatial econometric models
Keywords: C01; C18; C21; C63Higher order spatial models; Parameter space; Spatial econometrics
Using econometric analysis of willingness-to-pay to investigate economic efficiency and equity of domestic water services in the West Bank
Keywords: B21; C01; H21; D61; Q25Contingent valuation method; Economic efficiency; Equity; Private sector; Water services; Willingness to pay
A new measure of earnings forecast uncertainty
Keywords: M41; C01; Uncertainty; Analyst dispersion; Common information; Private information; BKLS; GARCH;
Segmenting mean-nonstationary time series via trending regressions
Keywords: C01; C22; C60; Change-point analysis; Circular bootstrap; Extreme value asymptotics; Gaussian processes; Gumbel distribution; Linear models; Polynomial regression; Resampling; Trending regression;
Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios
Keywords: C01; C19; C32; C51; C58; G11; Pair-copulas; Optimal financial portfolios; Robust estimation; Rebalancing;
Financial volatility forecasting with range-based autoregressive volatility model
Keywords: G32; C01; C53; Volatility modeling; Price range; Forecasting performance; Intraday information; GARCH;
Distributional modeling and short-term forecasting of electricity prices by Generalized Additive Models for Location, Scale and Shape
Keywords: C01; C18; C32; C52; C53; Q40; Electricity market price; Point forecasting; Interval forecasting; GAMLSS models; Liberalized energy markets;
An extension of Kelejian's J-test for non-nested spatial models
Keywords: C01; C12Spatial models; Non-nested J-test; Model specification
Estimating covariation: Epps effect, microstructure noise
Keywords: C01; C13; C14; C46; G11; Bias-variance tradeoff; Epps effect; High frequency data; Measurement error; Market microstructure; Martingale; Nonsynchronous trading; Realized covariance; Realized variance; Two scales estimation;