Keywords: شکستن سازه; Efficient market hypothesis; GARCH; Unit root; Structural break; Stock price
مقالات ISI شکستن سازه (ترجمه نشده)
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On the spot-futures relationship in crude-refined petroleum prices: New evidence from an ARDL bounds testing approach
Keywords: شکستن سازه; Petroleum products; Futures prices; ARDL; Structural break; Weak-strong causality; F31; G15; Q02;
Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter
Keywords: شکستن سازه; C11; C52; E32; Trend–cycle decomposition; HP filter; Structural break;
Estimating volatility persistence under a Brexit-vote structural break
Keywords: شکستن سازه; Volatility persistence; Structural break; Brexit; G120; G110; G010;
Tratados de libre comercio, crecimiento y producto potencial en Chile, México y Perú
Keywords: شکستن سازه; F13; F14 y O24; tlc; Composición exportaciones; Quiebre estructural; Crecimiento económico; Producto potencial; fta; Exports Composition; Structural Break; Economic Growth; Potential Product;
On consistency of minimum description length model selection for piecewise autoregressions
Keywords: شکستن سازه; C12; C13; C22; C52; Change-point; Structural break; Model selection; Minimum description length; Autoregressive process;
Further application of Narayan and Liu (2015) unit root model for trending time series
Keywords: شکستن سازه; Trend; Structural break; Conditional heteroscedasticity; Unit root; Bond yield;
Generalized Poisson autoregressive models for time series of counts
Keywords: شکستن سازه; Integer-valued time series; Threshold Poisson autoregressive models; Zero-inflated generalized Poisson INGARCH models; Structural break; MCMC;
Time varying market efficiency of the GCC stock markets
Keywords: شکستن سازه; Stock markets efficiency; GCC economies; GARCH-M; Kalman filter; Long memory; Structural break;
A CUSUMSQ test for structural breaks in error variance for a long memory heterogeneous autoregressive model
Keywords: شکستن سازه; HAR model; Long-memory; Parameter constancy; Realized volatility; Structural break
Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market
Keywords: شکستن سازه; Stock market; Prediction; Singular value decomposition; Entropy; Structural break
Abenomics: Why was it so successful in changing market expectations?
Keywords: شکستن سازه; E52; E62; F31; G12Unconventional policy; Structural break; Stock price; Exchange rate; Intra-daily data
The functional central limit theorem and structural change test for the HAR(â) model
Keywords: شکستن سازه; C22; Functional central limit theorem; HAR(â) model; L2-NED; Structural break; CUSUM;
The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break
Keywords: شکستن سازه; C12; C15; C22; Time-varying cointegration; Chebyshev time polynomials; Structural break; FMLS-based CUSUM test;
New evidence from the random walk hypothesis for BRICS stock indices: a wavelet unit root test approach
Keywords: شکستن سازه; Stock market; Market efficiency; Random walk; Structural break; Wavelet unit root; G14; C22;
Spillovers among CDS indexes in the US financial sector
Keywords: شکستن سازه; C58; G02; G15; Financial sector CDS; Global financial crisis; Cross-correlation function; Causality-in-variance; Structural break;
Financial crisis and saving-investment dynamics in the presence of cross-sectional dependence: The case of East Asia
Keywords: شکستن سازه; Financial crisis; Saving-investment relationship; Structural break; Common correlated effects mean group (CCEMG) technique; East Asia;
Multifractal detrended cross-correlation analysis of the oil-dependent economies: Evidence from the West Texas intermediate crude oil and the GCC stock markets
Keywords: شکستن سازه; MF-DXA; Penalized contrast function; Structural break; Rolling window;
Is it one break or ongoing permanent shocks that explains U.S. real GDP?
Keywords: شکستن سازه; Trend-cycle decomposition; Unobserved components model; Structural break; Uncertain break date; Bayesian analysis;
A CUSUM test for a long memory heterogeneous autoregressive model
Keywords: شکستن سازه; C22; HAR model; Parameter constancy; Realized volatility; Structural break;
Quantile regression and structural change in the Italian wage equation
Keywords: شکستن سازه; Quantile regression; Structural break; Robustness; Test;
Econometric estimations of performance improvements in Kansas feedlot cattle
Keywords: شکستن سازه; beef cattle; feedlot; performance; technological change; structural break;
Structural breaks and relative price convergence among US cities
Keywords: شکستن سازه; Relative price convergence; Structural break; Panel unit root test; Half-life; Nickell bias; Time aggregation bias; Great Moderation; Relative price variability;
Marginal likelihood calculation for the Gelfand-Dey and Chib methods
Keywords: شکستن سازه; C11; C13; Model comparison; Structural break; Heterogeneous autoregressive model; Bayesian estimation;
Long memory and changing persistence
Keywords: شکستن سازه; C12; C22; Long memory; Changing persistence; Structural break; Semi-parametric estimation;
Oil shocks and their impact on energy related stocks in China
Keywords: شکستن سازه; G12; G15; Oil prices; Energy related stocks; BEKK; Asset pricing; Structural break;
The relationships between Shanghai stock market and CNY/USD exchange rate: New evidence based on cross-correlation analysis, structural cointegration and nonlinear causality test
Keywords: شکستن سازه; Stock market; Exchange rate; Cointegration; Structural break; Linear and nonlinear causality tests;
Breaks in the breaks: An analysis of divorce rates in Europe
Keywords: شکستن سازه; C12; C22; J12; J18; K36; Divorce rate; Unit root; Structural break;
Unilateral divorce versus child custody and child support in the U.S.
Keywords: شکستن سازه; C12; C22; J12; J18; K36Divorce rate; Child support; Joint custody; Unilateral divorce; Unit root; Structural break
Does natural gas consumption follow a nonlinear path over time? Evidence from 50 US States
Keywords: شکستن سازه; Natural gas consumption; ESTAR; Structural break;
Producer price adjustment to commodity price shocks: An application of threshold cointegration
Keywords: شکستن سازه; C32; O13; Q17; Threshold cointegration; Asymmetric price transmission; Structural break; Developing countries; Market reforms;
Are shocks to commodity prices persistent?
Keywords: شکستن سازه; Commodity prices; Unit root test; GARCH; Persistent; Transitory; Structural break
Spurious Granger causality between a broken-trend stationary process and a stochastic trend process
Keywords: شکستن سازه; Granger causality; Spurious rejection; Structural break; Stochastic trend
Parametric and non-parametric approaches in evaluating martingale hypothesis of energy spot markets
Keywords: شکستن سازه; Energy spot markets; Martingale process; Variance ratio test; Structural break; Financial time series
Testing contagion of the 1997-98 crisis in Asian stock markets with structural breaks and incubation periods
Keywords: شکستن سازه; F39; G15; Crisis contagion; Financial crisis; Structural break; Asian market;
A re-examination of stationarity of energy consumption: Evidence from new unit root tests
Keywords: شکستن سازه; Energy consumption; Nonlinearity; Structural break
Testing for structural breaks in dynamic factor models
Keywords: شکستن سازه; C12; C33; Structural break; Factor model; LM test;
Detection of structural breaks in a time-varying heteroskedastic regression model
Keywords: شکستن سازه; Model instability; Structural break; Bayesian; MCMC; Heteroskedasticity; Model selection; Deviance information criterion (DIC)
The changing relation between the Canadian and U.S. yield curves
Keywords: شکستن سازه; Term structure; Structural break; Monetary policy; Inflation;
Generalized runs tests for the IID hypothesis
Keywords: شکستن سازه; C12; C23; C80; IID condition; Runs test; Geometric distribution; Gaussian process; Dependence; Structural break;
Estimating a common deterministic time trend break in large panels with cross sectional dependence
Keywords: شکستن سازه; C33; Structural break; Deterministic trend; Panel data;
How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference
Keywords: شکستن سازه; Bootstrap; US model; DSGE; VAR; New Keynesian; New Classical; Indirect inference; Wald statistic; Regime change; Structural break; Great moderation; C12; C32; C52; E1;
Dynamics of regional unemployment rates in Brazil: Fractional behavior, structural breaks, and Markov switching
Keywords: شکستن سازه; E24; R23; C22; Unemployment; Structural break; MS-ARFIMA process; Fractional stochastic convergence;
On the non-convergence of energy intensities: Evidence from a pair-wise econometric approach
Keywords: شکستن سازه; C32; O40; Q43; Q50; Energy intensity; Pair-wise test; Unit-root test; Stationarity test; Structural break; Convergence;
The impact of off-balance-sheet activities on banks returns: An application of the ARCH-M to Canadian data
Keywords: شکستن سازه; G20; G21; Regulatory changes; Noninterest income; Diversification; Structural break; Shadow banking; Risk premium;
A flexible approach to parametric inference in nonlinear and time varying time series models
Keywords: شکستن سازه; C11; C22; E17; Bayesian; Structural break; Threshold autoregressive; Regime switching; State space model;
Long memory versus structural breaks in modeling and forecasting realized volatility
Keywords: شکستن سازه; C32; C52; C53; G10Realized volatility; Exchange rate; Long memory; Structural break; Fractional integration; Volatility forecasting
Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
Keywords: شکستن سازه; Vector autoregressive model; Predictive density; Over-parameterization; Structural break; Shrinkage
Panel cointegration and the monetary exchange rate model
Keywords: شکستن سازه; C32; C33; F31; F41; Monetary exchange rate model; Purchasing power parity; Panel cointegration; Structural break; Cross-section dependence;
The impact of structural breaks on the integration of the ASEAN-5 stock markets
Keywords: شکستن سازه; C12; C22; C32; F36; G15Cointegration rank; Structural break; Asian financial crisis; Stock market