Keywords: گارچ چند متغیره; G15; G11; D5; Sukuk; Islamic finance; Dynamic correlations; Diversification; Corporate bonds; Multivariate GARCH;
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Keywords: گارچ چند متغیره; C22; C32; C51; C58; 00-01; 99-00; Electricity prices; Financial return; Volatility; ARCH; Exponential GARCH; Log-GARCH; Multivariate GARCH; Dynamic conditional correlations; Leverage; Nord Pool;
Keywords: گارچ چند متغیره; Clean energy equities; Crude oil; Multivariate GARCH; Optimal hedge ratios; VIX; C58; G11; G15; Q43;
Weak convergence of multivariate partial maxima processes
Keywords: گارچ چند متغیره; 60F17; 60G52; 60G70; Functional limit theorem; Regular variation; Weak M1 topology; Extremal process; Weak convergence; Multivariate GARCH;
Keywords: گارچ چند متغیره; C32; C58; F36; G15; Multivariate GARCH; Smooth transition conditional correlation; Portfolio diversification; Financialization of commodity markets; Equity-Commodity Co-movements;
Keywords: گارچ چند متغیره; G11; G13; Q42; Clean energy stocks; Multivariate GARCH; Directional spillover; Oil prices;
Keywords: گارچ چند متغیره; C14; C51; F31; Nonlinear filtering; Multivariate GARCH; Spillovers; PIIGS markets;
Keywords: گارچ چند متغیره; Commodity prices; Volatility; Contagion; Multivariate GARCH; Emerging markets
Keywords: گارچ چند متغیره; G12; International diversification; Oil shocks; Multivariate GARCH; Time-varying correlation; Structural breaks; Conditional diversification benefits (CDBs);
Keywords: گارچ چند متغیره; G01; G14; Credit spreads; Price discovery; Multivariate GARCH;
Keywords: گارچ چند متغیره; Models; Solar radiation; ARMAX-GARCH; Multivariate GARCH; Conditional covariance;
Keywords: گارچ چند متغیره; Correlation breakdowns; Monetary policy; Regime changes; Government bonds; Multivariate GARCH; G12; G15; F36;
Keywords: گارچ چند متغیره; Asset pricing; Conditional LCAPM; Liquidity risk; Illiquidity risk premium; Dynamic conditional correlation; Multivariate GARCH; G11; G12; G14; G15; F36;
Keywords: گارچ چند متغیره; volatility dependence; Mexican Stock Exchange; World Capital Market; multivariate GARCH; copula analysis; C58; F30; F37; F65; G11; G15; dependencia de la volatilidad; mercado accionario mexicano; mercado mundial de capitales; GARCH multivariado; análisis
Keywords: گارچ چند متغیره; Price volatility; Multivariate GARCH; Biofuels; Semiparametric; C5; Q1; Q4;
Keywords: گارچ چند متغیره; C32; F36; G11; Time-varying integration; Risk premium; ICAPM; Multivariate GARCH;
Keywords: گارچ چند متغیره; Multivariate GARCH; Intra-regional integration; CAPM (capital asset pricing model)F36; C32; G15
Keywords: گارچ چند متغیره; Emerging markets; Multivariate GARCH; Volatility; Oil prices; G15; Q43;
Keywords: گارچ چند متغیره; Nonlinear filtering; Multivariate GARCH; SpilloversC14; C51; F31
Keywords: گارچ چند متغیره; Dynamic Conditional Correlations; Multivariate GARCH; Conventional and Islamic stock; G11; G15; C58; F15; F21;
Keywords: گارچ چند متغیره; G11; G1; F3; C58Islamic finance; Volatility spillovers; Multivariate GARCH; Conditional correlations; BEKK; DCC; CCC
Keywords: گارچ چند متغیره; G11; G15; G17; G23; G01; C32; C53; C58; Multivariate GARCH; Conditional correlations; Currency futures; Optimal hedge ratios; Hedging strategies;
Keywords: گارچ چند متغیره; G14; G15; Cereal; Energy; OPEC meetings; Volatility spillovers; Multivariate GARCH;
Keywords: گارچ چند متغیره; C32; C51; G1; G0; Multivariate GARCH; Dynamic correlations; Regime switching; Hidden Markov Decision Tree;
Keywords: گارچ چند متغیره; C13; C53; Q40; Commodity forward curves; Multivariate GARCH; Hierarchical Archimedean copula; Value-at-risk;
Keywords: گارچ چند متغیره; G11; G12; G18; Q40; Oil price bubble; Dynamic hedging; Logistic smooth transition; Multivariate GARCH;
Keywords: گارچ چند متغیره; C32; G13; G14; R33; Real estate futures; Asymmetric effect; Basis; Multivariate GARCH; Recursive cointegration analysis;
Keywords: گارچ چند متغیره; C10; C32; C51; C52; C53; G10; Volatility; Multivariate GARCH; Matrix norm; Loss function; Model confidence set;
Keywords: گارچ چند متغیره; Q42; Q11; C32; Volatility transmission; Biofuels; Corn; Multivariate GARCH;
Keywords: گارچ چند متغیره; C21; C32; C51; C53; G12; G17; Asset pricing; Asset price volatility; Multivariate GARCH; Limited-dependent variable approach;
Keywords: گارچ چند متغیره; C01; C13; C30; C20; Large conditional covariance matrix; GARCH; Multivariate GARCH;
Keywords: گارچ چند متغیره; G01; G10; G20Financial crisis; Liquidity risk; Systemic risk; Stress index; Multivariate GARCH
Keywords: گارچ چند متغیره; C32; G13; Q10; Q40Corn futures; Crude oil futures; Multivariate GARCH; Volatility breaks; Fourier flexible form; Variance impulse response function
Return, volatility and shock spillovers of Bitcoin with energy and technology companies
Keywords: گارچ چند متغیره; C22; C3; C5; G1; G11; Bitcoin; Energy; Technology; Spillovers; Multivariate GARCH;
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Keywords: گارچ چند متغیره; C13; C31; C58; Confidence intervals for VaR; Dynamic portfolio; Elliptical distribution; Filtered historical simulation; Minimum variance portfolio; Model risk; Multivariate GARCH;
Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis
Keywords: گارچ چند متغیره; C32; Q18; Q42; Oil/food price uncertainty; Crude oil; Edible oil; Multivariate GARCH; VIRF;
A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
Keywords: گارچ چند متغیره; Bayesian analysis; Dirichlet process mixtures; DCC; Markov chain Monte Carlo; Multivariate GARCH; Portfolio allocation;
Multivariate moments expansion density: Application of the dynamic equicorrelation model
Keywords: گارچ چند متغیره; Density forecasting; Dynamic equicorrelation; Gram-Charlier series; Multivariate GARCH; Semi-nonparametric methods; C16; G1;
The timing ability and global performance of Tunisian mutual fund managers: A multivariate GARCH approach
Keywords: گارچ چند متغیره; C32; G11; G23; G12Mutual fund performance; Multivariate GARCH; Market timing; Selectivity; Conditional multifactor models
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options
Keywords: گارچ چند متغیره; Option pricing; Economic loss; Forecasting; Multivariate GARCH; Model confidence set;
Variance clustering improved dynamic conditional correlation MGARCH estimators
Keywords: گارچ چند متغیره; Dynamic conditional correlations; Time series clustering; Multivariate GARCH; Composite likelihood;
Multivariate GARCH estimation via a Bregman-proximal trust-region method
Keywords: گارچ چند متغیره; Multivariate GARCH; VEC model; Volatility modeling; Multivariate financial time series; Bregman divergences; Burg's divergence; LogDet divergence; Constrained optimization;
The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model
Keywords: گارچ چند متغیره; Uncertainty; Multivariate GARCH; Inflation;
The role of credit in the Great Moderation: A multivariate GARCH approach
Keywords: گارچ چند متغیره; E44; C32; C51; C52; Great Moderation; Mortgage credit; Multivariate GARCH; Causality;
Can cross-country portfolio rebalancing give rise to forward bias in FX markets?
Keywords: گارچ چند متغیره; F31; F32; G11; G12; G15; G19; Forward premium puzzle; Exchange rate dynamics; Portfolio rebalancing; Covariance risk; Multivariate GARCH; Fixed-design wild bootstrap;
Mutual fund performance in Tunisia: A multivariate GARCH approach
Keywords: گارچ چند متغیره; C32; G11; G23; G12Mutual fund performance; Multivariate GARCH; Market efficiency; Conditional multifactor models; Emerging markets
Fast clustering of GARCH processes via Gaussian mixture models
Keywords: گارچ چند متغیره; C13; C32; C38; C53; C58Gaussian mixtures; Financial time series clustering; Multivariate GARCH; Block structures
Dynamic stock market covariances in the Eurozone
Keywords: گارچ چند متغیره; Dynamic conditional correlation; Multivariate GARCH; International stock market integration; European Monetary UnionC51; C58; G15
Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies
Keywords: گارچ چند متغیره; G11; G13; Q42; Renewable energy; Multivariate GARCH; Volatility; Oil prices;
Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis
Keywords: گارچ چند متغیره; G01; C32; Credit risk; Credit default swaps; iTraxx index; Vector autoregression; Multivariate GARCH; BEKK;