Keywords: مدل نوسان پذیری تصادفی; Econophysics; Multifractal; Realized volatility; Stochastic volatility model; GARCH; Superior predictive ability
مقالات ISI ترجمه شده مدل نوسان پذیری تصادفی
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Keywords: مدل نوسان پذیری تصادفی; ADF test; KPSS test; Financial time series; Geophysical time series; GARCH model; Maximum likelihood estimation; Stochastic volatility model; Seismogram;
Keywords: مدل نوسان پذیری تصادفی; primary; 60F10; secondary; 91B25, 60G44; 60G44; Implied volatility; Option price; Tail probability; Stochastic volatility model; Large deviations; Multiscaling of moments;
A non-iterative (trivial) method for posterior inference in stochastic volatility models
Keywords: مدل نوسان پذیری تصادفی; Stochastic volatility model; Monte Carlo methods; Markov Chain Monte Carlo; Iterative methods;
Keywords: مدل نوسان پذیری تصادفی; Recombined tree; Options pricing; Markov chain approximation; Stochastic volatility model; 91G60; 91G20; 65C20;
Keywords: مدل نوسان پذیری تصادفی; Finance; Stochastic volatility model; Yield dynamics in the Eurozone; Early warning indicator; Yield forecasting;
Keywords: مدل نوسان پذیری تصادفی; 35G61; 91B25; 65M06; Variance swaps; Finite difference; Exponential time integration; Merton's jump-diffusion model; Stochastic volatility model; Regime switching models;
Keywords: مدل نوسان پذیری تصادفی; Common jumps; Discrete sampling; High-frequency data; Itô semimartingale; Statistical test; Stochastic volatility model;
Keywords: مدل نوسان پذیری تصادفی; American continuous-installment option; Stochastic volatility model; Volterra integral equations
Keywords: مدل نوسان پذیری تصادفی; Stochastic volatility model; Hamilton-Jacobi-Bellman equation; Utility function; Ruin probability;
Keywords: مدل نوسان پذیری تصادفی; Incomplete markets; Stochastic volatility model; CIR process; Ornstein-Uhlenbeck process; Good-deal bounds;
Calibration of stochastic volatility models: A Tikhonov regularization approach
Keywords: مدل نوسان پذیری تصادفی; G12; G13; Calibration; Stochastic volatility model; Tikhonov regularization; Inverse problem;
Nonparametric specification tests for stochastic volatility models based on volatility density
Keywords: مدل نوسان پذیری تصادفی; C58; C12; C14; Nonparametric tests; Kernel deconvolution estimator; Stochastic volatility model;
High-order computational methods for option valuation under multifactor models
Keywords: مدل نوسان پذیری تصادفی; Finance; American options; Galerkin discretization; Exponential time integration; Stochastic volatility model
Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein–Uhlenbeck processes
Keywords: مدل نوسان پذیری تصادفی; Indirect inference; Quasi-likelihood estimation; Stochastic volatility model; Ornstein-Uhlenbeck process; Asymptotic variance; Exchange rate data; Simulation study
Interest rates factor model
Keywords: مدل نوسان پذیری تصادفی; Interest rates term structure; Spectral analysis; Tail dependence; Mean reverting process; Stochastic volatility model;
Robust general equilibrium under stochastic volatility model
Keywords: مدل نوسان پذیری تصادفی; G12; G13; D58; C68; General equilibrium; Robust control; Stochastic volatility model; Equity premium;
International money and stock market contingent claims
Keywords: مدل نوسان پذیری تصادفی; Quadratic term structure; Exchange rates; Stochastic volatility model; Wishart process; Futures; Forward contract; G12; G13;
Consistent estimation in regression models for the drift function in some continuous time models
Keywords: مدل نوسان پذیری تصادفی; Consistent estimation; Continuous time model; Drift function; Stochastic volatility model; U.S. Treasury Bill yields
Common stochastic volatility trends in international stock returns
Keywords: مدل نوسان پذیری تصادفی; C32; G15; Stochastic volatility model; Common stochastic trends; Co-persistence in variance;
Parameterisation and efficient MCMC estimation of non-Gaussian state space models
Keywords: مدل نوسان پذیری تصادفی; Bayesian estimation; Non-centred parameterisations; Inefficiency factor; Stochastic volatility model; Stochastic conditional duration model
The innovations of e-mini contracts and futures price volatility components: The empirical investigation of S&P 500 stock index futures
Keywords: مدل نوسان پذیری تصادفی; G13; G15; Stock index futures; Kalman filter; Stochastic volatility model;
On the applicability of stochastic volatility models
Keywords: مدل نوسان پذیری تصادفی; Bayesian inference; Drift function; Runs test; Short interest rate; Stochastic volatility model; Stochastic volatility model with jumps; US Treasury Bill yields
Iterated importance sampling in missing data problems
Keywords: مدل نوسان پذیری تصادفی; Adaptive algorithms; Bayesian inference; Latent variable models; Population Monte Carlo; Rao–Blackwellisation; Stochastic volatility model
Volatility puzzles: a simple framework for gauging return-volatility regressions
Keywords: مدل نوسان پذیری تصادفی; G12; C51; C22; Leverage asymmetry; Volatility feedback; Implied volatility forecast; Realized volatility; Stochastic volatility model; Instrument variable;
Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model
Keywords: مدل نوسان پذیری تصادفی; Edgeworth expansion; Lévy process; Mixing; Non-Gaussian Ornstein-Uhlenbeck process; Stochastic volatility model;
Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
Keywords: مدل نوسان پذیری تصادفی; C22; C53; G15; Generalised autoregressive conditional heteroskedasticity model; Long memory model; Realised volatility; Stochastic volatility model; Superior predictive ability; Unobserved components;