Forecasting Coherent Volatility Breakouts
Year of publication: |
2015-03
|
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Authors: | Didenko, Alexander ; Dubovikov, Michael ; Poutko, Boris |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | stock market | price risk | fractal dimension | market crash | ARCH-GARCH | range-based volatility models | multi-scale volatility | volatility reversals | technical analysis |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Bulletin of Financial University 1.85(2015): pp. 30-36 |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C49 - Econometric and Statistical Methods: Special Topics. Other ; C5 - Econometric Modeling ; c58 |
Source: |
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