Прогнозирование Когерентных Разрывов Волатильности // Forecasting Coherent Volatility Breakouts
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- Putko, Boris & Didenko, Alexander & Dubovikov, Mikhail, 2014. "The model of volatility of the exchange rate (RUR/USD), based on the fractal characteristics of time series," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 79-87.
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Keywords
ARCH-GARCH мо- дель; stock market; price risk; fractal dimension; market crash; ARCH-GARCH; range-based volatility models; multi-scale volatility; volatility reversals; technical analysis; фондовый рынок; ценовой риск; фрактальная размерность; крахи рынка; модели волатильности как амплитуды; многомасштабная волатильность; развороты волатильности; тех- нический анализ;All these keywords.
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