СПИСОК ИСПОЛЬЗУЕМОЙ ЛИТЕРАТУРЫ
Биржевая Информация // MOEX Group - Группа "Московская Биржа" URL: https://www.moex.com/ru/marketdata Грецкий Р. Е., Карачун И. А., Применение Logit-модели для прогнозирования волатильности валютного курса Д.В. Мамин, «Прогнозирование курсов валют в условиях эволюции мировой валютной системы» Куссый М.Ю, «Методологические аспекты измерения волатильности» Непараметрическое моделирование и прогнозирование волатильности нестационарных финансовых рядов Е.В. Бурнаев Погосян Э.А., «Прогнозирование валютных курсов с использованием методов статистики»  Эконометрический подход к анализу графиков // MQL5 URL: https://www.mql5.com/ru/articles/222 Эксцесс в распределениях доходности // fin-accounting URL: https://fin-accounting.ru/cfa/l1/quantitative/cfa-kurtosis-in-return-distributions ARCH Models: Properties, Estimation and Testing, Anil K. Bera и Matthew L. Higgins Asseery, A., and D. A. Peel. 1991. The Effects of Exchange Rate Volatility on Exports - Some New Estimates, Economics Letters 37 (October), 173-177. Balassa B. The Purchasing Power Parity Doctrine: A Reappraisal // Journal of Political Economy. 1964.  № 72. Р. 584–596. Bayoumi, T. 1997. Financial Integration and Real Activity, Manchester: Manchester University Press.  Bayoumi, T., and B. Eichengreen. 1994. Macroeconomic Adjustments under BrettonWoods and the Post-Bretton-Woods Float: An Impulse Response Analysis, Economic Journal 104, 813-827. Beckers, Stan 1981, Standart Deviations Implied in Option Prices as Predictors of Future Stock Price Variability, J. Banking Finance 5, 363-82 Bollen, B., and B., Inder (2002) Estimating daily volatility in financial markets utilizing intraday data, Journal of Empirical Finance, 9, 551–562. Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307–328.  Bollerslev, T. (1987) A conditionally heteroskedastic time series model for speculative prices and rates of return, Review of Economics and Statistics, 69, 3, 542–547.  Bollerslev, T. (1990) Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model, Review of Economics and Statistics, 72, 498–505.  Bollerslev, T., and E. Ghysels (1996) Periodic autoregressive conditional heteroskedasticity, Journal of Business and Economic Statistics, 14, 2, 139–151.  Bollerslev, T., and H. O. Mikkelsen (1999) Long-term equity anticipation securities and stock market volatility dynamics, Journal of Econometrics, 92, 75–99. Bollerslev, T., and H.O. Mikkelsen (1996) Modeling and pricing long memory in stock market volatility, Journal of Econometrics, 73, 1, 151–184.  Bollerslev, T., R.F. Engle and D.B. Nelson (1994) ARCH models, in: Engle, R.F., and D.L. McFadden (eds), Handbook of Econemetrics, Vol. IV, North Holland, Amsterdam, pp. 2959–3038.  Bollerslev, T., R.F. Engle and J.M. Wooldridge (1988) A capital asset pricing model with time-varying covariances, Journal of Political Economy, 96, 1, 116–131.  Bollerslev, T., R.Y. Chou and K.P. Kroner (1992) ARCH modeling in finance: A Review of the theory and empirical evidence, Journal of Econometrics, 52, 5–59.  Brada, Josef C, and Jose A. Mendez. 1988. Exchange Rate Risk, Exchange Rate Regime and the Volume of International Trade, Kyklos 41, 263-280. Chordia, T., R. Roll and Subrahmanyam, A. (2001) Market Liquidity and Trading Activity. Journal of Finance, 56, 501-530. Clarida, R., and J. Gali. 1994. Sources of Real Exchange Rate Fluctuations: How Important Are Nominal Shocks, NBER Working Paper no. 4658. Clark, P. (1973) A subordinated stochastic process model with finite variance for speculative prices, Econometrica, 41, 135–156. Cournot, Recherches sur les principes mathematiques de la theorie des richesses, 1838 Davidian, Marie and Raymond J. Carroll, 1987, 1079-91 Delias and Zilberfarb (1993), Exchange Rate Volatility, Sectoral Trade, and the Aggregation Bias Diebold, Francis X. 1988. Empirical Modeling of Exchange Rate Dynamics. NY: Springer Verlag. Diebold, Francis X.; Andrew Hickman, Atsushi Inoue and Til Schuermann. 1998. “Scale Models,” RISK Magazine 11, 104–107. Diebold, Francis X. and Jose A. Lopez. 1995. “Modelling Volatility Dynamics,” in Macroeconomics: Developments, Tensions and Prospects. Kevin D. Hoover, ed. Boston, Dordrecht, and London: Kluwer Academic, 427–66. Ding, Zhuanxin; Clive W.J. Granger, and Robert F. Engle 1993, A long Memory Property of Stock Market Returns and A New Model, 83-106 Engle, R., and K.F. Kroner (1995) Multivariate simultaneous generalized ARCH, Econometric Theory, 11, 122–150.  Engle, R.F. (1993) Statistical models for financial volatility, Financial Analysts Journal, 49, 1, 72–78.  Engle, R.F., and G.J. Lee (1999) A long-run and short-run component model of stock return volatility, in: Engle, R.F., and H. White (ed.), Cointegration, Causality and Forecasting, Oxford University Press, Oxford, Chapter 10, pp. 475–497.  Engle, R.F., and T. Bollerslev (1986) Modelling the persistence of conditional variances, Econometric Reviews, 5, 1–50.  Engle, R.F., and V.K. Ng (1993) Measuring and testing the impact of news on volatility, Journal of Finance, 48, 1749–1778. Engle, R. F., V. Ng and M. Rothschild (1990) Asset pricing with a factor-ARCH covariance structure: Empirical estimates for Treasury Bills, Journal of Econometrics, 45, 213–239 F. Black and M. Scholes, ‘‘The Pricing of Options and Corporate Liabilities,’’ Journal of Political Economy, 81 (Май/Июнь 1973): 637–59; R.C. Merton, ‘‘Theory of Rational Option Pricing,’’ Bell Journal of Economics and Management Science, 4 (1973): 141–83 Fat Tail Risk: What It Means and Why You Should Be Aware Of It // Nasdaq URL: https://www.nasdaq.com/articles/fat-tail-risk-what-it-means-and-why-you-should-be-aware-it-2015-11-02 Fleming, J. M. 1962. Domestic Financial Policies under Fixed and under Floating Exchange Rates, IMF Staff Papers 12, 369-380. Forecasting Volatility in Financial Markets: A Review Ser-Huang Poon and Clive W. J. Granger, 2003 Forex Factory URL: https://www.forexfactory.com/ Franke, G. 1991. Exchange Rate Volatility and International Trading Strategy, Journal of International Money and Finance 10, 292-307. Frankel, Jeffrey, and Shang-Jin Wei. 1993. Trade Blocs and Currency Blocs, NBER Working Paper no. 3644. G. M. Ljung and G. E. P. Box, ‘‘On a Measure of Lack of Fit in Time Series Models,’’ Biometrica, 65 (1978): 297–303. Gagnon, Joseph E. 1989. Adjustment Costs and International Trade Dynamics, Journal of International Economics 26, 327-344.  Gagnon, Joseph E. 1993. Exchange Rate Variability and the Level of International Trade, Journal of International Economics 34, 269-287. Gallant, A. Ronald; Peter E. Rossi, George Tauchen 1993, Nonlinear Dynamic Structures, Econometrica 61:4, 871-907 Garman, Mark B. and Michael J. Klass 1980, On the Estimation of Security Price Volatilities from Historical Data, J. Bus, 53:1, 67-58 Gaussian White Noise, Jon A. Wellner, 2003 Geir H. Bjønnes Dagfinn Rime Haakon O.Aa. Solheim, 2003. Volume and volatility in the FX market: Does it matter who you are? Glosten, L.R., R. Jagannathan and D.E. Runkle (1993) On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of Finance, 48, 1779–1801. Gotur, Padma. 1985. Effects of Exchange Rate Volatility on Trade: Some Further Evidence, IMF Staff Papers 32, 475-512 Harris M.A. and Raviv A. (1993). Differences of opinion make a horse race. Review of Financial Studies, 6(3), 473–506 Ian W. Marsh and Ceire O'Rourke, 2005, Customer Order Flow and Exchange Rate Movements: Is There Really Information Content? International Journal of Applied Econometrics and Quantitative Studies Vol.3-1 (2006) Echange Rate Volatility and Trade: A Literature Survey Ozturk, Ilhan  Investing URL: https://ru.investing.com/economic-calendar/. Jean-Marie Viaene and Casper de Vries, International trade and exchange rate volatility, European Economic Review, 1992, vol. 36, issue 6, 1311-1321 Joel Hasbrouck and Duane J. Seppi, Common factors in prices, order flows, and liquidity, Journal of Financial Economics, 2001, vol. 59, issue 3, 383-411 Joel Hasbrouck, Journal of Finance, 2009, vol. 64, issue 3, 1445-1477 John C. H 2012, Options, Futures and Other Derivatives, 348; 544-546 John Knight, Stephen Satchell, 2007, Forecasting Volatility in the Financial Markets, 16 Joseph Berkson, Application of the Logistic Function to Bio-Assay, Journal of the American Statistical Association, Vol. 39, No. 227 (Sep., 1944), pp. 357-365 Kroner, Kenneth F., and William D. Lastrapes. 1993. The Impact of Exchange Rate Volatility on International Trade: Reduced Form Estimates Using the GARCH-inMean Model, Journal of International Money and Finance 12, 298-318. Krugman, P. 1991. Geography and Trade, Cambridge, MA: MIT Press.  Krugman, P. 1993. Thinking about Exchange Rate Determination and Policy, in The Exchange Rate, International Trade and the Balance of Payments, ed. A. BlundellWignall, Reserve Bank of Australia, Sydney.  Krugman, P., and M. Obstfeld. 1991. International Economics: Theory and Policy, New York: HarperCollins. Lastrapes, William D., and Faik Koray. 1990. Exchange Rate Volatility and U.S. Multilateral Trade Flows, Journal of Macroeconomics 12 (Summer), 341-362. Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums, Loriano Mancini, Angelo Ranaldo and Jan Wrampelmeyer Liquidity in the Interdealer Foreign Exchange Market // Reserve Bank of Australia URL: https://www.rba.gov.au/publications/bulletin/2008/dec/pdf/bu-1208-1.pdf Ľuboš Pástor and Robert F. Stambaugh, Liquidity Risk and Expected Stock Returns, Journal of Political Economy, Vol. 111, No. 3 (June 2003), pp. 642-685 (44 pages) Marston, Robert. 1990. Pricing to Market in Japanese Manufacturing, Journal of International Economics 29, 217-236.  Marston, Robert. 1995. International Financial Integration: A Study of Interest Rate Differentials between the Major Industrial Nations, Cambridge: Cambridge University Press. Martin Evans and Richard Lyons, Order Flow and Exchange Rate Dynamics, Journal of Political Economy, 2002, vol. 110, issue 1, 170-180 McKenzie, M., and R. Brooks. 1997. The Impact of Exchange Rate Volatility on GermanUS Trade Flows, Journal of International Financial Markets, Institutions, and Money 7, 73-88. McNown, R., and M. S. Wallace. 1989. National Price Levels, Purchasing Power Parity, and Cointegration: A Test of Four High Inflation Economies, Journal of International Money and Finance 8, 533-546. Modern Portfolio Theory: Foundations, Analysis, and New Developments, Jack Clark Francis, Dongcheol Kim Mundell, R. 1960. The Monetary Dynamics of International Adjustment under Fixed and Flexible Exchange Rates, Quarterly Journal of Economics 74, 227-257. Mundell, R. 1961. A Theory of Optimum Currency Areas, American Economic Review 51,657-665.  Mundell, R. 1963. Capital Mobility and the Stabilization Policy under Fixed and Flexible Exchange Rates, Canadian Journal of Economics and Political Science 29, 509- 517.  Nelson, Daniel B. 1991, Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica 59:2, 347-70 Nelson, Daniel B. 1992 Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model. Econometrics 52, 61-90 R. Engle ‘‘Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation,’’ Econometrica, 50 (1982): 987–1008 Ravi Kant Jain 2001, Putting Volatility to Work, 2 Risk and Volatility: Econometric Models and Financial Practice // The Nobel Prize URL: https://www.nobelprize.org/prizes/economic-sciences/2003/engle/facts/ Robert F. Engle III // The Nobel Prize URL: https://www.nobelprize.org/prizes/economic-sciences/2003/engle/facts/ Rogers. S. E. Satchell. "Estimating Variance From High, Low and Closing Prices 1991 Samuelson P. Theoretical Notes on Trade Problems // Review of Economics and Statistics. 1964. № 46. Р. 335–346.  Sanford J. Grossman and Joseph E. Stiglitz, On the Impossibility of Informationally Efficient Markets, The American Economic Review, Vol. 70, No. 3 (Jun., 1980), pp. 393-408 Schwert 1989, Why Does Stock Market Volatility Change Over time? Ser-Huang Poon 2005, A Practical Guide to Forecasting Financial Market Volatility, 20; 25 Tauchen, George and Mark Pitts 1983, The Price Variability-Volume Relationship on Speculative Markets, Econometrica 51, 485-505 The Journal of Business, 1963, vol. 36, 420, Fama (1963, 1965) и Mandelbrot (1963) Volatility Models // Kevin Kotzé URL: https:// https://kevinkotze.github.io/ts-12-volatility/ Ways to estimate volatility // IVolatility URL: https://www.ivolatility.com/help/4.html Wiggins, James B. 1987, Option Values Under Stochastic Volatility: Theory and Empirical Estimates Yakov Amihud, Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets, 2002, vol. 5, issue 1, 31-56     
В статье, опубликованной в журнале Econometrics, утверждается, что «некоторые экономисты считают, что волатильность цен на рынке акций является более важным фактором, чем волатильность валютных курсов». В статье утверждается, что «волатильность цен на рынке акций является более важным фактором, чем волатильность валютных курсов», и что «некоторые экономисты считают, что волатильность цен на рынке акций является более важным фактором, чем волатильность валютных курсов».