Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons
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Cited by:
- Nagapetyan, Artur, 2019. "Precondition stock and stock indices volatility modeling based on market diversification potential: Evidence from Russian market," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 56, pages 45-61.
- Акинфиев Валерий Константинович, 2016. "Моделирование Инвестиционных Стратегий Компаний В Условиях Неопределённости," Управление большими системами: сборник трудов, CyberLeninka;Федеральное государственное бюджетное учреждение науки Институт проблем управления им. В.А. Трапезникова РАН, issue 61, pages 136-167.
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More about this item
Keywords
volatility; stock prices; exchange rate;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
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