Keywords: حق بیمه ریسک; C19; G13; G14; Q40; Electricity markets; Risk premium; Information premium; Spot-forward relationship; Enlargement of filtrations; Gaussian and non-Gaussian Ornstein-Uhlenbeck processes; Hilbert space representation;
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Keywords: حق بیمه ریسک; E4; E44; Time-varying; Risk premium; Crisis; GARCH; Term structure; Interest rates;
Keywords: حق بیمه ریسک; Fiscal crisis; Safe asset; Risk premium; SustainabilityE00; G12; H63
Keywords: حق بیمه ریسک; C32; F31; G12Emerging markets; Financial crises; Financial integration; IAPM; Risk premium
Insuring against phytosanitary risks in Dutch protected horticulture: AÂ stochastic model to support policy makers
Keywords: حق بیمه ریسک; Phytosanitary costs; Incentives; Insurance; Monte Carlo simulation; Chain approach; Matrix approach; Quarantine pests; Risk premium;
The intrinsic bounds on the risk premium of Markovian pricing kernels
Keywords: حق بیمه ریسک; C52; C58; G12; G13; Risk premium; Markovian pricing kernel; Intrinsic bounds;
The relationship with REITs and bank loans: Capital structure perspectives
Keywords: حق بیمه ریسک; C54; G21; G28; G32; Capital structure; Mortgage; Trade-off theory; Risk premium; Loan-to-value;
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
Keywords: حق بیمه ریسک; C20; C52; G13; G14; G41; G47; Electricity market; Spot and futures prices; Risk premium; Convenience yield;
Futures pricing in electricity markets based on stable CARMA spot models
Keywords: حق بیمه ریسک; Primary; 60G52; 62M10; 91B84; Secondary; 60G10; 60G51; 91B70; C58; G13; CARMA model; Electricity spot prices; Electricity futures prices; Continuous time linear model; Lévy process; Stable CARMA process; Risk premium; Robust filter;
Lévy jump risk: Evidence from options and returns
Keywords: حق بیمه ریسک; C22; C23; C46; G01; G12Lévy process; Discrete-time; GARCH; Option valuation; Risk premium
Análisis del riesgo de mercado de los fondos de pensión en México Un enfoque con modelos autorregresivos
Keywords: حق بیمه ریسک; fondos de pensiones; SIEFORES; esquema de jubilación; riesgo de mercado; premio al riesgoPension Funds; SIEFORES; Pension Systems; Market Risk; Risk Premium
Asset prices and exchange risk: Empirical evidence from Canada
Keywords: حق بیمه ریسک; Asset pricing; Risk premium; Exchange risk; Economic factorsG10; G11; G12; G15
Risk premia in multi-national enterprises
Keywords: حق بیمه ریسک; G0; F2; M4MNE; Firm valuation; DCF; CAPM; Risk premium; Transfer pricing
New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation
Keywords: حق بیمه ریسک; G12; C32; E43; E31Treasury inflation protected security; Break-even inflation; Inflation expectation; Risk premium; Common factor model; ARCH
Two-pass estimation of risk premiums with multicollinear and near-invariant betas
Keywords: حق بیمه ریسک; C12; C13; C3Two-pass; Fama–MacBeth; Cross-sectional regressions; Lineal factor model; Risk premium
Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: Evidence from survey data
Keywords: حق بیمه ریسک; D84; F31; G14; Risk premium; Foreign exchange market; International asset pricing model; Survey data;
One theory for two different risk premia
Keywords: حق بیمه ریسک; D81; Choices under uncertainty; Expected utility; Risk aversion; Risk premium;
The real estate risk of hospitality firms: Examining stock-return sensitivity to property values
Keywords: حق بیمه ریسک; Stock-return exposure; Real estate risk; Arbitrage pricing theory (APT); Two-factor model; Risk premium
Measuring the risk premium in uncovered interest parity using the component GARCH-M model
Keywords: حق بیمه ریسک; F30; G15; Risk premium; Uncovered interest parity; Component GARCH-in-mean;
A market based approach to inflation expectations, risk premia and real interest rates
Keywords: حق بیمه ریسک; G12; E43; E44; C53Real interest rates; Risk premium; Inflation expectations; Affine model
Liquidity risk and stock returns around the world
Keywords: حق بیمه ریسک; G11; G12; G15; Liquidity risk; Risk premium; International markets;
Liquidity and dirty hedging in the Nordic electricity market
Keywords: حق بیمه ریسک; Liquidity; Hedging; Hedge effectiveness; Electricity; Swap price; Risk premium;
The risk premium and the effects of risk on agents utility
Keywords: حق بیمه ریسک; Risk; Utility; Risk premium; Utility premium; Generalised risk measure;
Multidimensional possibilistic risk aversion
Keywords: حق بیمه ریسک; Fuzzy number; Risk premium; Possibility theory; Risk aversion
The impact of commodity price risk management on the profits of a company
Keywords: حق بیمه ریسک; G32; Q31; Q56Commodity price risk management; Hedging; Resource management; Long-term corporate management; Risk Premium
Risk premiums in the German day-ahead Electricity Market
Keywords: حق بیمه ریسک; Risk premium; Electricity market; Spot prices
The contagion effect of default risk insurer downgrades: The impact on insured municipal bonds
Keywords: حق بیمه ریسک; G; G1; G2Municipal bonds; Municipal bond insurance; Risk premium; Contagion
Habit-based asset pricing with limited participation consumption
Keywords: حق بیمه ریسک; C32; G12; CCAPM; Limited participation consumption data; Habit formation; Real term structure; Risk premium; GMM estimation;
How strong is the global integration of emerging market regions? An empirical assessment
Keywords: حق بیمه ریسک; F36; G15; Time-varying integration; Emerging markets; ICAPM; Risk premium; DCC-GARCH;
Market-implied risk-neutral probabilities, actual probabilities, credit risk and news
Keywords: حق بیمه ریسک; Risk-neutral probability; Default; News; Reaction; Crisis; CDS; CDO; Risk premium;
The risk–return tradeoff: A COGARCH analysis of Merton's hypothesis
Keywords: حق بیمه ریسک; C22; G12Continuous-time GARCH modelling; Market risk; Pseudo-maximum likelihood; Risk free rate; Risk premium; Stochastic volatility
Pricing of the time-change risks
Keywords: حق بیمه ریسک; Time deformation; Risk premium; Recursive utility; G12; D51;
Premia for correlated default risk
Keywords: حق بیمه ریسک; G12; C58; Correlated defaults; Risk premium; Measure change; Maximum likelihood;
Risk premia in general equilibrium
Keywords: حق بیمه ریسک; Risk premium; Continuous-time DSGE; Effective risk aversion; E21; G12;
Forecasting the yield curve: A statistical model with market survey data
Keywords: حق بیمه ریسک; G1; E4; C5; Yield curve forecasting; Risk premium; Market surveys;
The impact of off-balance-sheet activities on banks returns: An application of the ARCH-M to Canadian data
Keywords: حق بیمه ریسک; G20; G21; Regulatory changes; Noninterest income; Diversification; Structural break; Shadow banking; Risk premium;
Risk and the January effect
Keywords: حق بیمه ریسک; G12; January effect; Risk premium; GARCH; Volatility; Seasonality;
State-uncertainty preferences and the risk premium in the exchange rate market
Keywords: حق بیمه ریسک; F31; F41; G12; G15; Risk premium; Taste shocks; Macroeconomic uncertainty; State-uncertainty;
The relationship between spot and futures prices in the Nord Pool electricity market
Keywords: حق بیمه ریسک; C1; Q4; Electricity; Spot markets; Futures prices; Convenience yield; Risk premium;
Monetary policy during speculative attacks: Are there adverse medium term effects?
Keywords: حق بیمه ریسک; E51; F30; O11Speculative attacks; Foreign-currency debt; Balance sheets; Interest parity; Risk premium; Contagion; Prospective capital control; Monetary policy
Asset pricing models and economic risk premia: A decomposition
Keywords: حق بیمه ریسک; G12Economic factor; Risk premium; Pricing kernel; Maximum-correlation portfolio
Comparative higher-degree Ross risk aversion
Keywords: حق بیمه ریسک; D81; Comparative statics; Higher-degree Ross risk aversion; Risk premium;
Did the repeated debt ceiling controversies embed default risk in US Treasury securities?
Keywords: حق بیمه ریسک; E62; G14; H61; H62; H63; Default risk; Treasury securities; Treasury default; Risk premium; US debt limit; Yield spread;
Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
Keywords: حق بیمه ریسک; 62G32; 62G10; Extreme values; Heavy tails; Hill estimator; L-statistics; Risk premium;
Identifying volatility risk premia from fixed income Asian options
Keywords: حق بیمه ریسک; C13; G12; G13; Asian options; Risk premium; Stochastic volatility; Incomplete markets;
Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext
Keywords: حق بیمه ریسک; C12; G10; Q4; Q50Electricity; Risk premium; Emission allowances
Locational price spreads and the pricing of contracts for difference: Evidence from the Nordic market
Keywords: حق بیمه ریسک; G13; G15; Q40; Electricity; Contract for Difference; Implied area forward; Risk premium;
Varying risk premia in international bond markets
Keywords: حق بیمه ریسک; G11; G12; G15; Risk premium; Bonds; Trading strategy; International markets; Forward curve; Bayesian model averaging;
Currency carry trade regimes: Beyond the Fama regression
Keywords: حق بیمه ریسک; Currency carry trade; Risk premium; Fama; Yield curve risk premia
Franchising as a plural system: A risk-based explanation
Keywords: حق بیمه ریسک; M31; D81Franchising; Plural systems; Optimal mixture of franchised and system leader-owned units; Insurance; Risk premium