دانلود مقالات ISI درباره C58 + ترجمه فارسی

Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach

Keywords: C31; C58; G13; G23; Commodity prices; Financial uncertainty; Policy uncertainty; Quantile regression;

دانلود رایگان متن کامل مقاله ISI 26 صفحه سال انتشار : 2016 سفارش ترجمه

Evaluating Value-at-Risk forecasts: A new set of multivariate backtests

Keywords: Model risk; Multivariate backtesting; Value-at-Risk; Systemic risk; C52; C53; C58;

دانلود رایگان متن کامل مقاله ISI 39 صفحه سال انتشار : 2016 سفارش ترجمه

Bias in the estimation of mean reversion in continuous-time Lévy processes

Keywords: C10; C22; C58; Bias; Mean reversion parameter; Lévy processes;

دانلود رایگان متن کامل مقاله ISI 4 صفحه سال انتشار : 2015 سفارش ترجمه

Copula-MGARCH with continuous covariance decomposition

Keywords: C32; C52; C58; G12; Copula; MGARCH; Covariance decomposition; Value-at-Risk;

دانلود رایگان متن کامل مقاله ISI 4 صفحه سال انتشار : 2015 سفارش ترجمه

An ARCH model without intercept

Keywords: C22; C58; Nonstationarity; Volatility; Lyapunov exponent; Random walk;

دانلود رایگان متن کامل مقاله ISI 5 صفحه سال انتشار : 2015 سفارش ترجمه

A simple and general approach to fitting the discount curve under no-arbitrage constraints

Keywords: B-splines; Discount curve; No-arbitrage constraints; Monotone estimation; Yield curve; C44; C58; C61;

دانلود رایگان متن کامل مقاله ISI 7 صفحه سال انتشار : 2015 سفارش ترجمه

Advances in financial risk management and economic policy uncertainty: An overview

Keywords: C58; D81; E60; G32; Financial risk management; Economic policy uncertainty; Financial econometrics; Empirical finance;

دانلود رایگان متن کامل مقاله ISI 7 صفحه سال انتشار : 2015 سفارش ترجمه

The intrinsic bounds on the risk premium of Markovian pricing kernels

Keywords: C52; C58; G12; G13; Risk premium; Markovian pricing kernel; Intrinsic bounds;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2015 سفارش ترجمه

Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis

Keywords: Volatility spillover; Crude oil; Stock market; MENA net oil importers; ARMAX; GARCH; C10; C32; C58; G10; G12; Q43;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2015 سفارش ترجمه

Determinants of the banking spread in the Brazilian economy: The role of micro and macroeconomic factors

Keywords: C23; C58; G21; Banking spread; Financial sector; Panel data;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2015 سفارش ترجمه

Volatility spillovers in the European bank CDS market

Keywords: G01; G15; C58; C32; CDS spreads; Credit risk; Volatility spillovers; Financial crisis;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2015 سفارش ترجمه

Spillovers between energy and FX markets: The importance of asymmetry, uncertainty and business cycle

Keywords: G11; G15; C58; Policy uncertainty; Asymmetry; Interdependence; Business cycle; Energy; FX;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2015 سفارش ترجمه

Value-at-Risk estimation of energy commodities: A long-memory GARCH-EVT approach

Keywords: Q40; G1; C4; C5; C58; C53; Extreme value theory; Long-range-memory; Value-at-Risk; Expected shortfall oil price and energy commodities volatility;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2015 سفارش ترجمه

Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis

Keywords: BRICS markets; Dynamic volatility spillovers; VAR(k)-GARCH(p,q) model; Hedge ratios; Optimal portfolio allocation; C32; C58; F65; G11; G15;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2015 سفارش ترجمه

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Keywords: C32; C53; C58; G17; Dimension reduction; Factor model; Multivariate stochastic volatility; Leverage effects; Long memory; Realized volatility;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2015 سفارش ترجمه

Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms

Keywords: Price discovery; Macroeconomic news announcements; Cross-listed stocks; Market microstructureC32; C58; E44

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2015 سفارش ترجمه

ReviewThe financial econometrics of price discovery and predictability

Keywords: C53; C58; G12; G13; G14; Price discovery; Price predictability;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2015 سفارش ترجمه

Modeling interest rate volatility: A Realized GARCH approach

Keywords: C53; C58; G17; Short-term interest rate; Realized GARCH; High-frequency data; Volatility;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2015 سفارش ترجمه

Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets

Keywords: C51; C53; C58; G15; G17; Q41; Electricity price; EXAA AR-Model; Forecasting; European electricity markets;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2015 سفارش ترجمه

Realized range volatility forecasting: Dynamic features and predictive variables

Keywords: Realized range volatility; Realized volatility; Long-memory; Volatility forecasting; Macroeconomic variables; C22; C52; C53; C58;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2015 سفارش ترجمه

Measuring the impact of extreme observations on CAPM alphas: Some methodological issues

Keywords: Small firm; Errors in data; Least trimmed squares; Jensen's inequality; C18; C58; C81; G11; G12;

دانلود رایگان متن کامل مقاله ISI 18 صفحه سال انتشار : 2015 سفارش ترجمه

Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes

Keywords: C58; C22; C53; Realized variance; Volatility forecasting; High frequency data;

دانلود رایگان متن کامل مقاله ISI 19 صفحه سال انتشار : 2015 سفارش ترجمه

Nonparametric specification tests for stochastic volatility models based on volatility density

Keywords: C58; C12; C14; Nonparametric tests; Kernel deconvolution estimator; Stochastic volatility model;

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2015 سفارش ترجمه

Unfolded GARCH models

Keywords: C11; C22; C58; Conditional skewness and kurtosis; Direction-of-change model; Absolute returns; Folded distribution; Copula model; Adaptive MCMC;

دانلود رایگان متن کامل مقاله ISI 32 صفحه سال انتشار : 2015 سفارش ترجمه

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Keywords: C12; C22; C58; G13; G14; Bootstrap; Efficient market hypothesis; Fractional integration; Score tests; Spot and futures commodity prices; Time-varying volatility;

دانلود رایگان متن کامل مقاله ISI 35 صفحه سال انتشار : 2015 سفارش ترجمه

Regímenes de volatilidad del tipo de cambio en Colombia e intervenciones de política

Keywords: política cambiaria Colombia; SWARCH; intervenciones; volatilidad tipo de cambio países emergentes; exchange rate policy; SWARCH; market interventions; emerging countries exchange rate volatilities; C58; E42; E58; E61;

دانلود رایگان متن کامل مقاله ISI 40 صفحه سال انتشار : 2015 سفارش ترجمه

Are Sharia stocks, gold and U.S. Treasury hedges and/or safe havens for the oil-based GCC markets?

Keywords: Sharia-compliant stocks; Gold; U.S. Treasury bills; GCC stock markets; Vine copulas; C32; C58; G1;

دانلود رایگان متن کامل مقاله ISI 41 صفحه سال انتشار : 2015 سفارش ترجمه

Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH

Keywords: Dynamic futures hedging; Markov switching; Cointegration; Long memory; Volatility asymmetry; C32; C58; G17;

دانلود رایگان متن کامل مقاله ISI 50 صفحه سال انتشار : 2015 سفارش ترجمه

The role of the variance premium in Jump-GARCH option pricing models

Keywords: C13; C58; G13; Variance premium; Variance-dependent pricing kernel; Jump risk premium; S&P 500 index options; Jump-GARCH option pricing models;

دانلود رایگان متن کامل مقاله ISI 51 صفحه سال انتشار : 2015 سفارش ترجمه

Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV

Keywords: C12; C13; C14; C22; C52; C58; G1; Nonparametric; Realized volatility; HAR; Heterogeneous; Autoregressive;

دانلود رایگان متن کامل مقاله ISI 4 صفحه سال انتشار : 2014 سفارش ترجمه

Foreign exchange customers and dealers: Who's driving whom?

Keywords: F31; G15; C58; G01; Foreign exchange market; Market microstructure; Order flow; Frequency-domain; Causality;

دانلود رایگان متن کامل مقاله ISI 6 صفحه سال انتشار : 2014 سفارش ترجمه

On cross-currency transmissions between US dollar and euro LIBOR-OIS spreads

Keywords: C58; G01; G15Interbank money market; LIBOR-OIS spread; Cross-correlation function analysis; Volatility spillover; European sovereign debt crisis

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2014 سفارش ترجمه

Dynamic relationship between Turkey and European countries during the global financial crisis

Keywords: Eurozone crisis; Sub-prime crisis; CDS; Dynamic conditional correlation; Penalized contrast function; C58; C61; F21; G01; G15;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2014 سفارش ترجمه

Spillovers among CDS indexes in the US financial sector

Keywords: C58; G02; G15; Financial sector CDS; Global financial crisis; Cross-correlation function; Causality-in-variance; Structural break;

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2014 سفارش ترجمه

An analysis of price discovery from panel data models of CDS and equity returns

Keywords: C33; C58; G11; G12; G17; Price discovery; CDS spread; Panel data; Sectors; Sizes;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2014 سفارش ترجمه

Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets

Keywords: Stock markets; Nonlinear causality; Filtering; GJR-GARCH; Multivariate GARCH models; Spillovers; C14; C58; G15; C51; C52;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2014 سفارش ترجمه

The impact of political majorities on firm value: Do electoral promises or friendship connections matter?

Keywords: C58; D72; D84; G14; H50Political majority; Prediction markets; Firm value; Abnormal returns; Political connections

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2014 سفارش ترجمه

A new set of improved Value-at-Risk backtests

Keywords: Value-at-Risk; Backtesting; Monte Carlo simulation; C52; C53; C58;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2014 سفارش ترجمه

Measuring and testing for the systemically important financial institutions

Keywords: Systemic risk; SIFIs; Quantile regression; Stochastic dominance testC21; C58; G32

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2014 سفارش ترجمه

Marginal likelihood for Markov-switching and change-point GARCH models

Keywords: C11; C15; C22; C58; Bayesian inference; Simulation; GARCH; Markov-switching model; Change-point model; Marginal likelihood; Particle MCMC;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2014 سفارش ترجمه

Multivariate rotated ARCH models

Keywords: C32; C52; C58; RARCH; RBEKK; RDCC; Multivariate volatility; Covariance targeting; Common persistence;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2014 سفارش ترجمه

Futures pricing in electricity markets based on stable CARMA spot models

Keywords: Primary; 60G52; 62M10; 91B84; Secondary; 60G10; 60G51; 91B70; C58; G13; CARMA model; Electricity spot prices; Electricity futures prices; Continuous time linear model; Lévy process; Stable CARMA process; Risk premium; Robust filter;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2014 سفارش ترجمه

Cross-hedging strategies between CDS spreads and option volatility during crises

Keywords: Credit default swap; Term structure; Implied volatility surface; Factor decomposition; Market linkages; Cross-hedging; C14; C58; G12; G13;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2014 سفارش ترجمه

Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture

Keywords: C11; C14; C53; C58; Bayesian nonparametrics; Dirichlet process mixture; Leverage effect; Stochastic volatility;

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2014 سفارش ترجمه

Diagnosing the distribution of GARCH innovations

Keywords: GARCH(1,1); Extreme value theory; Hill estimator; Dynamic risk management; C12; C58;

دانلود رایگان متن کامل مقاله ISI 17 صفحه سال انتشار : 2014 سفارش ترجمه

Cojumps in stock prices: Empirical evidence

Keywords: C12; C58; G10; High-frequency stock prices; Non-parametric jump tests; Realised volatility; Macroeconomic news;

دانلود رایگان متن کامل مقاله ISI 17 صفحه سال انتشار : 2014 سفارش ترجمه

Impacts of the financial crisis on eurozone sovereign CDS spreads

Keywords: Credit default swaps; Long memory; Sovereign risk; Eurozone economies; FIGARCH; Dynamic conditional correlation; C22; C58; G01; G15;

دانلود رایگان متن کامل مقاله ISI 18 صفحه سال انتشار : 2014 سفارش ترجمه

Quadratic hedging schemes for non-Gaussian GARCH models

Keywords: C02; C58; G13; G17; GARCH models; Local risk minimization; Martingale measure; Bivariate diffusion limit; Minimum variance hedge;

دانلود رایگان متن کامل مقاله ISI 20 صفحه سال انتشار : 2014 سفارش ترجمه

A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models

Keywords: C11; C15; C22; C53; C58; Bayesian inference; Structural breaks; Recurrent regimes; Marginal likelihood; GARCH; Forecasting;

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2014 سفارش ترجمه

Improved inference in the evaluation of mutual fund performance using panel bootstrap methods

Keywords: C15; C58; G11; G23; Mutual funds; Unit trusts; Open-ended investment companies; Performance measurement; Factor benchmark models; Panel methods; Bootstrap methods;

دانلود رایگان متن کامل مقاله ISI 27 صفحه سال انتشار : 2014 سفارش ترجمه