Keywords: مدل های فاکتور; Forecasting competitions; Factor models; Professional forecasters; Judgment
مقالات ISI مدل های فاکتور (ترجمه نشده)
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Keywords: مدل های فاکتور; Forecast biases; Smoothed forecasting devices; Factor models; GDP forecasts; Location shifts
Keywords: مدل های فاکتور; Nowcasting; Forecasting; Mixed frequency data; Variable selection; Bridge models; Principal components; Factor models
Keywords: مدل های فاکتور; Equity premium predictability; Factor models; Macroeconomic variables; Adaptive Lasso; Sign restrictions; Forecast combination; Asset allocation; G12; G17; C53; E44;
A wavelet-based multivariate multiscale approach for forecasting
Keywords: مدل های فاکتور; Wavelets; Multiscale principal components; Factor models; Forecasting;
Multiple risk factor dependence structures: Copulas and related properties
Keywords: مدل های فاکتور; C02; C51; Multivariate distributions; (Tail) dependence; Archimedean copulas; Marshall-Olkin copulas; Factor models; Default risk;
A World Trade Leading Index (WTLI)
Keywords: مدل های فاکتور; F17; F47; E37; World trade; Leading indicators; Factor models;
ReviewRealism, skill, and incentives: Current and future trends in investment management and investment performance
Keywords: مدل های فاکتور; G1; G23; Investment management; Investment performance; Mutual funds; Factor models; Skill; Characteristics; Incentives;
Efficient wavelets-based valuation of synthetic CDO tranches
Keywords: مدل های فاکتور; 62P05; 60E10; 65T60CDO valuation; Factor models; Characteristic function inversion; Haar wavelets; B-splines
Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem
Keywords: مدل های فاکتور; C11; C31; C38; C51; C52; Bayesian estimation; Factor models; Multimodality; Rotation problem; Ordering problem; Orthogonal transformation;
Institutional investors: Arbitrageurs or rational trend chasers
Keywords: مدل های فاکتور; Institutional investors; Stock misvaluation; Factor models;
Analyzing business cycle asymmetries in a multi-level factor model
Keywords: مدل های فاکتور; C38; C55; Factor models; Business cycle; Asymmetries;
Comment on 'IV estimation of panels with factor residuals' by D. Robertson and V. Sarafidis
Keywords: مدل های فاکتور; C51; D24; Panel data; Time-varying individual effects; Factor models;
A note on the CLT of the LSS for sample covariance matrix from a spiked population model
Keywords: مدل های فاکتور; primary, 62H15; secondary, 60F05Large-dimensional sample covariance matrices; Spiked population model; Central limit theorem; Centering parameter; Factor models
Nowcasting US GDP: The role of ISM business surveys
Keywords: مدل های فاکتور; Forecasting; ISM; PMI; NMI; Factor models; Kalman filter; Real time data;
Multivariate geostatistical simulation of coal quality data by independent components
Keywords: مدل های فاکتور; Factor models; Geostatistics; Independent component analysis; Spatial orthogonality;
The impact of the global business cycle on small open economies: A FAVAR approach for Canada
Keywords: مدل های فاکتور; C32; F41International transmission of shocks; FAVAR; Factor models
The other side of value: The gross profitability premium
Keywords: مدل های فاکتور; Profitability; Value premium; Factor models; Asset pricing; Quality investingG12
Nowcasting the French index of industrial production: A comparison from bridge and factor models
Keywords: مدل های فاکتور; C52; C53; E01; E37; Index of industrial production; Nowcasting; ARDL models; Factor models;
Do disaggregated CPI data improve the accuracy of inflation forecasts?
Keywords: مدل های فاکتور; C22; C53; E37; Factor models; Inflation forecasting; Disaggregate information; Principal components; Forecast evaluation;
Interest rate co-movements, global factors and the long end of the term spread
Keywords: مدل های فاکتور; E43; F01; F36; G15; C33; Short interest rates; Long interest rates; Financial globalization; Panel data; Factor models;
The “V-factor”: Distribution, timing and correlates of the great Indian growth turnaround
Keywords: مدل های فاکتور; O10; O40; O53; O47; Indian economic growth; Factor models; Principal components; Convergence; Divergence; Indian states;
Nowcasting German GDP: A comparison of bridge and factor models
Keywords: مدل های فاکتور; C52; C53; E20GDP forecasting; Bridge models; Factor models
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
Keywords: مدل های فاکتور; Term structure modeling; Yield curve risk; Stochastic volatility; Factor models; Macroeconomic fundamentals; C5; E4; G1;
A conditionally heteroskedastic independent factor model with an application to financial stock returns
Keywords: مدل های فاکتور; ICA; Multivariate GARCH; Factor models; Forecasting volatility;
Is momentum really momentum?
Keywords: مدل های فاکتور; Momentum; Factor models; G12;
Comparing China's GDP statistics with coincident indicators
Keywords: مدل های فاکتور; C38; O4; P2; Factor models; Principal component; GDP; China;
Application of factor models for the identification of countries sharing international reference-cycles
Keywords: مدل های فاکتور; F41; C13; E32; Business fluctuations; Cycles; Factor models; Principal components;
Market liquidity as dynamic factors
Keywords: مدل های فاکتور; C33; C51; G10; Commonality; Liquidity; Equities; Factor models; Block structure;
Method of moments estimation of GO-GARCH models
Keywords: مدل های فاکتور; C32; Multivariate GARCH; Factor models; Method of moments; Common principal components;
Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model
Keywords: مدل های فاکتور; C53; E52; F41; FAVAR; Carbon price; Macroeconomics; Finance; Commodities; Factor models;
Heterogeneity and convergence of regional inflation (prices)
Keywords: مدل های فاکتور; E3; F3; Regional inflation; Monetary policy; Factor models; Convergence;
Forecasting national activity using lots of international predictors: An application to New Zealand
Keywords: مدل های فاکتور; Forecasting; Factor models; Shrinkage methods; Principal components; Targeted predictors; Weighted principal components; Partial least squares; Ridge regression; Elastic net; International business cycles
Common factors in Latin America's business cycles
Keywords: مدل های فاکتور; E32; F41; N10; International business cycles; Factor models; Latin America;
A two-step estimator for large approximate dynamic factor models based on Kalman filtering
Keywords: مدل های فاکتور; C51; C32; C33; Factor models; Kalman filter; Principal components; Large cross-sections;
Infinite-dimensional VARs and factor models
Keywords: مدل های فاکتور; C10; C33; C51; Large N and T panels; Weak and strong cross-section dependence; VARs; Spatial models; Factor models;
Factor forecasting using international targeted predictors: The case of German GDP
Keywords: مدل های فاکتور; C53; F47; Forecasting; Factor models; International data; Variable selection;
Health care expenditure and income in the OECD reconsidered: Evidence from panel data
Keywords: مدل های فاکتور; C31; C33; H51; Health expenditure; Income elasticity; Cross-section dependence; Heterogeneous panels; Factor models;
Macroeconomic factors and oil futures prices: A data-rich model
Keywords: مدل های فاکتور; C53; E52; Crude oil; Futures markets; Factor models;
Macroeconomic interdependence in East Asia
Keywords: مدل های فاکتور; F4; Asian economic integration; Factor models; Common and idiosyncratic factors;
A net beta test of asset pricing models
Keywords: مدل های فاکتور; G12; C12; C15; Factor models; Capital asset pricing; Conditional beta tests;
Testing for error cross section independence with an application to US health expenditure
Keywords: مدل های فاکتور; C10; C31; C33Panels; Factor models; Testing for spatial correlation; Health expenditure
Projecting municipal solid waste: The case of Hong Kong SAR
Keywords: مدل های فاکتور; Municipal solid waste; Waste projection; Classical linear regression; Autoregression; Factor models; Time series models
Jumps and betas: A new framework for disentangling and estimating systematic risks
Keywords: مدل های فاکتور; C13; C14; G10; G12; Factor models; Systematic risk; Common jumps; High-frequency data; Realized variation;
Correlation, hierarchies, and networks in financial markets
Keywords: مدل های فاکتور; C32; G10Multivariate analysis; Hierarchical clustering; Correlation based networks; Bootstrap validation; Factor models; Kullback–Leibler distance
Factor-GMM estimation with large sets of possibly weak instruments
Keywords: مدل های فاکتور; Factor models; Principal components; Instrumental variables; GMM; Weak instruments; DSGE models
Analytical methods for hedging systematic credit risk with linear factor portfolios
Keywords: مدل های فاکتور; C61; G32; Credit risk; Factor models; Hedging; Capital allocation;
Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets
Keywords: مدل های فاکتور; E32; E44; G12Corporate bond spreads; Financial accelerator; Factor models
Improvement in finite sample properties of the Hansen–Jagannathan distance test
Keywords: مدل های فاکتور; C13; C52; G12Covariance matrix estimation; Factor models; Finite sample properties; Hansen–Jagannathan distance; Shrinkage method
More Confusion in Contagion Tests: the Effects of a Crisis Sourced in US Credit Markets
Keywords: مدل های فاکتور; E51; E52; E53; Contagion; Correlation; Factor models; Global financial crisis;