دانلود مقالات ISI درباره C58 + ترجمه فارسی

Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach

Keywords: Dependence structure; Downside risk; Upside risk; Copulas; Chinese market; C58; G15; F36;

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2018 سفارش ترجمه

Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets

Keywords: Spillover index; dynamic conditional correlation; dynamic hedging; sectoral spillover; C32; C58; G1;

دانلود رایگان متن کامل مقاله ISI 17 صفحه سال انتشار : 2018 سفارش ترجمه

Datestamping the Bitcoin and Ethereum bubbles

Keywords: Cryptocurrencies; Digital assets; Bitcoin; Ethereum; Bubbles; C58; G10; G14;

دانلود رایگان متن کامل مقاله ISI 18 صفحه سال انتشار : 2018 سفارش ترجمه

The interconnections between U.S. financial CDS spreads and control variables: New evidence using partial and multivariate wavelet coherences

Keywords: CDS spreads; Wavelet coherence; Multiple wavelet; Partial wavelet; Maximum overlap discrete wavelet transform; C58;

دانلود رایگان متن کامل مقاله ISI 21 صفحه سال انتشار : 2018 سفارش ترجمه

Revisiting the dynamic relationship between exchange rates and stock prices in BRICS countries: A wavelet analysis

Keywords: BRICS; Co-movement; Exchange rate; Stock markets; Wavelet analysis; Wavelet coherence; F31; D53; C58;

دانلود رایگان متن کامل مقاله ISI 26 صفحه سال انتشار : 2018 سفارش ترجمه

Uncovering equity market contagion among BRICS countries: An application of the multivariate GARCH model

Keywords: C58; F36; Contagion; BRICS; VAR-DCC-GARCH;

دانلود رایگان متن کامل مقاله ISI 30 صفحه سال انتشار : 2018 سفارش ترجمه

Relationships between Chinese stock market and its index futures market: Evaluating the impact of QFII scheme

Keywords: G1; F3; C32; C58; Index futures market; Volatility spillover; Multivariate GARCH model; Return;

دانلود رایگان متن کامل مقاله ISI 36 صفحه سال انتشار : 2018 سفارش ترجمه

Bitcoin is not the New Gold - A comparison of volatility, correlation, and portfolio performance

Keywords: Bitcoin; Correlation; Cryptocurrencies; Gold; Asymmetry; C10; C58; G11;

دانلود رایگان متن کامل مقاله ISI 38 صفحه سال انتشار : 2018 سفارش ترجمه

Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models

Keywords: C13; C31; C58; Confidence intervals for VaR; Dynamic portfolio; Elliptical distribution; Filtered historical simulation; Minimum variance portfolio; Model risk; Multivariate GARCH;

دانلود رایگان متن کامل مقاله ISI 38 صفحه سال انتشار : 2018 سفارش ترجمه

Modelling the directional spillovers from DJIM Index to conventional benchmarks: Different this time?

Keywords: C32; C58; G1; Islamic equity index; Conventional finance; Global risk factors; Spillover index; Dynamic conditional correlations;

دانلود رایگان متن کامل مقاله ISI 40 صفحه سال انتشار : 2018 سفارش ترجمه

Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model

Keywords: C58; C63; G11; Q02; Energy; Agricultural commodity; Dependence-switching copula; CoVaR;

دانلود رایگان متن کامل مقاله ISI 45 صفحه سال انتشار : 2018 سفارش ترجمه

Bayesian nonparametric vector autoregressive models

Keywords: C11; C15; C52; C53; C58; Vector autoregressive models; Dirichlet process prior; Infinite mixtures; Markov chain Monte Carlo;

دانلود رایگان متن کامل مقاله ISI 46 صفحه سال انتشار : 2018 سفارش ترجمه

A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling

Keywords: C51; C52; C58; G11; G17; Spillovers; Systemic risk; Conditional VaR; Copulas; Tail dependence;

دانلود رایگان متن کامل مقاله ISI 47 صفحه سال انتشار : 2018 سفارش ترجمه

Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index

Keywords: Financial crisis; Volatility spillover effects; Systemic risk; GARGH-BEKK model; C43; C58; G01; G15;

دانلود رایگان متن کامل مقاله ISI 51 صفحه سال انتشار : 2018 سفارش ترجمه

Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions

Keywords: C32; C58; G11; G32; Common risks; Realized covariances; Forecasting; Asset allocation; Portfolio construction;

دانلود رایگان متن کامل مقاله ISI 56 صفحه سال انتشار : 2018 سفارش ترجمه

The impact of credit supply shocks and a new Financial Conditions Index based on a FAVAR approach

Keywords: C32; C38; C58; E17; G21; Dynamic factor model; Financial conditions index; Credit supply shocks; Time-varying parameter VAR;

دانلود رایگان متن کامل مقاله ISI 62 صفحه سال انتشار : 2018 سفارش ترجمه

Asymptotics of Cholesky GARCH models and time-varying conditional betas

Keywords: C13; C32; C53; C58; Multivariate-GARCH; Conditional betas; Covariance;

دانلود رایگان متن کامل مقاله ISI 67 صفحه سال انتشار : 2018 سفارش ترجمه

Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models

Keywords: G12; G17; C51; C58; Continuous-time models; Forecasting; Gaussian estimation; Multi-factor diffusion models with feedbacks; Term structure of interest rates;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2017 سفارش ترجمه

Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets

Keywords: Connectedness; Cycles; Spectral analysis; Supply; Demand; Shocks; Oil; C18; C58; G10;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2017 سفارش ترجمه

Does intense monitoring matter? A quantile regression approach

Keywords: Intellectual capital; Intense monitoring; Quantile regression; O34; M14; C58;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2017 سفارش ترجمه

True or spurious long memory in European non-EMU currencies

Keywords: C22; C51; C53; C58; Conditional variance; Foreign exchange; GARCH; Spurious long memory; Value-at-Risk;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2017 سفارش ترجمه

Political stability and growth: An application of dynamic GMM and quantile regression

Keywords: C22; C58; O11; Political stability; Economic growth; OIC countries; Dynamic GMM; Quantile regression;

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2017 سفارش ترجمه

Conditional dependence between international stock markets: A long memory GARCH-copula model approach

Keywords: C51; C52; C58; G15; Dependence structure; Copula; Stock markets; Long memory; FIGARCH models; Risk management;

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2017 سفارش ترجمه

Volatility Spillovers from Australia's major trading partners across the GFC

Keywords: G12; C58; Volatility Spillover Index; VAR analysis; Variance decomposition; Cholesky-GARCH;

دانلود رایگان متن کامل مقاله ISI 17 صفحه سال انتشار : 2017 سفارش ترجمه

Pair trading based on quantile forecasting of smooth transition GARCH models

Keywords: C11; C22; C51; C53; C58; Pair trading; Bayesian inference; Smooth transition GARCH model; Second-order logistic transition function; Markov chain Monte Carlo methods; Out-of-sample forecasts; Quantile forecasting;

دانلود رایگان متن کامل مقاله ISI 18 صفحه سال انتشار : 2017 سفارش ترجمه

Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR

Keywords: C31; C58; G12; Systemic risk; CoVaR; Islamic stock indexes; Hedging strategy;

دانلود رایگان متن کامل مقاله ISI 18 صفحه سال انتشار : 2017 سفارش ترجمه

High-frequency volatility combine forecast evaluations: An empirical study for DAX

Keywords: Realized volatility; Heterogeneous autoregressive models; Combine forecast methods; C22; C52; C58; G32;

دانلود رایگان متن کامل مقاله ISI 19 صفحه سال انتشار : 2017 سفارش ترجمه

Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas

Keywords: C58; F37; G11; G14; Oil prices; Currency markets; Conditional Value at Risk; Copula; Multiresolution approach;

دانلود رایگان متن کامل مقاله ISI 20 صفحه سال انتشار : 2017 سفارش ترجمه

Tail dependence between oil and stocks of major oil-exporting countries using the CoVaR approach

Keywords: Oil price shocks; Oil-exporting countries; Conditional VaR; C58; G11; Q4;

دانلود رایگان متن کامل مقاله ISI 20 صفحه سال انتشار : 2017 سفارش ترجمه

Stock market's response to real output shocks in Eastern European frontier markets: A VARwAL model

Keywords: E44; P34; G14; C58; Stock market - real output interaction; Eastern European frontier markets; VARwAL model;

دانلود رایگان متن کامل مقاله ISI 26 صفحه سال انتشار : 2017 سفارش ترجمه

Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data

Keywords: Stock price dynamics; Tick structure; Hawkes process; Volatility; Diffusion model; C13; C32; C58;

دانلود رایگان متن کامل مقاله ISI 30 صفحه سال انتشار : 2017 سفارش ترجمه

The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test

Keywords: C22; C58; G11; G12; G15; Islamic finance; Asset classes; Mean variance spanning test; Fat tails; Asset allocation;

دانلود رایگان متن کامل مقاله ISI 30 صفحه سال انتشار : 2017 سفارش ترجمه

Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model

Keywords: C32; C58; E32; Q41; Q47; Crude oil; Volatility; Regime switching; Mixed-frequency data sampling; Forecasting;

دانلود رایگان متن کامل مقاله ISI 35 صفحه سال انتشار : 2017 سفارش ترجمه

Bank-sovereign contagion in the Eurozone: A panel VAR Approach

Keywords: C35; C58; G15; G18; Contagion; Sovereign risk; Bank risk; Sovereign debt crisis; Panel Vector Autoregressive models;

دانلود رایگان متن کامل مقاله ISI 40 صفحه سال انتشار : 2017 سفارش ترجمه

Tests for conditional ellipticity in multivariate GARCH models

Keywords: C12; C15; C32; C58; MGARCH; Spherical symmetry; Empirical characteristic function; Conditional Monte Carlo test; Extended CCC-GARCH;

دانلود رایگان متن کامل مقاله ISI 48 صفحه سال انتشار : 2017 سفارش ترجمه

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;

دانلود رایگان متن کامل مقاله ISI 53 صفحه سال انتشار : 2017 سفارش ترجمه

Tsallis entropy: Do the market size and liquidity matter?

Keywords: High frequency trading; Power laws; Tsallis distribution; Hurst exponent; C10; C58; G10; G14; G15;

دانلود رایگان متن کامل مقاله ISI 7 صفحه سال انتشار : 2016 سفارش ترجمه

A note on optimal portfolios under regime-switching

Keywords: Portfolio selection; Regime-switching; Sharpe ratio; Stochastic dominance; C46; C58; G11;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2016 سفارش ترجمه

Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions

Keywords: Venture capital; Public Market Equivalent; CAPM; Multi-factor models; C58; G12; G23; G24;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2016 سفارش ترجمه

Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis

Keywords: C32; C58; G1; Oil prices; Real estate investment trusts; Smooth shift Granger causality; Volatility spillover;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2016 سفارش ترجمه

Finance-growth nexus: Insights from an application of threshold regression model to Malaysia's dual financial system

Keywords: Credit; Financialization; Growth; Threshold regression model; Islamic perspective; Malaysia; C22; C58; E44; G15;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2016 سفارش ترجمه

Adoption of the International Financial Reporting Standards (IFRS) on companies' financing structure in emerging economies

Keywords: IFRS; Financing structure; Multilevel models; Emerging market firms; C58; F34; F36; G15; G32;

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2016 سفارش ترجمه

Is gold a hedge against inflation? New evidence from a nonlinear ARDL approach

Keywords: Gold; Inflation; Nonlinear autoregressive distributed lags model (NARDL); GARCH structural break unit root test; Data frequency effect; E31; E44; C58; G17;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2016 سفارش ترجمه

When does the stock market listen to economic news? New evidence from copulas and news wires

Keywords: G14; E44; C58; Stock returns; Macroeconomic news; Copulas; Tail dependence; Macroeconomic news index;

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2016 سفارش ترجمه

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;

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2016 سفارش ترجمه

Information transmission and dynamics of stock price movements: An empirical analysis of BRICS and US stock markets

Keywords: C10; C58; G11; G14; G15; Volatility; Spillover; BRICS; Emerging markets; GARCH;

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2016 سفارش ترجمه

Facts or fates of investors' losses during crises? Evidence from REIT-stock volatility and tail dependence structures

Keywords: C10; C58; G11; Tail dependence; REIT (real estate investment trust); Copula; Range-based volatility; Asset bust;

دانلود رایگان متن کامل مقاله ISI 18 صفحه سال انتشار : 2016 سفارش ترجمه

Price discontinuities in the market for RINs

Keywords: Q20; Q42; C58; RINs prices; Jump diffusion; GARCH;

دانلود رایگان متن کامل مقاله ISI 19 صفحه سال انتشار : 2016 سفارش ترجمه

The impact of crude oil price on Islamic stock indices of South East Asian countries: Evidence from MGARCH-DCC and wavelet approaches

Keywords: Commodity; Islamic stock index returns; MODWT; CWT; MGARCH-DCC; Diversification; Causality; South East Asia; C22; C58; E44; G15;

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2016 سفارش ترجمه

Modeling covariance breakdowns in multivariate GARCH

Keywords: C32; C51; C58; Correlation breakdown; Marginal likelihood; Particle filter; Markov chain; Generalized variance;

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2016 سفارش ترجمه