Keywords: C22; G12; G15; Conditional variance and skewness; Intertemporal CAPM; Pacific basin equity markets; Risk-return trade-off;
مقالات ISI (ترجمه نشده)
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Keywords: C22; G17; Q47; Commodity markets; GARCH models; Asymmetries; Long memory; Volatility forecasts;
Keywords: C12; C14; C22; Conditional independence; Empirical likelihood; Granger causality; Local smoothed bootstrap; Nonlinear dependence; Nonparametric regression; U-statistics;
Keywords: C22; Linear trend; Unit root tests; Strong serial correlation;
Keywords: C22; C52; E43; E47; G12; Diffusion; Model selection; High frequency observation; Likelihood ratio; Information criterion; Spot interest rate;
Keywords: C12; C22; C53; Diffusion index; Factor loading stability; Forecast failure; Forecast stability; Regression coefficients stability;
Keywords: C22; C58; E44; G15; Islamic finance; Shock transmission; Financial crisis; Contagion; Wavelet analysis;
Keywords: C22; G13; Credit risk; CDS spread; Merton model; Stochastic volatility; Jumps;
Keywords: F31; C11; C22; Exchange rates; Markov-switching model; Bayesian methods;
Keywords: C22; C23; Sequential Panel Selection Method; Panel KSS unit root test; Fourier function; Policy implications; African countries;
Keywords: G12; G14; G24; C22; Credit rating agencies; Rating changes; Market model; Systematic risk; Idiosyncratic risk;
Keywords: C22; G18; G28; G32; L83Tourism; Firm size; Stock returns; Conditional volatility models; Volatility size effects; Asymmetry; Tourism policy reform
Keywords: C01; C58; C22; E44Extreme value theory; Value at Risk; Subprime crisis; German stock market
Keywords: Model specification; Conditional heteroskedasticity; Lagrange multiplier test; Time-varying unconditional variance; Long financial time series; Volatility persistenceC12; C22; C51; C52; C53
Keywords: C01; C22; C31; C51; C58; G01Credit crisis; Coexceedance; Quantile regression; News events; Risk perception
Keywords: C22; C52; G15; Financial markets; Financial integration; Long run analysis; Local nonstationarity; Markov switching;
Keywords: C53; C12; C22; G12; risk-return trade-off; stock return predictability; noise trading; realized volatility; Kalman-filter;
Keywords: Oil prices; Nigeria; Fractional cointegration; C22;
Keywords: E52; E62; E63; C22; P52; Monetary policy; Fiscal policy; Monetary-fiscal interactions; Time series models; Transition economies;
Keywords: Asian financial crisis; Cointegration; International stock markets; The 2007–2009 global financial crisis; The equal variance testC12; C22; F59; G15
Keywords: Oil price shock; Stock market; NIEs; BRIC; China; C22; C32; F32; F36; G15;
Keywords: O30; O47; O57; C22; economic growth; technological progress; the bounds testing approach; ARDL; FM-OLS;
Keywords: Wavelet decomposition; Oil prices; Stock prices; Contagion; Interdependence; C22; C58; G01; Q40;
Keywords: C11; C22; G11; G12; Economic constraints; Sharpe ratio; Equity premium predictions;
Keywords: G11; G14; C21; C22; Speculative bubbles; Asset pricing; Stock returns; CAPM; Cross-sectional variation;
Keywords: Fractional integration; Correlation; Student's t copula; Time-varying dependence; Multivariate volatility; C10; C22; C32; C51;
Keywords: C22; C13; C53; G12; Credit spreads; Corporate bonds; Real interest rates; Reduced-form models; Structural models;
Keywords: Renewable energy sources; Intermittency; Electricity price modelling; GARCH; Q42; Q48; C22;
Keywords: C22; C13; C14; Long memory process; Random level shifts; Short memory dynamics; Additive noise; Local-Whittle estimators;
Keywords: C13; C22; C53; Markov chain; Time-varying transition probabilities; Discrete autoregressive model; Stochastic volatility; Realized volatility;
Keywords: C22; E31; E52; Inflation; China; Smooth transition error correction;
Keywords: C22; C32; D81; G11; G12; Stochastic dominance; Utility theory; Risk aversion; Linear programming; Market portfolio efficiency; Asset pricing;
Keywords: C20; C22; Unit root; Fourier series; Union of rejection; Pretesting;
Keywords: C12; C22; C32; Seasonal cointegration; Seasonal error correction model; Seasonal unit roots;
Keywords: C22; E32; O40; Unit root tests; Quantile autoregression; GDP; Recessions; Asymmetries;
Keywords: C14; C22; F14; F31; F33; Currency unions; Bilateral trade; Treatment effects; Stratified matching;
Keywords: C14; C22; G12; G15; Time-varying correlation; Long-run trend; Transitory component; C-GARCH;
Keywords: A12; C22; G18; K22; Law and finance; Law and economics; Leximetrics; Time-series econometrics;
Keywords: C13; C22; G12; Threshold model; Flexible threshold variable; Stock returns;
Keywords: C12; C22; Threshold regression model; Endogeneity; Exogeneity test; Variable addition test;
Keywords: C11; C15; C22; C58; Bayesian inference; Markov chain Monte Carlo; News impact curve; Rejection sampling; Stochastic volatility;
Keywords: C22; F31; Stock prices; Trend-cycle decomposition; Permanent and transitory shocks;
Keywords: C12; C15; C22; Initial condition; Recursive demeaning; Recursive detrending; Unit root tests;
Keywords: C22; H23; Q40; Nonlinear ARDL (NARDL); Asymmetric gasoline price adjustment; Rockets and feathers hypothesis;
Keywords: C12; C22; CUSUM test; IGARCH effect; LM test; Non-monotonic power; Structural change; Volatility models;
Keywords: Nowcasting GDP; Credit impulse; New borrowing; C22; C53; E37;
Keywords: C22; C23; Income inequality; Real GDP per capita; Sequential panel selection method; Panel KSS unit root test; Fourier function; Policy Implications; China;
Keywords: C22; F31; Purchasing power parity; Real effective exchange rate; Transition countries; Sequential Panel Selection Method; Panel KSS unit root test; Fourier function; Policy implications;
Keywords: C22; C23; R11; Insurance activity; Globalization; Bootstrap Panel Granger causality test; Eastern Asian countries; Causal relationship;
Keywords: G15; G14; C22; Mean reversion; Emerging markets; Portfolio strategies; Panel data analysis;