Автокорреляция в глобальном стохастическом тренде
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 demonstrated. However it does not mean that it helps forecast daily returns of the stock indices itself, since the global stochastic trend is unobservable. Forecasting performance of the model with three stock markets is explored.
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 the nearest market index in terms of closing time to the Russian stock index. We find that political news like the Yukos arrests or news on the Georgian war have a short-term impact, since there are many other shocks. These factors confirm the structural instability of the Russian financial market.
This paper examines the dynamic beta of Russian companies within the framework of the market model. The closing weekly prices of 29 Russian stocks, six Russian sector indices and the MICEX Index as a market index during the period from January 2009 to June 2015 are used to estimate time-varying beta using various econometric techniques. According to the results for the analyzed period, semiparametric regressions are confirmed to be the most effective model. As regards the forecast period, multivariate GARCH models surprisingly outperform all the other methods. An analysis of beta dynamics shows that most of time-varying betas are non-stationary.
In this paper we consider the behavior of Kalman Filter state estimates in the case of distribution with heavy tails .The simulated linear state space models with Gaussian measurement noises were used. Gaussian noises in state equation are replaced by components with alpha-stable distribution with different parameters alpha and beta. We consider the case when "all parameters are known" and two methods of parameters estimation are compared: the maximum likelihood estimator (MLE) and the expectation- maximization algorithm (EM). It was shown that in cases of large deviation from Gaussian distribution the total error of states estimation rises dramatically. We conjecture that it can be explained by underestimation of the state equation noises covariance matrix that can be taken into account through the EM parameters estimation and ignored in the case of ML estimation.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.