Abstract:The author suggests approaches to modeling volatility of returns of financial assets, different from the existing higher level of accuracy when out-of-sample prediction (with the formal proof on the basis of procedure -the Model Confidence Set) by taking into account the dynamics of diversification of market potential, able to describe the transformation mechanism of clustering of volatility of returns on micro-level clustering of volatility of returns on the macro level, the example of the Russian financial m… Show more
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