Keywords: پیش بینی نوسانات; G13; G17; Volatility forecasting; Volatility risk premium; Implied volatility;
مقالات ISI پیش بینی نوسانات (ترجمه نشده)
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در صورتی که به ترجمه آماده هر یک از مقالات زیر نیاز داشته باشید، می توانید سفارش دهید تا مترجمان با تجربه این مجموعه در اسرع وقت آن را برای شما ترجمه نمایند.
Keywords: پیش بینی نوسانات; Long memory; Structural breaks; Fractional integration; Volatility; Volatility forecasting;
Keywords: پیش بینی نوسانات; Density forecasts; Volatility forecasting; Multifractal; Unifractal; Intraday; Finance;
Keywords: پیش بینی نوسانات; Asymmetric characteristics; Threshold stochastic volatility model; Bayesian MCMC; Volatility forecasting; Commodity futures marketsC32; G15
Keywords: پیش بینی نوسانات; Oil prices; Realized volatility; Implied volatility; Volatility forecasting; G14; G13; Q47; L94;
Keywords: پیش بینی نوسانات; Chinese stock market; Forecast combination; Forecast accuracy; Model averaging; Volatility forecasting; C11; C12;
Keywords: پیش بینی نوسانات; C32; C50; C52; C53; C58; Realized volatility; Bipower variation; Jump tests; Factor models; Volatility forecasting; Model selection;
Keywords: پیش بینی نوسانات; G17; G15; C15; C32; C53; Expected shortfall; Long memory; Multi-period forecasting; Value-at-risk; Volatility forecasting;
Keywords: پیش بینی نوسانات; primary, 62M10; secondary, 62M20Conditional heteroscedasticity; Fractional integration; HAR model; High frequency data; Long-memory; Volatility forecasting
Keywords: پیش بینی نوسانات; GARCH model; Low and high prices; NIG distribution; Turmoil period; Volatility forecasting
Forecasting the KOSPI200 spot volatility using various volatility measures
Keywords: پیش بینی نوسانات; C52; C53; G14; G15; Encompassing regression; GARCH; Implied volatility; Volatility forecasting; VKOSPI;
Does the OVX matter for volatility forecasting? Evidence from the crude oil market
Keywords: پیش بینی نوسانات; Volatility forecasting; Oil futures price; OVX; MCS;
Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?
Keywords: پیش بینی نوسانات; Volatility forecasting; HAR-RV; Realized volatility; Kitchen sink model;
Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index
Keywords: پیش بینی نوسانات; Stochastic processes; Autocovariance; Dimension reduction; High frequency data; Volatility forecasting;
MGARCH models: Trade-off between feasibility and flexibility
Keywords: پیش بینی نوسانات; BEKK; CCC; DCC; GARCH models; Multivariate time series; Variance targeting; Volatility forecasting; VECH;
A stock market risk forecasting model through integration of switching regime, ANFIS and GARCH techniques
Keywords: پیش بینی نوسانات; ANFIS; GARCH; Markov switching; Stock market volatility; Volatility forecasting;
Improved Forecast Ability of Oil Market Volatility Based on combined Markov Switching and GARCH-class Model
Keywords: پیش بینی نوسانات; GARCH; EGARCH; Markov Switching Model; Volatility Forecasting; WTI Oil Market;
Binomial Markov-Switching Multifractal model with Skewed t innovations and applications to Chinese SSEC Index
Keywords: پیش بینی نوسانات; BMSM models; Volatility forecasting; Skewed t innovations;
Forecasting the volatility of crude oil futures using HAR-type models with structural breaks
Keywords: پیش بینی نوسانات; C53; G17; Q41; Q47; Volatility forecasting; Realized volatility; HAR-RV model; Structural breaks; PROMETHEE II method;
Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility
Keywords: پیش بینی نوسانات; Sentiment dynamics; GMM estimation; Volatility forecasting; G12; C22; C53;
The course of realized volatility in the LME non-ferrous metal market
Keywords: پیش بینی نوسانات; Industrial metals; High-frequency data; HAR-GARCH model; Rolling estimation; Volatility forecasting; C13; C22; C53;
Realized range volatility forecasting: Dynamic features and predictive variables
Keywords: پیش بینی نوسانات; Realized range volatility; Realized volatility; Long-memory; Volatility forecasting; Macroeconomic variables; C22; C52; C53; C58;
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
Keywords: پیش بینی نوسانات; C58; C22; C53; Realized variance; Volatility forecasting; High frequency data;
A differential harmony search based hybrid interval type2 fuzzy EGARCH model for stock market volatility prediction
Keywords: پیش بینی نوسانات; Volatility forecasting; Stock markets; EGARCH; type1 and type2 fuzzy-EGARCH models; Functional link neural network; Differential harmony search
The forecasting accuracy of implied volatility from ECX carbon options
Keywords: پیش بینی نوسانات; Carbon options; Implied volatility; Volatility forecasting; EU Emissions Trading Scheme; G13; Q5;
Reflecting on the VPIN dispute
Keywords: پیش بینی نوسانات; G01; G14; G17; VPIN; PIN; High-frequency trading; Order flow toxicity; Order imbalance; Flash crash; VIX; Volatility forecasting;
Estimation of flexible fuzzy GARCH models for conditional density estimation
Keywords: پیش بینی نوسانات; Conditional density estimation; Fuzzy GARCH model; Volatility forecasting; Linguistic description
VPIN and the flash crash
Keywords: پیش بینی نوسانات; G01; G14; G17; VPIN; PIN; High-frequency trading; Order flow toxicity; Order imbalance; Flash crash; VIX; Volatility forecasting;
The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts
Keywords: پیش بینی نوسانات; C32; C53; G11Forecast evaluation; Volatility forecasting; Portfolio optimization; Mean-variance analysis
Forecasting spot price volatility using the short-term forward curve
Keywords: پیش بینی نوسانات; G17; C52; C14; Q47; L94; Volatility forecasting; Realized volatility; Implied volatility; Forward prices; Electricity markets;
Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?
Keywords: پیش بینی نوسانات; Oil futures; Volatility forecasting; Realized volatility;
Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
Keywords: پیش بینی نوسانات; C22; C53; F47; G17; Q47; Q43; Oil markets; Volatility forecasting; Long memory; Structural breaks; GARCH-class models;
Modelling asymmetry and persistence under the impact of sudden changes in the volatility of the Indian stock market
Keywords: پیش بینی نوسانات; ICSS algorithm; GARCH class of models; Regime shifts; Volatility persistence; Volatility forecasting
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Keywords: پیش بینی نوسانات; C22; C32; F31; G1; Bipower variation; HAR (Heterogeneous autoregressive model); Implied volatility; Jumps; Options; Realized volatility; VecHAR; Volatility forecasting;
Effective options trading strategies based on volatility forecasting recruiting investor sentiment
Keywords: پیش بینی نوسانات; Volatility forecasting; Investor sentiment; Options trading strategy; Decision support; Market turnover
Realized volatility forecasting and market microstructure noise
Keywords: پیش بینی نوسانات; C14; C22; C52; G14; Volatility forecasting; High-frequency data; Market microstructure noise; Integrated volatility; Realized volatility; Robust volatility measures; Eigenfunction stochastic volatility models;
Integrated variance forecasting: Model based vs. reduced form
Keywords: پیش بینی نوسانات; C22; C53; Volatility forecasting; High-frequency data; Reduced-form methods; Model misspecification;
Forecasting exchange rate volatility using high-frequency data: Is the euro different?
Keywords: پیش بینی نوسانات; Euro exchange rates; Volatility forecasting; High-frequency data; GARCH model; Long memory time series; Forecast evaluation
Data-based ranking of realised volatility estimators
Keywords: پیش بینی نوسانات; C52; C22; C53; Realized variance; Volatility forecasting; Forecast comparison;
REIT volatility prediction for skew-GED distribution of the GARCH model
Keywords: پیش بینی نوسانات; Volatility forecasting; SGED; Skewness; Fat tails; GARCH
Forecasting crude oil market volatility: Further evidence using GARCH-class models
Keywords: پیش بینی نوسانات; Q40; E30; C32; C52; Crude oil market; Volatility forecasting; GARCH; SPA test;
Threshold bipower variation and the impact of jumps on volatility forecasting
Keywords: پیش بینی نوسانات; G1; C1; C22; C53; Volatility estimation; Jump detection; Volatility forecasting; Threshold estimation; Financial markets;
Long memory versus structural breaks in modeling and forecasting realized volatility
Keywords: پیش بینی نوسانات; C32; C52; C53; G10Realized volatility; Exchange rate; Long memory; Structural break; Fractional integration; Volatility forecasting
Intra-daily information of range-based volatility for MEM-GARCH
Keywords: پیش بینی نوسانات; Volatility forecasting; Multiplicative error model; GARCH
Are RiskMetrics forecasts good enough? Evidence from 31 stock markets
Keywords: پیش بینی نوسانات; C22; G12; RiskMetrics; GARCH; Volatility forecasting; Value-at-Risk;
Forecasting volatility based on wavelet support vector machine
Keywords: پیش بینی نوسانات; Volatility forecasting; Wavelet support vector machine (WSVM); Mercer condition
Joint modeling of call and put implied volatility
Keywords: پیش بینی نوسانات; Implied volatility; Option markets; Volatility forecasting; MEM models; Impulse responses
Optimal combinations of realised volatility estimators
Keywords: پیش بینی نوسانات; Realised variance; Volatility forecasting; Forecast comparison; Forecast combination
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Keywords: پیش بینی نوسانات; Realized volatility; Long memory; Day-of-the-week effect; Leverage effect; Volatility forecasting; Model confidence set; Macroeconomic news announcements
Do misalignments predict aggregated stock-market volatility?
Keywords: پیش بینی نوسانات; Realized volatility; Volatility forecasting; Asymmetry; G12; C53;