Keywords: نوسانات تحقق یافته; Realized correlation; Realized volatility; Dependence; Forecasting; Tail riskC32; C51; C58
مقالات ISI نوسانات تحقق یافته (ترجمه نشده)
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Keywords: نوسانات تحقق یافته; G10; G12; G13; Implied volatility; Realized volatility; Electricity; Forwards; Options;
Keywords: نوسانات تحقق یافته; C22; G10; G15; Jump contagion effect; Realized volatility; Overlapping and non-overlapping trading hours; Nonparametric test; Threshold autoregressive models;
Keywords: نوسانات تحقق یافته; Adaptive estimation; Discrete observation; Efficiency; High frequency data; Itô process; Leverage effect; Microstructure; Pre-averaging; Realized volatility; Semi-martingale; Stable convergence;
Keywords: نوسانات تحقق یافته; C5; G1; G15; Volatility transmission; Jumps; Leverage effects; Realized volatility;
Keywords: نوسانات تحقق یافته; 60F10; 62J05; 60J05Deviation inequalities; Large and moderate deviation principle; Diffusion; Discrete-time observation; Realized volatility
Keywords: نوسانات تحقق یافته; C5; G1; G15; Keywords:; Volatility transmission; HAR model; Intraday data; Realized volatility; Non-ferrous base metals; London metal exchange;
Keywords: نوسانات تحقق یافته; Fuel prices; Highway travel demand; Uncertainty; Asymmetry; Realized volatility
Keywords: نوسانات تحقق یافته; C32; C58; G01; G14; G15; Spillovers; Contagion; Realized volatility; HAR-RV model; Structural breaks;
Keywords: نوسانات تحقق یافته; Reservoir computing; Echo state networks; Neural computing; Time-delay reservoir; Time series forecasting; Universality; VEC-GARCH model; Volatility forecasting; Realized volatility; Parallel reservoir computing
Keywords: نوسانات تحقق یافته; C22; G00; Volatility; Realized volatility; High frequency data; Price jumps;
Keywords: نوسانات تحقق یافته; Data augmentation; Dynamic latent variable model; Importance sampling; Marginalized likelihood; Mixture; Monte Carlo; Realized volatility;
Keywords: نوسانات تحقق یافته; Range; Realized volatility; Optimal sampling frequency; Long memory; Jumps; Heterogeneity
Keywords: نوسانات تحقق یافته; HAR-RV model; Least squares estimator; Asymptotic property; Prediction mean-squared error; Realized volatility;
Keywords: نوسانات تحقق یافته; F31; G15; Information arrival; Macroeconomic news; Australian dollar; Order flows; Realized volatility; Trade volume; Foreign exchange;
Keywords: نوسانات تحقق یافته; ARFIMA; Leverage effect; Long memory; Markov Chain Monte Carlo; Mixture sampler; Realized volatility; Realized stochastic volatility model; State space model;
Keywords: نوسانات تحقق یافته; C53; C12; C22; G12; risk-return trade-off; stock return predictability; noise trading; realized volatility; Kalman-filter;
Keywords: نوسانات تحقق یافته; Linkage; Implied volatility; Realized volatility; G01; G14;
Keywords: نوسانات تحقق یافته; Oil prices; Realized volatility; Implied volatility; Volatility forecasting; G14; G13; Q47; L94;
Keywords: نوسانات تحقق یافته; C13; C22; C53; Markov chain; Time-varying transition probabilities; Discrete autoregressive model; Stochastic volatility; Realized volatility;
Keywords: نوسانات تحقق یافته; C32; C50; C52; C53; C58; Realized volatility; Bipower variation; Jump tests; Factor models; Volatility forecasting; Model selection;
Keywords: نوسانات تحقق یافته; C15; C53; G17; Integrated volatility; Intra-day volatility; Price range; Realized volatility; Stochastic differential equation;
Keywords: نوسانات تحقق یافته; primary; 62G09; 60G10; secondary; 62E20; Confidence interval; Realized volatility; Stationary bootstrap;
Keywords: نوسانات تحقق یافته; Realized volatility; Optimal sampling; Kernels; Two scales; Moving average; Long memory; Jumps; Heterogeneous autoregressive models;
Keywords: نوسانات تحقق یافته; C34; E58; F31; F33; Foreign exchange intervention; Realized volatility; Simultaneous equations; Tobit model;
Keywords: نوسانات تحقق یافته; C14; C22; C53; Realized volatility; Quantile regression; Density forecast; Value-at-risk;
Keywords: نوسانات تحقق یافته; 60F05; 60G44; 62M09; Itô process; Realized volatility; Integrated volatility; Time endogeneity; Market microstructure noise;
Keywords: نوسانات تحقق یافته; C13; C22; C53; Volatility forecast; Realized volatility; Risk-neutral skewness;
Keywords: نوسانات تحقق یافته; C32; G10; G15; Gold futures; Realized volatility; Semivariance; Volatility asymmetry; HAR model;
Keywords: نوسانات تحقق یافته; Jump detection; Event detection; Realized volatility; Bipower variation;
Keywords: نوسانات تحقق یافته; C32; C51; G15; Q40; Conditional volatility; Realized volatility; Time-varying correlation; Diag-BEKK; GARCH; Oil-importing countries; Oil-exporting countries;
Keywords: نوسانات تحقق یافته; Artificial neural networks; Realized volatility; Multiple-step-ahead forecasts; Energy marketsC14; C53; G17
Keywords: نوسانات تحقق یافته; Backtesting; Expected shortfall; Generalized hyperbolic skew Student’s tt-distribution; Markov chain Monte Carlo; Realized volatility; Stochastic volatility; Value-at-risk
Forecasting realized volatility based on the truncated two-scales realized volatility estimator (TTSRV): Evidence from China's stock market
Keywords: نوسانات تحقق یافته; Realized volatility; Truncated two-scale; Forecast; C22; C52; C53;
Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?
Keywords: نوسانات تحقق یافته; Volatility forecasting; HAR-RV; Realized volatility; Kitchen sink model;
Does partisan conflict predict a reduction in US stock market (realized) volatility? Evidence from a quantile-on-quantile regression model
Keywords: نوسانات تحقق یافته; C22; E60; G15; Partisan conflict; Realized volatility; Quantile regressions;
The volatility-volume relationship in the LME futures market for industrial metals
Keywords: نوسانات تحقق یافته; C5; G15; Q02; Intraday data; Realized volatility; Realized semivariance; Non-ferrous metals; London Metal Exchange; Trading volume;
What causes the attention of Bitcoin?
Keywords: نوسانات تحقق یافته; C22; G14; G12; Investor attention; Bitcoin; Google search volume index; Realized volatility;
Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data
Keywords: نوسانات تحقق یافته; Density predictions; Endogeneity; Equity premium; Realized volatility; Stochastic volatility; C11; C22; C51; Q41;
Forecasting the value-at-risk of Chinese stock market using the HARQ model and extreme value theory
Keywords: نوسانات تحقق یافته; Realized volatility; HARQ; Extreme value theory; VaR;
News and expected returns in East Asian equity markets: The RV-GARCHM model
Keywords: نوسانات تحقق یافته; C13; C150; C220; C250; G15; Relative risk aversion; Realized GARCH; Realized volatility; Risk-return trade-off; Mean impact curve;
Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches
Keywords: نوسانات تحقق یافته; Realized volatility; Forecast; Agricultural commodity futures; Bagging approach; Combination approaches;
On the relation between implied and realized volatility indices: Evidence from the BRIC countries
Keywords: نوسانات تحقق یافته; Implied volatility; Realized volatility; ADL model; EC model;
High-frequency volatility combine forecast evaluations: An empirical study for DAX
Keywords: نوسانات تحقق یافته; Realized volatility; Heterogeneous autoregressive models; Combine forecast methods; C22; C52; C58; G32;
Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity
Keywords: نوسانات تحقق یافته; Realized volatility; Forecast; HAR model; Time-varying sparsity; Agricultural commodity futures;
R-estimation in semiparametric dynamic location-scale models
Keywords: نوسانات تحقق یافته; C13; C14; C22; Conditional heteroskedasticity; Distribution-freeness; Discretely observed Lévy processes; Forecasting; R-estimation; Realized volatility; Skew-t family;
Forecasting the volatility of crude oil futures using HAR-type models with structural breaks
Keywords: نوسانات تحقق یافته; C53; G17; Q41; Q47; Volatility forecasting; Realized volatility; HAR-RV model; Structural breaks; PROMETHEE II method;
Asymmetric information, volatility components and the volume-volatility relationship for the CAC40 stocks
Keywords: نوسانات تحقق یافته; Trading volume; Realized volatility; Asymmetric information; Jumps; C12; C34; G10; G12;
Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps
Keywords: نوسانات تحقق یافته; Convenience yield; Realized volatility; Jump; Inventory;
A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
Keywords: نوسانات تحقق یافته; HAR model; Long-memory; Parameter constancy; Realized volatility; Structural break