Keywords: مدل GARCH; Financialization; Spillover effects; Global financial crisis; GARCH models; Copula theory; Tail dependence;
مقالات ISI مدل GARCH (ترجمه نشده)
مقالات زیر هنوز به فارسی ترجمه نشده اند.
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Keywords: مدل GARCH; Crude oil price volatility; GARCH models; Long memory; Markov switching; Volatility forecast; Realized volatility;
Keywords: مدل GARCH; Symmetric multivariate α-stable distribution; Latent factor models; Indirect inference; Multivariate Student's t distribution; Discrete spectral measures; GARCH models;
Keywords: مدل GARCH; Value-at-Risk; Option implied volatility; Volatility risk premium; Time-series; GARCH models;
Keywords: مدل GARCH; C32; G14; G15; Return spillovers; Trading volume; Interaction effects; GARCH models;
Keywords: مدل GARCH; C32; C38; C58; Volatility; Dynamic factor models; GARCH models; High-dimensional time series;
Keywords: مدل GARCH; Distortion function; Stochastic discount factor; Generalized local risk-neutral valuation relationship; GARCH models; Weak convergence; Stochastic volatility;
Keywords: مدل GARCH; Commodities futures markets; Speculation; Working's T; GARCH models; C32; G13; Q43;
Keywords: مدل GARCH; Wind energy; Volatility forecasting; GARCH models; Markov regime-switching; Realized volatility; C22; Q42; Q47;
Keywords: مدل GARCH; Stock markets; Gold prices; Diversification and hedging effectiveness; GARCH models;
Keywords: مدل GARCH; Agriculture; ARIMA models; GARCH models; Mixture models; Price forecasting; Time series; Volatility forecasting; Zero-inflated models;
Keywords: مدل GARCH; Multivariate time series; Loss functions; Evaluating forecasts; Covariance matrix; GARCH models; Model confidence set;
Keywords: مدل GARCH; Estimation window; GARCH models; Multivariate time series; Structural breaks; VaR forecasting; C32; G17; G32;
Keywords: مدل GARCH; Correlation; Volatility; Financial contagion; Diversification; Exceedance correlation; GARCH models; C13; C32; C58; G11; G12;
Keywords: مدل GARCH; GARCH models; Takeovers; Target stocks; Volume and volatility; C12; C320; C580;
Keywords: مدل GARCH; Artificial Neural Networks; GARCH models; Risk forecast; Emerging markets; Latin; American stock markets
Keywords: مدل GARCH; Finance; Bayesian nonparametrics; Dirichlet process mixtures; GARCH models; Risk management; Value at risk
Keywords: مدل GARCH; F31; C22Daily yen–dollar exchange rates; Technical trading; GARCH models; Value at Risk
Keywords: مدل GARCH; Dynamic seasonality; Financial time series; GARCH models; Conditional heteroskedasticity; Model selection
Keywords: مدل GARCH; Volatility dynamics; GARCH models; Endogenous feedback; Stock markets; Overnight;
Keywords: مدل GARCH; C22; G17; Q47; Commodity markets; GARCH models; Asymmetries; Long memory; Volatility forecasts;
Keywords: مدل GARCH; Value-at-Risk; GARCH models; Skewness effect; Fat-tail effect; Global financial crisis; C52; C53; G15;
Keywords: مدل GARCH; Financial time series; GARCH models; Partitioning around medoids; Dailies returns of Euro exchange rates; Econophysics;
Keywords: مدل GARCH; G11; C32Volatility comparison; Exchange rates; Cureaux de change; GARCH models; Nigeria
Keywords: مدل GARCH; G10; G120; G150Information flow; GARCH models; Trading volume; Order imbalance; Liquidity risk; Liquidity
Keywords: مدل GARCH; Gold price volatility; Artificial Neural Network; GARCH models
Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator
Keywords: مدل GARCH; C12; C13; C22; Entropy-based goodness-of-fit test; Normality test; GARCH models; Minimum density power divergence estimator; Parametric bootstrap method;
Hedge ratio on Markov regime-switching diagonal Bekk-Garch model
Keywords: مدل GARCH; Stock index futures; Hedge ratio; Regime-switching; Garch models; C32; C58; G13; G17;
Portfolio optimization based on GARCH-EVT-Copula forecasting models
Keywords: مدل GARCH; GARCH models; Extreme value theory; Copula models; Conditional value-at-risk; Portfolio optimization;
MGARCH models: Trade-off between feasibility and flexibility
Keywords: مدل GARCH; BEKK; CCC; DCC; GARCH models; Multivariate time series; Variance targeting; Volatility forecasting; VECH;
Modelling and forecasting the stock market volatility of SSE Composite Index using GARCH models
Keywords: مدل GARCH; Modelling; Forecasting; Stock market; SSE Composite Index; GARCH models; Stock price; Mutual conduction;
Extreme quantile estimation for β-mixing time series and applications
Keywords: مدل GARCH; C130; Asymptotic normality; β-mixing; Extreme value index; GARCH models; High quantile; Return level; Value-at-Risk;
Composite quantile regression for GARCH models using high-frequency data
Keywords: مدل GARCH; GARCH models; Composite quantile regression; Volatility proxy; High-frequency data; Robustness; Asymptotic normality; Efficiency;
Range-based and GARCH volatility estimation: Evidence from the French asset market
Keywords: مدل GARCH; L61; Q02; G19; G13; Volatility; Assets; Range-based volatility; GARCH models;
Volatility of main metals forecasted by a hybrid ANN-GARCH model with regressors
Keywords: مدل GARCH; ANN-GARCH; GARCH models; Volatility prediction; Gold; Silver; Copper;
Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence
Keywords: مدل GARCH; primary; 62J20; secondary; 62F03; Bayesian case influence; GARCH models; Kullback-Leibler divergence;
Forecasting volatility of oil price using an artificial neural network-GARCH model
Keywords: مدل GARCH; Oil price volatility; Artificial neural network; GARCH models;
Maximum entropy test for GARCH models
Keywords: مدل GARCH; Maximum entropy measure; Goodness of fit test; GARCH models
Inflation and inflation uncertainty: The case of Cambodia, Lao PDR, and Vietnam
Keywords: مدل GARCH; C22; E31; Inflation uncertainty; GARCH models; Indochina economies;
The impact of fiscal policy announcements by the Italian government on the sovereign spread: A comparative analysis
Keywords: مدل GARCH; Fiscal policy announcements; Political communication; Sovereign debt crisis; Interest rate spread; GARCH models; E43; E62; G01; G12;
Testing causality between two vectors in multivariate GARCHÂ models
Keywords: مدل GARCH; Second-order Granger causality; Bayesian methods; Posterior odds; GARCH models; Volatility spillovers;
Comparison of specification tests for GARCH models
Keywords: مدل GARCH; Goodness of fit tests; GARCH models; Residuals; Squared residuals; Empirical processes; Pseudo-observations; Multipliers; Bootstrap;
Quadratic hedging schemes for non-Gaussian GARCH models
Keywords: مدل GARCH; C02; C58; G13; G17; GARCH models; Local risk minimization; Martingale measure; Bivariate diffusion limit; Minimum variance hedge;
The fine-structure of volatility feedback I: Multi-scale self-reflexivity
Keywords: مدل GARCH; Volatility dynamics; GARCH models; Endogenous feedback; Time reversal invariance; Stock markets;
Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation
Keywords: مدل GARCH; GARCH models; Mixture models; Student-t distribution; VaR estimation;
Time-dependent series variance learning with recurrent mixture density networks
Keywords: مدل GARCH; Mixture density neural networks; GARCH models; Real-time recurrent learning algorithm
Stressing correlations and volatilities — A consistent modeling approach
Keywords: مدل GARCH; C13; C32; C58; G11; G12Correlation; Volatility; Basel III; GARCH models
Inference for random coefficient volatility models
Keywords: مدل GARCH; Estimating functions; Nonlinear time series; Information; RCA models; GARCH models
A hybrid modeling approach for forecasting the volatility of S&P 500 index return
Keywords: مدل GARCH; Volatility; GARCH models; Simulated series; Artificial Neural Networks; Realized volatility
Structural breaks and GARCH models of stock return volatility: The case of South Africa
Keywords: مدل GARCH; C22; C53; G11; G12; Stock return volatility; Structural breaks; In-sample tests; Out-of-sample tests; GARCH models;