Didenko, Alexander; Dubovikov, Michael; Poutko, Boris - Volkswirtschaftliche Fakultät, … - 2015
The paper develops an algorithm for making long-term (up to three months ahead) predictions of volatility reversals … minimal covers with decreasing scale is used to decompose volatility into two dynamic components: specific and structural. We … introduce two separate models for both, based on different principles and capable of catching long uptrends in volatility. To …