Keywords: خوشه نوسان; Liquidity dynamics; Emissions allowances; Pricing efficiency; Illiquidity ratio; Trade-based liquidity; Volatility clustering;
مقالات ISI خوشه نوسان (ترجمه نشده)
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Keywords: خوشه نوسان; Non-ferrous metals futures; Volatility forecasting; After-hours information; Leverage effects; Volatility clustering;
Keywords: خوشه نوسان; C40; E32; G15; F30; Wavelet analysis; Volatility clustering; Stock returns; International transmission;
Keywords: خوشه نوسان; Power laws; Financial returns; Leptokurtosis; Volatility clustering; Agent-based modeling;
Keywords: خوشه نوسان; Markov regime-switching model; Volatility clustering; Jump risks; Stock index;
Keywords: خوشه نوسان; D84; E32; G12; Volatility clustering; Fundamentalists and trend followers; Bounded rationality; Stability; Coexisting attractors;
Keywords: خوشه نوسان; Serial correlation; Self-similarity; Portfolio diversification; Multifractionality; Volatility clustering
Keywords: خوشه نوسان; D84; G12; G14Rational expectations; Difference of opinions; Sentiment; Volatility clustering; Leverage effect
Keywords: خوشه نوسان; C51; G32; Volatility clustering; Univariate time series copulas; Realized kernel volatility; Value-at-Risk;
Keywords: خوشه نوسان; Complex dynamics; Foam rheology; Soft disk model; Volatility clustering; Long-range memory; Econophysics;
Keywords: خوشه نوسان; Participating contract; Recursive formula; Regime-switching model; Regime-switching model with jump risks; Volatility clustering;
Keywords: خوشه نوسان; G13; G14; G15; Electricity futures market; Volatility clustering; Electricity spot markets; Spot market volatility; VECM-GARCH;
Keywords: خوشه نوسان; C58; D58; G01; G12; Markov-modulated; Jump diffusion; Volatility clustering; Jump clustering; Volatility smile; Options pricing;
Keywords: خوشه نوسان; G01; G11; G14; G15; Real estate investment trust; Volatility clustering; Leverage effect; Size effect; Contagion effect;
Keywords: خوشه نوسان; G12; G11; D84; Asset pricing; Heterogeneous agents; Multiple investment scales; Volatility clustering;
Keywords: خوشه نوسان; Multifractality; Long memory; Volatility clustering; Exchange rate returns
Keywords: خوشه نوسان; F23; F36; G10; G30Normality; Return predictability; Leverage effect; Volatility clustering; Efficiency; Emerging markets
Assessing the impact of macroeconomic news on the U.S. forest products industry portfolio across business cycles: 1963–2010
Keywords: خوشه نوسان; ARMA–EGARCH; Business cycle; Forest products industry; Leverage effect; Macroeconomic news; Volatility clustering
A study of the interplay between the structure variation and fluctuations of the Shanghai stock market
Keywords: خوشه نوسان; Mutual information; Stock network; Scalefree degree distribution; Volatility clustering;
Quantifying volatility clustering in financial time series
Keywords: خوشه نوسان; Econophysics; Volatility clustering; Financial stylized facts;
Trading frequency and volatility clustering
Keywords: خوشه نوسان; G10; G11; D43; D82; Trading frequency; Volatility clustering; Signal extraction; Hyperbolic decay;
Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors
Keywords: خوشه نوسان; C22; G12; Markov switching; Mixture of normals; Price range; Trading volume; Volatility clustering;
The impact of a financial transaction tax on stylized facts of price returns-Evidence from the lab
Keywords: خوشه نوسان; Financial transaction tax; Stylized facts; Fat tails; Volatility clustering; Experiment; C91; E62; F31;
How accurate is the square-root-of-time rule in scaling tail risk: A global study
Keywords: خوشه نوسان; G18; G20; C20; Value at risk; Square-root-of-time rule; Jump diffusion; Serial dependence; Heavy-tail; Volatility clustering; Subsampling-based test;
Asset returns and volatility clustering in financial time series
Keywords: خوشه نوسان; Econophysics; Volatility clustering; Heavy-tailed distribution; Financial stylized facts
Asymmetric volatility, volatility clustering, and herding agents with a borrowing constraint
Keywords: خوشه نوسان; Econophysics; Asymmetric volatility; Volatility clustering; Spin model; Borrowing constraint; Herding
On the specification of noise in two agent-based asset pricing models
Keywords: خوشه نوسان; Volatility clustering; Autocorrelations of returns; Structural stochastic volatility; Heterogeneous agents; C15; D84; G12;
Quantum-minimized BWGC/NGARCH approach to financial time series forecast
Keywords: خوشه نوسان; Overshoot; Volatility clustering; BPNN-weighted GM–C3LSP model; Nonlinear generalized autoregressive conditional heteroscedasticity; Quantum-based minimization
Modelling dynamic portfolio risk using risk drivers of elliptical processes
Keywords: خوشه نوسان; C51; C16; C13; Portfolio risk modelling; Elliptical processes; Credit risk; Multiplicative error model; Volatility clustering; Moody's KMV Credit Monitor database;
An exploration of commonly observed stylized facts with data from experimental asset markets
Keywords: خوشه نوسان; 89.65.Gh; 05.45.TpStylized facts; Experimental economics; Laboratory markets; Fat tails; Volatility clustering
Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?
Keywords: خوشه نوسان; Long memory; Volatility clustering; ARCH type models; Nonlinear dynamics; Entropy
Long-term memory and volatility clustering in high-frequency price changes
Keywords: خوشه نوسان; 89.65.Gh; 89.75.Da; 89.90.+n; 05.40.Fb; 05.45.TpLong-term memory; Volatility clustering; GARCH
Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets
Keywords: خوشه نوسان; C22; F31; G15; Volatility feedback; Time-varying jump intensity; Volatility clustering; Leverage effect; Leptokurtosis;
Fat tails and volatility clustering in experimental asset markets
Keywords: خوشه نوسان; C16; C91; D82; D83; Asymmetric information; Experimental economics; Fat tails; Volatility clustering; Stylized facts;
Estimation of a simple agent-based model of financial markets: An application to Australian stock and foreign exchange data
Keywords: خوشه نوسان; Herd behavior; Speculative dynamics; Fat tails; Volatility clustering
Structural attribution of observed volatility clustering
Keywords: خوشه نوسان; C53; G00; G12; Volatility clustering; Induced volatility clustering; Structural attribution; Stochastic volatility; ARCH;
Coordination, intermittency and trends in generalized minority games
Keywords: خوشه نوسان; Minority games; Risk; Trend-followers; Contrarians; Volatility clustering;
A threshold model of investor psychology
Keywords: خوشه نوسان; Investor psychology; Volatility clustering; Kurtosis; Herding;
Equilibrium analysis of volatility clustering
Keywords: خوشه نوسان; G0; G1; C5; Implied risk aversion; Volatility clustering; Time-varying risk aversion; Equilibrium price process;