دانلود مقالات ISI درباره G17 + ترجمه فارسی

A tracking error approach to leveraged ETFs: Are they really that bad?

Keywords: Exchange traded funds; Leveraged exchange traded funds; Tracking error; Constant leverage trap; Dynamic rebalancing; G1; G10; G11; G17;

دانلود رایگان متن کامل مقاله ISI 17 صفحه سال انتشار : 2015 سفارش ترجمه

Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets

Keywords: Risk analysis; Monte Carlo; Portfolio diversification; Commodity futures; G11; G12; G13; G17;

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2015 سفارش ترجمه

ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models

Keywords: Approximate Bayesian Computation; Continuous-time processes; Filtering; Indirect inference; Jumps; Realized volatilityC13; C14; C15; C33; G17

دانلود رایگان متن کامل مقاله ISI 24 صفحه سال انتشار : 2015 سفارش ترجمه

Are the KOSPI 200 implied volatilities useful in value-at-risk models?

Keywords: Value-at-risk; Implied volatility; Market risk; VKOSPI; KOSPI 200 options; G15; G17; G19;

دانلود رایگان متن کامل مقاله ISI 43 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

Are stock markets really so inefficient? The case of the “Halloween Indicator”

Keywords: G11; G12; G14; G17; Sell in May; Stock market anomaly; Reality check; Superior Predictive Ability;

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

Reflecting on the VPIN dispute

Keywords: G01; G14; G17; VPIN; PIN; High-frequency trading; Order flow toxicity; Order imbalance; Flash crash; VIX; Volatility forecasting;

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

Hedging crude oil using refined product: A regime switching asymmetric DCC approach

Keywords: Crude oil; Regime switching; Asymmetry; Hedging; C22; C32; G17; G32;

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

Are CDS spreads predictable? An analysis of linear and non-linear forecasting models

Keywords: G01; G17; G20; C22; C24; Credit default swap spreads; iTraxx; Forecasting; Markov switching; Market efficiency; Technical trading rules;

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

Interest rate forecasts, state price densities and risk premium from Euribor options

Keywords: Euribor futures; Forecast density; Interest rate premium; State price densities; G12; G13; G17;

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

The forward E/P ratio and earnings growth

Keywords: G11; G17; E/P ratio; Forward E/P ratio; Earnings growth; Risk;

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

The volatility-confined LPPL model: A consistent model of 'explosive' financial bubbles with mean-reverting residuals

Keywords: G01; G17; C11; Rational bubbles; Mean reversal; Positive feedbacks; Finite-time singularity; Super-exponential growth; Bayesian analysis; Log-periodic power law; Stochastic discount factor;

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

Non-parametric analysis of equity arbitrage

Keywords: Arbitrage; Non-parametric; US equity markets; Evaluation; G11; G12; G13; G17;

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

VaR performance during the subprime and sovereign debt crises: An application to emerging markets

Keywords: Value-at-risk; Backtesting; Skewed Student's t; Extreme value theory; Gram-Charlier expansion; Hedge funds; G17;

دانلود رایگان متن کامل مقاله ISI 19 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

The nonlinear price dynamics of U.S. equity ETFs

Keywords: G02; G12; G14; G17; Exchange-traded funds; Momentum; Volatility; Nonlinear dynamics;

دانلود رایگان متن کامل مقاله ISI 33 صفحه سال انتشار : 2014 سفارش ترجمه

VPIN and the flash crash

Keywords: G01; G14; G17; VPIN; PIN; High-frequency trading; Order flow toxicity; Order imbalance; Flash crash; VIX; Volatility forecasting;

دانلود رایگان متن کامل مقاله ISI 46 صفحه سال انتشار : 2014 سفارش ترجمه

Insured uncovered interest parity

Keywords: F31; G15; G14; G17; Uncovered interest parity; Carry trade; CDS;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2013 سفارش ترجمه

Forecasting VaR using analytic higher moments for GARCH processes

Keywords: GARCH; Higher conditional moments; Approximate predictive distributions; Value-at-Risk; S&P 500; Treasury bill rate; Euro-US dollar exchange rate; C53; G17;

دانلود رایگان متن کامل مقاله ISI 10 صفحه سال انتشار : 2013 سفارش ترجمه

CVaR sensitivity with respect to tail thickness

Keywords: C46; G11; G17; Fat-tailed distributions; Regularly varying tails; Conditional value-at-risk; Marginal rebalancing; Asymptotic variability;

دانلود رایگان متن کامل مقاله ISI 12 صفحه سال انتشار : 2013 سفارش ترجمه

Forecasting EUR-USD implied volatility: The case of intraday data

Keywords: C22; C32; C53; C58; G17; Exchange rates; Implied volatility; Intraday data; Out-of-sample prediction;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2013 سفارش ترجمه

GFC-robust risk management strategies under the Basel Accord

Keywords: G32; G11; G17; C53; C22; Value-at-Risk (VaR); Daily capital charges; Robust strategy; Basel II Accord; Global financial crisis;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2013 سفارش ترجمه

Stable mixture GARCH models

Keywords: C13; C16; C22; C32; G17; Density forecasting; Expected shortfall; Fat tails; ICA; GARCH; Mixtures; Portfolio selection; Stable Paretian distribution; Value-at-risk;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2013 سفارش ترجمه

Forecasting carbon futures volatility using GARCH models with energy volatilities

Keywords: C22; G15; G17; Q47; Q54; Carbon futures; GARCH; Implied volatility; Forecasting; Energy market;

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2013 سفارش ترجمه

Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach

Keywords: C58; F37; G17; Q43; Copulas; Dependence measures; Crude oil price; U.S. dollar exchange rates; CML method;

دانلود رایگان متن کامل مقاله ISI 20 صفحه سال انتشار : 2013 سفارش ترجمه

The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data

Keywords: C22; E44; F31; G15; G17; Effective exchange rates; Continuous wavelet analysis; Maximum overlap discrete wavelet analysis; Multiresolution analysis; Ratio of VaRs; WCoVaR;

دانلود رایگان متن کامل مقاله ISI 18 صفحه سال انتشار : 2019 سفارش ترجمه

Volatility timing: How best to forecast portfolio exposures

Keywords: Volatility; Utility; Portfolio allocation; Realized volatility; MIDASC22; G11; G17

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2013 سفارش ترجمه

Multi-period credit default prediction with time-varying covariates

Keywords: C41; C53; C58; G17; G32; G33; Credit default; Multi-period predictions; Hazard models; Panel data; Out-of-sample tests;

دانلود رایگان متن کامل مقاله ISI 9 صفحه سال انتشار : 2013 سفارش ترجمه

Cyclical default and recovery in stress testing loan losses

Keywords: G01; G17; G21; G32PD; LGD; Credit risk; Bank loans; Macroprudential analysis; Stress testing

دانلود رایگان متن کامل مقاله ISI 11 صفحه سال انتشار : 2013 سفارش ترجمه

Management of the IPO performance in Thailand

Keywords: G11; G12; G14; G15; G17; G23; Initial public offering; IPO allocation; Ownership concentration; Underpricing; Underwriter reputation;

دانلود رایگان متن کامل مقاله ISI 13 صفحه سال انتشار : 2013 سفارش ترجمه

An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC

Keywords: Market efficiency; National Football League; Outlaw line; Forecast encompassing; Sentiment; Superior analystsC25; C53; G14; G17

دانلود رایگان متن کامل مقاله ISI 14 صفحه سال انتشار : 2013 سفارش ترجمه

GFC-robust risk management under the Basel Accord using extreme value methodologies

Keywords: G32; G11; G17; C53; C22Value-at-Risk (VaR); DPOT; Daily capital charges; Robust forecasts

دانلود رایگان متن کامل مقاله ISI 15 صفحه سال انتشار : 2013 سفارش ترجمه

Modeling the relationship between European carbon permits and certified emission reductions

Keywords: Carbon trading; Spot and futures markets; Time-varying parameter VAR; Stochastic volatilityC11; C32; C58; G12; G17; Q54

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2013 سفارش ترجمه

Has the Basel Accord improved risk management during the global financial crisis?

Keywords: G32; G11; G17; C53; C22Value-at-Risk (VaR); Daily capital charges; Violation penalties; Optimizing strategy; Risk forecasts; Aggressive or conservative risk management strategies; Basel Accord; Global financial crisis

دانلود رایگان متن کامل مقاله ISI 16 صفحه سال انتشار : 2013 سفارش ترجمه

A network model of financial system resilience

Keywords: C63; G01; G17; G21Contagion; Financial crises; Network models; Systemic risk

دانلود رایگان متن کامل مقاله ISI 17 صفحه سال انتشار : 2013 سفارش ترجمه

Risk spillovers in international equity portfolios

Keywords: Risk spillover; portfolio risk; currency risk; variance forecasting; international portfolio; Wishart distributionC13; C16; C22; C51; C53; G17

دانلود رایگان متن کامل مقاله ISI 17 صفحه سال انتشار : 2013 سفارش ترجمه

Currency hedging strategies using dynamic multivariate GARCH

Keywords: G32; G11; G17; C53; C22; Multivariate GARCH, Exchange Rates, Hedging;

دانلود رایگان متن کامل مقاله ISI 19 صفحه سال انتشار : 2013 سفارش ترجمه

Time-series momentum as an intra- and inter-industry effect: Implications for market efficiency

Keywords: G17; G14; C58Time-series momentum; Return predictability; Data snooping bias; Market efficiency

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2013 سفارش ترجمه

Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures

Keywords: G32; G17; C53; C22; C11Value-at-Risk; Daily capital charges; Basel Accord; VIX futures; Bayesian strategy

دانلود رایگان متن کامل مقاله ISI 22 صفحه سال انتشار : 2013 سفارش ترجمه

Conditional correlations and volatility spillovers between crude oil and stock index returns

Keywords: C22; C32; G17; G32Multivariate GARCH; Volatility spillovers; Conditional correlations; Crude oil prices; Spot; Forward and futures prices; Stock indices

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2013 سفارش ترجمه

The quality of securities firms' earnings forecasts and stock recommendations: Do informational advantages, reputation and experience matter in China?

Keywords: G14; G17; G24Earnings forecasts; Stock recommendations

دانلود رایگان متن کامل مقاله ISI 23 صفحه سال انتشار : 2013 سفارش ترجمه

A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts?

Keywords: G10; G11; G14; G17; G24; M41Analysts; Forecast errors; Earnings; Market efficiency

دانلود رایگان متن کامل مقاله ISI 26 صفحه سال انتشار : 2013 سفارش ترجمه

Forecasting stock prices: Do forecasters herd?

Keywords: G17; Stock prices; Forecasting; (Anti-)herding;

دانلود رایگان متن کامل مقاله ISI 4 صفحه سال انتشار : 2012 سفارش ترجمه

Gram-Charlier densities: Maximum likelihood versus the method of moments

Keywords: C13; C14; C58; G17; Semi-nonparametric method; Maximum likelihood; Method of moments; Financial returns density; Value at risk;

دانلود رایگان متن کامل مقاله ISI 7 صفحه سال انتشار : 2012 سفارش ترجمه

GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case

Keywords: C58; G10; G17; G15; GARCH; Johnson distributions; Skewness; Kurtosis;

دانلود رایگان متن کامل مقاله ISI 7 صفحه سال انتشار : 2012 سفارش ترجمه

Wealth dynamics and a bias toward momentum trading

Keywords: G12; G14; G17; D83; Evolution; Asset pricing; Financial time series; Momentum;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2012 سفارش ترجمه

Predictions of growth in U.S. corporate profits: Asymmetric vs. symmetric loss

Keywords: G17; G30; E52; FOMC; Survey of Professional Forecasters; Unbiasedness; Directional forecast accuracy; Loss structure;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2012 سفارش ترجمه

Forecasting spot price volatility using the short-term forward curve

Keywords: G17; C52; C14; Q47; L94; Volatility forecasting; Realized volatility; Implied volatility; Forward prices; Electricity markets;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2012 سفارش ترجمه

Google Internet search activity and volatility prediction in the market for foreign currency

Keywords: F31; G14; G17; F37; Google insights for Search; ARCH (GARCH); Mixture of distributions hypothesis (MDH); Foreign currency; Foreign exchange;

دانلود رایگان متن کامل مقاله ISI 8 صفحه سال انتشار : 2012 سفارش ترجمه