Keywords: Robust estimation; Linear programming estimator; Strong convergence; Nonlinear nonnegative autoregression; Dependent non-identically distributed errors; Heavy-tailed errors; C13; C14; C22; C51; C58;
مقالات ISI (ترجمه نشده)
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Keywords: R12; R39; C13; C21Knowledge spillovers; Agglomeration; Distance decay; Gravity equation; Poisson regression; High-dimensional fixed effects
Keywords: Vasicek-Merton credit loss distribution; Single factor model; Contagion; Basel; Non-Gaussian distributions; Skew-Normal; Skew-Student t; C13; C16; C22; G21; G32;
Keywords: C12; C13; C23; Instrumental variables; Heteroskedasticity; Many instruments; Jackknife;
Keywords: Exchange rate pass-through; DCC-GARCH model; Panel threshold regression; C13; E31; F31; F41;
Keywords: C13; C51; C52; Calibration; Default indicator; Dependence modelling; Latent factors; Loss occurrence;
Keywords: C13; C22; G10; G21; Market risk; Tail risk; Downside risk; Value-at-risk; Intraday returns; Overnight risk; Stock markets; Extreme returns; Tail index;
Keywords: C13; Diffusion magnetic resonance imaging; Limited gradient directions; Sparse reconstruction; Prior directional knowledge; Interdigitated tongue muscles;
Keywords: C13; C51; C53; G33; Default rate estimation; Multivariate Beta distribution; Polya urn; Rating migration matrix estimation; Reinforced urn processes;
Keywords: C12; C13; E31; E43Chebyshev time-polynomials; Fisher parity; Mundell–Tobin effect; Smooth time-varying cointegration; FMLS estimator; Fully modified Wald test; DOLS
Keywords: C13; C14; C23; C51; Asymptotic theory; Closed-form estimation; Nonlinear panel data model; Orthogonal series expansion method;
Keywords: C13; C14; C26; Partial identification; Linear programming; Bootstrap;
Keywords: C13; C22; Compound Poisson process; Ergodicity; Quasi-maximum likelihood estimation; Strict stationarity; MTDAR model; Score test;
Keywords: C10; C13; C15; G21; G28Macro-prudential regulation; Systemic risk capital charges; Value at Risk; Factor models; Tail dependence
Keywords: C13; C31; D85; Social networks; Network formation; Multiple equilibria; Discrete games of incomplete information;
Keywords: C13; C22; Cointegration; Nonlinear regressions; Consistency; Limit distribution; Nonstationarity; Nonlinearity; Endogeneity;
Keywords: C13; C14; C18; C46; Correlation; Robust statistic; Outliers;
Keywords: C13; C14; C25; C26; Correlated random coefficients binary response model; Instrumental variables; Control variables; Conditional median restrictions; Localize-then-average strategy;
Keywords: C13; C22; C53; G14; Investor sentiment; Risk-neutral skewness; Implied volatility; Volatility forecasting;
Keywords: C12; C13; C33; Unit root test; Panel data; Deterministic trend; Polynomial trend function; Recursive detrending;
Keywords: C13; C51; C58; G12Funding liquidity; Market liquidity; Liquidity shocks; Speculative bubble; Trading
Keywords: C13; C22; C53; Structural break; Forecasting; Mis-specification; Cube-root asymptotics;
Keywords: C01; C13; C15; C53; C58; Hidden Markov model; Long-run risk; Learning; Value at risk; Indirect inference; Particle filters;
Keywords: C13; C22; C58; GARCH; Quantile regression; Quasi-maximum likelihood; Risk measures; Value-at-Risk;
Keywords: C13; C32; C38; αα-mixing; Dimension reduction; Instrument variables; Nonstationarity; Time series;
Keywords: C12; C13; C14; C21; Regression discontinuity design; Unknown discontinuity point; Specification testing; Nonparametric structural change; Wild bootstrap; Degenerate U-statistic; Difference kernel estimator; Cross validation;
Keywords: C13; C21; C24; C63; Spatial autoregressive model; Tobit model; Censored data; Near-epoch dependence; Maximum likelihood;
Keywords: C13; C14; C23; Panel data; Nonparametric regression; Cross-sectional dependence; Generalized least squares; Optimal bandwidth;
Keywords: C13; C16; G13; Transition probability density function; Multivariate diffusion; Maximum likelihood estimation; Option pricing;
Keywords: Financial crashes; Hawkes process; Self-exciting process; Early Warning System; C13; C15; C53; G17;
Keywords: C13; C14; Generalised varying-coefficient models; Identifiability; Iterative estimation procedure; Kernel smoothing; Weighted least squares;
Keywords: Q48; C13; C53; E43Social discounting; Declining discount rates; Fisher effect; Real and nominal interest rates; Social cost of carbon
Keywords: C12; C13; C23; Panel data; Fractional time series; Estimation; Testing; Bias correction;
Keywords: G30; G32; C10; C13; Capital structure; Dynamic trade-off theory; Partial adjustment model; Asymmetric adjustment; Model specification;
Keywords: C52; C26; C13; Model selection; Near minimax risk bound; Shrinkage estimators;
Keywords: C13; C15; G12; G13State-dependent jump risk; American gold futures option; Merton measure; Esscher transform; Least-squares Monte Carlo method
Keywords: C13; C23; R15; Spatial autoregression; Space-time filter; Panel data; Spatial cointegration; Explosive roots; Fixed effects; Time effects; Quasi-maximum likelihood estimation; Exact likelihood function;
Keywords: C12; C13; C32Threshold cointegration; Reduced rank estimation; TUR models; Cointegration rank test
Keywords: C13; C15; L13; Demand estimation; Differentiated products; Many markets; Bias correction; Adjusted standard errors;
Keywords: G12; C13; C32; Recursive utility; Stochastic differential utility; Multiple priors; Ambiguity aversion; Continuous-time conditional mean model; Martingale regression; Time change; Mixed frequency data;
Keywords: Uncovered interest parity; Covered interest arbitrage; Nonlinearity; Time-varying parameter; Funding liquidity constraints; Band of inaction; C13; F31; G15;
Keywords: C13; C20; C22; Volatility spillover; Heavy tails; Tail trimming; Robust inference;
Keywords: C13; C60; F31; Hill estimator; Tail index; Extreme value theory; Generalized Pareto distribution; Scaled Log phase-type distribution;
Keywords: Oil price shocks; Oil price volatility; Regime switching; Stock market volatility; US stock market; C13; C32; C58; G10; Q40;
Keywords: Correlation; Volatility; Financial contagion; Diversification; Exceedance correlation; GARCH models; C13; C32; C58; G11; G12;
Keywords: C13; C18; C51; C58; Credit risk; Correlation; Estimation; Noise; Maximum likelihood; Unscented Kalman filter (UKF);
Keywords: C13; C33; Dynamic panel data models; Heteroscedasticity; Monte Carlo simulations;
Keywords: E10; E30; C13; Sectoral shock; Aggregate fluctuation; Production network; Factor analysis;
Keywords: C13; E40; E41; Currency demand; Transaction demand for money; Electronic money; Instrumental quantile regression; Retail payment;
Keywords: C13; Pseudo-likelihood; Multivariate distribution; Copulas;