?
Extracting global stochastic trend from non-synchronous data.
Bank of Finland Institute for Economies in Transition
,
2013.
No. 15.
Korhonen I., Peresetsky A.
We use a Kalman filter type model of financial markets to extract a global stochastic trend from the discrete non-synchronous data on daily stock market index returns of different stock exchanges. The model is tested for robustness. In addition, we derive “most important” hours of world financial market and estimate the relative importance of local versus global news for different stock markets. The model generates results that are consistent with intuition.
Keywords: transition economiesfinancial market integrationstock market returnsинтеграция финансовых рынковпереходные экономикидоходности финансовых рынковKalman filterфильтр Калманаemerging stock marketsglobal stochastic trendstate space modelnonsynchronous dataглобальный стохастический тренднесинхронные данныеразвивающиеся фондовые рынки
Publication based on the results of:
Peresetsky A., Yakubov R., / University Library of Munich, Germany. Series "MPRA Paper". 2015. No. 64579.
In this paper a Kalman-filter type model is used to extract a global stochastic trend from discrete nonsynchronous data on daily stock market index returns from different markets. The model allows for the autocorrelation in the global stochastic trend, which means that its increments are predictable. It does not necessarily mean the predictability of market ...
Added: June 21, 2015
Peresetsky A., Yakubov R., International Journal of Computational Economics and Econometrics 2017 Vol. 7 No. 1-2 P. 152-169
In this paper, a Kalman filter-type model is used to extract a global stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets. The model allows for the autocorrelation in the global stochastic trend, which means that its increments are predictable. It does not necessarily mean the predictability of market ...
Added: January 4, 2017
Дурдыев Р.И., Peresetsky A., Прикладная эконометрика 2014 Т. 35 № 3 С. 39-58
Korhonen and Peresetsky (2013) suggested a new Kalman-filter type model of financial markets to extract a global stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets. We extend this model to allow the correlation between increments of this global trend on neighbor intervals. Existence of that non-zero correlation is ...
Added: September 22, 2014
Peresetsky A., / University Library of Munich, Germany. Series "MPRA Paper". 2011. No. 41508.
In this paper we empirically test the dependence of the Russian stock market on the world stock market, world oil prices and Russian political and economic news during the period 2001-2010. We find that oil prices are not significant after 2006, the Japan stock index is significant over the whole period, since it is the ...
Added: March 16, 2013
Pogorelova P., Peresetsky A., Прикладная эконометрика 2020 Т. 57 С. 53-71
In this paper, the Kalman linear filter method is used to decompose non‐synchronous observations of the realized volatility of financial indices (NIKKEI 225, FTSE 100, S&P 500) into unobservable global and local components. It is shown that the volatility of the New York S&P 500 index is a global component, while the Tokyo NIKKEI 225 ...
Added: August 26, 2020
Korhonen I., Peresetsky A., / Bank of Finland Institute for Economies in Transition. Series DP "BOFIT Discussion Papers". 2013. No. 4.
We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10–2012:02. We also consider three Eastern Euro-pean stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South Africa). We apply a rolling regression to identify ...
Added: March 18, 2013
Korhonen I., Peresetsky A., Emerging Markets Finance and Trade 2016 Vol. 52 No. 7 P. 1210-1225
We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10--2012:02. We also analyze countries that can be considered to be relatively similar to Russia, e.g., Poland, the Czech Republic, and South Africa. First, we apply a rolling regression to identify periods when ...
Added: August 12, 2016
Grigoryeva L., Ortega J., Peresetsky A., Econometrics and Statistics 2018 Vol. 5 P. 67-82
A method based on various linear and nonlinear state space models used to extract global stochastic financial trends (GST) out of non-synchronous financial data is introduced. These models are constructed in order to take advantage of the intraday arrival of closing information coming from different international markets so that volatility description and forecasting is improved. ...
Added: January 12, 2018
Asaturov K. G., Экономика и математические методы 2015 Т. 51 № 4 С. 59-75
The paper examines dynamic systematic risk nature of Indian companies in the frame of the market model. The closing weekly prices of 89 Indian stocks and BSE 100 Index as the market index during the period from January 2000 to December 2013 are analyzed with rolling OLS, multivariate GARCH models, semiparametric regression and a Kalman ...
Added: December 5, 2015
Grigoryeva L., Ortega J., Peresetsky A., / University Library of Munich, Germany. Series "MPRA Paper". 2015. No. 64503.
This paper introduces a method based on the use of various linear and nonlinear state space models that uses non-synchronous data to extract global stochastic financial trends (GST). These models are specifically constructed to take advantage of the intraday arrival of closing information coming from different international markets in order to improve the quality of ...
Added: June 21, 2015
Berlin : LIT Verlag, 2009
The historical changes in Central and Eastern Europe demanded suitable paths for the transition from centrally planned to market based economies. The lack of relevant experience added to the challenge, giving rise to the incalculable risks of implementing untested policies. By focusing on monetary policy, trade, and convergence, this volume addresses some of the most ...
Added: August 1, 2013
Peresetsky A., International Journal of Computational Economics and Econometrics 2014 Vol. 4 No. 1/2 P. 82-95
In this paper, we empirically test the dependence of the Russian stock market on the world stock market, world oil prices and Russian political and economic news during the period 2001–2010. We find that oil prices are not significant after 2006, and the Japan stock index is significant over the whole period, since it is ...
Added: March 23, 2014
Voskoboynikov I., Comparative Economic Studies 2016
Post-transition Central and East European economies (CEEs) had similar stylized facts of development before transition, which are extensive growth, distorted structure and technological backwardness. However, after transition country specific origins of growth, such as natural resources abundance or development of institutions, could dominate. Are sources of labor productivity growth in these economies similar or idiosyncratic? ...
Added: October 23, 2015
Peresetsky A., Turmuhambetova G., Urga G., Emerging Markets Review 2001 Vol. 2 No. 1 P. 1-16
This study analyzes two issues related to the GKO futures market in Russia in 1996 and 1997. First, we evaluate the existence of a risk premium in this market. We show its existence providing a functional form for the premium. The main result is that risk premium depends positively on the time before delivery of ...
Added: April 16, 2018
Muravyev Alexander, Europe-Asia Studies 2014 Vol. 66 No. 8 P. 1270-1294
This article is a first systematic study of employment protection legislation in the 15 successor states of the USSR over the last two and a half decades. The analysis is based on new and unique data assembled using OECD methodology. We find that the dynamics of employment protection in the region resemble an inverted U-shaped ...
Added: September 25, 2014
Gimpelson V. E., Kapeliushnikov R., Lukyanova A., Labour 2010 Vol. 24 No. 3(09) P. 311-332
In order to remain competitive, firms need to keep the quantity and composition of jobs close to optimal for their given output. Since the beginning of the transition period, Russian industrial firms have been widely reporting that the quantity and composition of hired labour is far from being close to optimal. This paper discusses what ...
Added: December 5, 2012
Lukyanova A., / Высшая школа экономики. Series EC "Economics". 2011. No. 09.
The available minimum wage literature is mostly based on evidence from developed countries or developing countries of Latin America. Little empirical work has been done on the effects of minimum wages in transition economies, where labour institutions experienced rapid changes and law enforcement differs in many important ways. This paper presents the first empirical evidence ...
Added: August 28, 2012
Lehmann H., Muravyev Alexander, Economics of Transition and Institutional Change 2012 Vol. 20 No. 2 P. 235-269
This paper studies the relationship between labour market institutions and policies and labour market performance using a new and unique dataset that covers the countries of Eastern Europe and Central Asia, which in the last two decades experienced
radical economic and institutional transformations. We document a clear trend towards liberalization of labour markets, especially in the ...
Added: September 19, 2014
Alexander Yu. Apokin, Irina B. Ipatova, / National Research University Higher School of Economics. Series WP BRP "Basic research program". 2016. No. 142.
This paper investigates the factors behind the recent growth slowdown (so-called Secular Stagnation) in the US, the euro area and Japan using the metrics of potential output growth. Specifically, our results offer limited support for an impaired credit transmission channel hypothesis (Reinhart and Rogoff, 2009a), while not supporting a supply slowdown hypothesis (Gordon, 2012). We ...
Added: September 9, 2016
Shepotylo O., Comparative Economic Studies 2012 Vol. 54 No. 3 P. 661-688
This paper looks at the urban development of transition countries in 1991–2010, primarily focusing on the last decade. Cities in transition face a unique set of challenges that came forth due to interplay of the legacy of socialist urban policies and the transition to the market economy. The socialist urban policies restrained growth of the ...
Added: November 18, 2013
Dmitriy Veselov, Matkovskaya V., / Высшая школа экономики. Series WP BRP "Economics/EC". 2022. No. 254.
This paper presents an analysis of the welfare convergence among 27 transition economies based on the evaluation of a micro-based summary statistic combining income, consumption, leisure, life expectancy, and inequality (Jones & Klenow, 2016). The results show that the countries of the former Soviet Union significantly diverged from the standard of living of developed states ...
Added: November 21, 2022
Cohen S., Gurkov I. B., International Journal of Business Research 2005 Vol. 3 No. 1 P. 15-35
The paper demonstrates the applicability of Data Envelopment Analysis (DEA) and its supplementation by other methods, to an efficiency analysis of the post-liberalization recovery among a small selection of privatized companies in Russia. The twenty privatized companies studied share the same setting. The analysis groups them into better performing and less performing companies. Opinion surveys ...
Added: March 14, 2016
Gimpelson V. E., Kapeliushnikov R., Lukyanova A., / IZA. Series "IZA Discussion Paper". 2009. No. 3934.
In order to remain competitive, firms need to keep the quantity and composition of jobs close to the optimal for their given output. Since the beginning of the transition period, Russian industrial firms have been widely reporting that the quantity and composition of hired labor is far from being close to optimal. This paper discusses ...
Added: May 14, 2013
Voskoboynikov I., / University of Groningen. Series GD "GGDC Research Memorandum". 2012. No. 123.
Russia is an important part of the world economy both now and in the past. Indeed, one would expect an abundance of studies on Russian economic development. In the past, growth and performance in planned economies vis-à-vis the Western world did attract much attention. These types of studies contributed to two revolutions of development thinking, ...
Added: November 15, 2012