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Математическая модель взаимного влияния волатильностей доходности финансовых активов
С. 177–180.
Lapinova S. A.
In book
Каз.: Издательство Казанcкого государственного университета, 2014.
Buchko A., Peresetsky A., HSE Economic Journal 2025 Vol. 29 No. 3 P. 383–406
In recent years cryptocurrencies have gained popularity: institutional and retail investors as well as different trading companies started positively looking at crypto assets. As a result, the convergence level between cryptocurrencies and the traditional markets has changed a lot. Stocks deserve close attention because they are a key asset for many investors. This article explores ...
Added: September 17, 2026
Soldatova A., Банковские услуги 2025 № 5 С. 41–44
This article covers the results of a roundtable discussion at the Higher School of Economics (HSE) on the Russian bond market. Key issues and trends in the bond market over the past year were discussed, including macroeconomic risks and new threats to private investors related to the increasing frequency of coupon defaults by issuers. The ...
Added: September 3, 2026
Ионцев М. А., Инновации и инвестиции 2025 № 7 С. 43–46
The article examines the volatility of the BTC digital currency against the background of volatility indicators of traditional securities. A comparative analysis was conducted, which revealed that the level of price instability of BTC is generally comparable to the volatility of a number of stocks and other financial instruments. Particular attention is paid to factors ...
Added: November 10, 2025
Soldatova A., Финансы, деньги, инвестиции (Россия) 2025 № 2 С. 27–36
The article is devoted to the study of the features and advantages of investing in an Islamic index. The principles of Islamic finance, the distinctive features of Islamic indices and the methods of their calculation are considered. An analysis of the industry structure of the global Islamic index was conducted. The stages of forming an ...
Added: July 8, 2025
Sviyazov V., Экономический журнал Высшей школы экономики 2023 Т. 27 № 3 С. 412–434
The problem of volatility forecasting with and without consideration of weekly seasonality effect (the weekend effect) is examined in this research. The question of the seasonality existence is understood in the following sense: do models, which incorporate seasonality, feature better forecasts? The fuzzy GARCH model, which accounts for a weekly seasonality effect is presented in ...
Added: October 28, 2023
Петров С. С., Макарова С. Д., Хансуварова Е. А. et al., Н. Новгород: Изд-во ННГУ им. Н.И. Лобачевского, 2023.
В учебно-методическом пособии рассматриваются методы реализации финансовых расчетов в ходе бизнес-планирования. Особое внимание уделено особенностям и процедурам вариативного («рискоориентированного») подхода, применяемого в условиях неопределенности. Описанию последовательной процедуры планирования финансовых показателей предпослано краткое ознакомление с методами анализа и оценки экономических рисков. При изложении материала авторы придерживались ситуационного подхода, формулируя теоретические выкладки на основе разбора модельных и ...
Added: October 3, 2023
Свиязов В. А., Проблемы управления 2022 № 6 С. 26–34
Volatility modeling and forecasting is a topical problem both in scientific circles and in the practice. This paper develops an approach combining the GARCH model and fuzzy logic. The Takagi–Sugeno fuzzy inference scheme is adopted to fuzzify an original autoregression model (the conditional heteroskedasticity model). As a result, several different local GARCH models can be ...
Added: May 15, 2023
Larionov A., АПК: Экономика, управление 2022 № 9 С. 61–65
Исследование раскрывает методический подход к организации мониторин-га волатильности денежных потоков с целью идентификации возможных проблем при взаимодействии субъектов сельского хозяйства. Актуальность исследования связана с необходимостью своевременного применения инструментов государственного регулирования, позволяющих поддержать непрерывность взаимодействия субъектов сельского хозяйства при реализации различных рисков. Последнее особенно актуально с учетом национального интереса «устойчивое развитие и модернизация сельского и рыбного ...
Added: September 29, 2022
Telegin O., Вопросы экономики 2022 № 10 С. 37–65
How do Russian market participants react to the decisions of the Bank of Russia on changes to the Lombard List? This paper examines the relationship between the inclusion of securities in the list and changes in returns and volatility of shares in Moscow Stock Exchange companies. To model the behavior of the volatility of stocks ...
Added: September 19, 2022
Trifonov Y., Potanin B., Финансы: теория и практика 2022 Т. 26 № 2 С. 204–218
Авторы исследуют проблему моделирования совместной динамики условной волатильности нескольких финансовых активов в условиях асимметричной зависимости между волатильностью и шоками в доходности (эффект рычага). Предложена новая многомерная асимметричная модель условной гетероскедастичности с динамической корреляционной матрицей (DCC-EGARCH), позволяющая моделировать совместную динамику нескольких финансовых активов с учетом эффекта рычага на финансовых рынках. Преимущество DCC-EGARCH-модели в сравнении с предложенными ...
Added: May 26, 2022
Umar Z., Gubareva M., Teplova T., Resources Policy 2021 No. 73 P. 1–11
We apply wavelet analyses to study how the Covid pandemic influenced the volatility of commodity prices, covering various classes of commodities. We document the intervals of low, medium, and high coherence between the coronavirus panic index and the moves of the commodity prices. The low coherence intervals indicate the diversification potential of commodity investments during a systemic ...
Added: September 22, 2021
Larionov A., Финансы: теория и практика 2021 Т. 25 № 3 С. 150–158
The study presents the author’s approach to monitoring the volatility of cash flows. The relevance of the study is due to the fact that a high increase in volatility can have a negative impact on the stability of individual economic entities; therefore, central banks are faced with the task of organizing a system for monitoring ...
Added: July 8, 2021
Костырка А. В., Malakhov D., Прикладная эконометрика 2021 Т. 61 С. 110–139
In this article, two popular tests for structural breaks are considered for return volatilities: the ICSS algorithm employing the AIT test, and the least-squares (LS) estimator. We show that the AIT test is sensitive to many features of the time series, and the use of asymptotic critical values is not always justified. The LS method ...
Added: April 20, 2021
Teplova T., Tomtosov A., Quarterly Review of Economics and Finance 2021 No. 80 P. 210–223
Factor momentum and high volume separately work well in developed markets, but they have shown poor results in extremely volatile and illiquid emerging markets. Guided by the characteristics of illiquid markets, we combined momentum and high volume into a composite factor by a unique technique. The stability of momentum winners was improved by an increase ...
Added: February 11, 2021
Borzykh D., Yazykov A., Вестник Санкт-Петербургского университета. Серия 10. Прикладная математика. Информатика. Процессы управления 2020 Т. 16 № 1 С. 19–30
There are three well-known CUSUM-methods of structural breaks detection for standard
GARCH-models in the literature: (Inclґan, Tiao, 1994), (Kokoszka, Leipus, 1999) and (Lee,
Tokutsu, Maekawa, 2004). Despite the fact that these algorithms were initially developed
for standard GARCH-models, there are theoretical arguments that CUSUM-methods can
be applied to EGARCH-models. What is more, one can find empirical research which uses
these ...
Added: April 15, 2020
Граница Ю. В., В кн.: Россия: тенденции и перспективы развития. ЕжегодникЧ. 2. Вып. 14.: М.: Институт научной информации по общественным наукам (ИНИОН) РАН, 2019. С. 804–808.
Прогнозирование состояния экономической системы региона – это основная задача, реализуемая при выборе стратегических приоритетов его инновационного развития.
Исследования в области прогнозирования преимущественно связаны с выбором экономических детерминант, характеризующих положение регионов, индикаторов, подающих сигналы о наступлении рецессии, показателей в большей степени чем другие подверженных изменениям ...
Added: January 22, 2020
Граница Ю. В., Региональная экономика: теория и практика 2019 Т. 17 № 8 С. 1540–1556
Thing. Analysis of existing and development of copyright methods for assessing the instability of the regional economy
Goals. The study of economic and statistical tools adequate to predict the financial instability of the regional economic system. Specification of models of economic indicators of financial instability, evaluation of their parameters, quality control of models and interpretation of ...
Added: November 22, 2019
Borzykh D., Yazykov A., Прикладная эконометрика 2019 Т. 54 С. 90–104
We propose a new method of a structural break detection for GARCH(1,1) model. This new method is called the KS method since it is based on Kolmogorov-Smirnov statistics. By using Monte-Carlo experiments we show that the KS method has good statistical properties. We compare our method with three well-known CUSUM methods: (Kokoszka, Leipus, 1999) referred ...
Added: March 28, 2019
Eliseev A., Silaev A. M., В кн.: Системное моделирование социально-экономических процессов: труды 40-ой Юбилейной международной научной школы-семинара имени академика С.С. Шаталина.: Воронеж: Истоки, 2017. С. 432–435.
The parameters of GARCH, EGARCH and GJR-GARCH econometric models were estimated using Dow Jones daily returns. According to the results, asymmetric models with non-Gaussian standardized innovations proved to be the best. For these models, the returns’ conditional variance forecast was made, as well as so called “News Impact Curve”, which shows the effect of previous ...
Added: October 31, 2018