Keywords: Correlation analysis; Economic policy uncertainty; DCC-GARCH; Chinese stock market;
مقالات ISI (ترجمه نشده)
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Keywords: Dynamic correlation; DCC-GARCH; Contagion; Industrial incident; Crisis management; Stock markets;
Keywords: Fuel oil; Correlation; Stock market; DCC-GARCH; VAR-BEKK-GARCH;
Keywords: F36; G11; C58; Q02; G12; Commodity; DCC-GARCH; Financial contagion; Portfolio; Volatility spillover;
Keywords: C58; D84; G17; Stock market; Oil prices; DCC-GARCH; Demand shocks; Supply oil shocks;
Keywords: Volatility spillovers; Breaks in variance; DCC-GARCH; Causality;
Keywords: C32; E31; E44; E52Price stability; Financial stability; DCC-GARCH; VAR
Keywords: C22; G01; G10; Q4; Commodities; Stock market; Financial crisis; Volatility; Correlations; DCC-GARCH;
Keywords: Multiplicative error model; Trading processes; Gaussian domain; DCC-GARCH; Liquidity riskC32; C58; C46
Dynamic network of implied volatility transmission among US equities, strategic commodities, and BRICS equities
Keywords: C32; F30; G15; Implied volatility index; Information flow; Integration; Minimal spanning tree; DCC-GARCH;
Risk-neutral valuation of the non-recourse protection in reverse mortgages: A case study for Korea
Keywords: Conditional heteroscedasticity; Correlations; DCC-GARCH; Longevity risk; Minimum entropy;
Time varying international financial integration for GCC stock markets
Keywords: G15; International financial integration index; Time varying market integration; International asset pricing model; DCC-GARCH;
Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH
Keywords: G15; Q43; Emerging market stock prices; DCC-GARCH; GO-GARCH; Oil prices; Hedging;
Transmission of the global financial crisis to Korea
Keywords: F30, G15Global financial crisis; Contagion; Interdependence; DCC-GARCH; STC-GARCH
How strong is the global integration of emerging market regions? An empirical assessment
Keywords: F36; G15; Time-varying integration; Emerging markets; ICAPM; Risk premium; DCC-GARCH;
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries
Keywords: C5; G1; Q4; Oil prices; Oil price shocks; Stock market returns; DCC-GARCH; Dynamic correlation;
What drives international equity correlations? Volatility or market direction?
Keywords: C32; C51; G15International equity markets; Asymmetric volatility; Asymmetric correlation; Estimation error; Vector autoregressive (VAR); DCC-GARCH; Generalized impulse response function; Granger causality