Keywords: حافظه طولانی; G01; G14; MF-DFA; Intraday data; Efficiency; Realized variance; Long-memory; Quantile-on-quantile;
مقالات ISI حافظه طولانی (ترجمه نشده)
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Keywords: حافظه طولانی; Gold returns; Long-memory; Shock persistence; Conditional variance; FIGARCH model;
Keywords: حافظه طولانی; Horizon effect; Stock return predictability; Realized variance; Short-memory; Long-memory;
Keywords: حافظه طولانی; primary, 62M20; secondary, 62M10Continuous jump decomposition; High frequency data; Jump; Long-memory; Overnight realized variance; Volatility forecasting; Volatility spillover
Keywords: حافظه طولانی; Complex Ginzburg–Landau equation; Defect turbulence; Local structures; Poisson statistics; Long-memory; Non-Markovian master equation
Keywords: حافظه طولانی; Characteristic function; Hermite polynomials; Kernel smoothing; Least squares; Long-memory; Short-memory;
Keywords: حافظه طولانی; Structural change; State space model; Regime switching; Long-memory
Keywords: حافظه طولانی; C14; O40; O53; Social cohesion; Convergence dynamics; Long-memory; Social distance; Non-linear convergence speed;
Keywords: حافظه طولانی; primary, 62M10; secondary, 62M20Conditional heteroscedasticity; Fractional integration; HAR model; High frequency data; Long-memory; Volatility forecasting
Keywords: حافظه طولانی; C58; G12; G15; G20Derivatives trading; Emerging markets; Long-memory; Range-based volatility; Value of shares traded
Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO2 concentrations
Keywords: حافظه طولانی; Forecasting; Robust periodogram; Outliers; SO2 pollutant; Long-memory;
Long Memory Interdependency and Inefficiency in Bitcoin Markets
Keywords: حافظه طولانی; C22; C32; E44; G14; Cross-market Bitcoin prices; Long-memory; Efficient market hypothesis; Fractionally cointegrated VAR;
An M-estimator for the long-memory parameter
Keywords: حافظه طولانی; Time series; M-estimation; Long-memory; Outliers;
Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence
Keywords: حافظه طولانی; Gold returns; Long-memory; Shock persistence; Volatility forecasts; Conditional variance; FIGARCH
A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
Keywords: حافظه طولانی; HAR model; Long-memory; Parameter constancy; Realized volatility; Structural break
Realized range volatility forecasting: Dynamic features and predictive variables
Keywords: حافظه طولانی; Realized range volatility; Realized volatility; Long-memory; Volatility forecasting; Macroeconomic variables; C22; C52; C53; C58;
Multifractality and long memory of a financial index
Keywords: حافظه طولانی; Financial time-series; Intermittence; Multifractality; Long-memory; Stylized facts; Financial markets dynamics;
Modeling and forecasting daily average PM10 concentrations by a seasonal long-memory model with volatility
Keywords: حافظه طولانی; Fractional differencing; Long-memory; ARFIMA; Seasonality; Heteroscedasticity; PM10 contaminant;
Minimum distance estimation of ARFIMA processes
Keywords: حافظه طولانی; Autocorrelation; Fractional noise; Fractional filtering; Long-memory; Missing data; Non-Gaussian processes
Limit theory of quadratic forms of long-memory linear processes with heavy-tailed GARCH innovations
Keywords: حافظه طولانی; primary, 62M10, 62E20; secondary, 60F17GARCH; Heavy-tailed; Linear process; Long-memory; Quadratic forms
Persistence-robust surplus-lag Granger causality testing
Keywords: حافظه طولانی; C12; C32; Granger causality; VAR; Long-memory; Structural breaks; Forward rate unbiasedness;
A search for long-range dependence and chaotic structure in Indian stock market
Keywords: حافظه طولانی; C12; C22; G15Random walk; Long-memory; Nonlinear dependence; Deterministic chaos
Modeling and forecasting stock return volatility using a random level shift model
Keywords: حافظه طولانی; C22Structural change; Forecasting; GARCH models; Long-memory
Comment on “The uncertain unit root in real GNP: A re-examination”
Keywords: حافظه طولانی; C22; N1; Unit root; Outlier methodology; Stochastic trend in GNP; Long-memory;
A fractionally integrated exponential STAR model applied to the US real effective exchange rate
Keywords: حافظه طولانی; C22; C51; C52; F31; Fractional integration; Non-linearity; STAR models; Long-memory; Real effective exchange rate; Forecasting;
Dual long-memory, structural breaks and the link between turnover and the range-based volatility
Keywords: حافظه طولانی; C32; C52; G12; G15Range-based volatility; Financial crisis; Foreign investors; Long-memory; Turnover volume
Robust estimation in long-memory processes under additive outliers
Keywords: حافظه طولانی; Additive outliers; ARFIMA model; Long-memory; Robustness
Spatial persistence of demographic shocks and economic growth
Keywords: حافظه طولانی; C13; J11; C33; O47; Spatial persistence; Long-memory; Demographic dynamics; Economic growth;
On the distribution of quadratic functionals of the ordinary and fractional Brownian motions
Keywords: حافظه طولانی; 62M10; 45B05; 65C60Fractional Brownian motion; Long-memory; Fredholm determinant
Long-memory in an order-driven market
Keywords: حافظه طولانی; Microstructure; Agent-based; Long-memory; Order flow
Generalised long-memory GARCH models for intra-daily volatility
Keywords: حافظه طولانی; Long-memory; Intra-daily volatility; G-GARCH; Gegenbauer processes
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Keywords: حافظه طولانی; C13; G12; Kalman filter; Lévy process; Long-memory; Quasi-likelihood; Realised variance; Stochastic volatility; Time-change;
Long-memory property of nonlinear transformations of break processes
Keywords: حافظه طولانی; Nonlinearity; Fractional integration; Long-memory; Occasional structural breaks; C22;
The past and future of empirical finance: some personal comments
Keywords: حافظه طولانی; C22; G14; Long-memory; Predictive distribution; Continuous-time theory;
Modelling squared returns using a SETAR model with long-memory dynamics
Keywords: حافظه طولانی; C32; C51; G12; SETAR; Long-memory; FARIMA models; Stock indices;
Long-memory dynamics in a SETAR model - applications to stock markets
Keywords: حافظه طولانی; C32; C51; G12; SETAR; Long-memory; Stock indices; Forecasting;
Long-run neutrality in a fractionally integrated model
Keywords: حافظه طولانی; C2; E5; Long-memory; Long-run neutrality; Stochastic stationary; Trend stationary;