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Regular version of the site
Of all publications in the section: 104
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Article
Садыков И., Ершов Э. Б. Экономика и математические методы. 1986. Т. XXII. № 6.
Added: Sep 22, 2010
Article
Левин М. И., Покатович Е. В. Экономика и математические методы. 2012. Т. 48. № 1. С. 44-55.

The effectiveness of various countermeasures against illegal activities and corruption is analyzed in a situation when law enforcement is performed by corrupt policemen, while the probability of punishment and the size of bribe are supposed to be determined endogenously. In particular, the effect of increased punishment (fi ne) and greater amount of resources allocated to combat these offenses is examined.

Added: Aug 31, 2012
Article
marquese di Beccaria C. Экономика и математические методы. 2002. Т. 38. № 4. С. 37-38.
Added: Apr 5, 2013
Article
Матвеенко В. Д. Экономика и математические методы. 2009. Т. 46. № 2. С. 105-115.
Added: Jan 25, 2010
Article
Фридман А. А. Экономика и математические методы. 1994. Т. 30. № 1.
Added: Jan 20, 2010
Article
Курочкин С. В. Экономика и математические методы. 2016. Т. 52. № 2. С. 103-111.
Added: Aug 19, 2016
Article
Макаров В. Л., Афанасьев А. А., Лосев А. А. Экономика и математические методы. 2011. Т. 47. № 1. С. 3-27.

The authors developed a computable general equilibrium model which describes the channels for money circulation in the Russian economy. Authors conducted scenario computations, in particular, dealing with the impact of monetary, credit and currency policy of the Central Bank on the major macroeconomic indicators of the national economy, and on the real and financial sector. The main instruments for monetary, credit and currency policy were refinancing rate and rouble interventions of the Bank of Russia at internal currency market. The model was used by industrial departments of the Bank of Russia, of the Ministry of Finance and the Ministry of Economic Development. It was applied for the analysis and forecast of dynamics of economic development of the Russian Federation, as well as for determination of the optimal credit, monetary, tariff and budget policy of the Russian government.  

Added: Feb 4, 2013
Article
Коссов В. В. Экономика и математические методы. 1991. Т. 27. № 3.
Added: Sep 27, 2010
Article
Катышев П. К., Эйсмонт О. А. Экономика и математические методы. 2010. Т. 46. № 2.
Added: Nov 1, 2010
Article
Асатуров К. Г. 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 filter. According to the results for the analyzed period, in 44 out of 89 cases Kalman Filter is the best model, while semiparametric regressions - in the other 45 cases. What concerns the forecasted period, for 41 out of 89 stocks multivariate GARCH models surprisingly outperform both semiparametric models  (33 out of 89) and a Kalman Filter technique (15 out of 89). Moreover, analysis of betas dynamic shows that for 5% significance level 59 and 62 out of 89 time-varying betas processes are non-stationary according to ADF and Philips-Perron tests respectively and only one of the processes is stationary according to KPSS test.

Added: Dec 5, 2015
Article
Курочкин С. В. Экономика и математические методы. 2018. Т. 54. № 2. С. 71-88.

The Treynor–Black (TB) model seems to be the first active portfolio managenent model to give the direct answer to the problem of how a portfolio manager should incorporate analysts’ estimates in her/his portfolio structure. Concerning the assets’ returns probabilities distributions W. Sharpe Diagonal Model was taken here as an assumption. In this article I analyze the qualitative dynamics of the stock market under the dynamic version of the TB model, assuming all the investors apply the TB model to their portfolios. A similar assumption is made in CAPM, where market stability and pricing relations are deduced supposing all investors have equal access to information and use Modern Portfolio Theory in their portfolio decisions. I also show, how one should recalculate analysts’ target prices to alphas in TB model. The study of the related dynamic system reveals that the TB model produces stable pricing only for the big companies: about 10% market capitalization and more. These findings are then compared to the empirical data on market/target (the latter according to analysts’ consensus forecasts) prices for the Russian Blue Chips. It turns out that actual price dynamics usually shows steady gaps between target and market price while the model price should increasingly oscillate around the target. The likely interpretation is: the market does not trust analysts’ forecasts.The Treynor–Black (TB) model seems to be the first active portfolio managenent model to give the direct answer to the problem of how a portfolio manager should incorporate analysts’ estimates in her/his portfolio structure. Concerning the assets’ returns probabilities distributions W. Sharpe Diagonal Model was taken here as an assumption. In this article I analyze the qualitative dynamics of the stock market under the dynamic version of the TB model, assuming all the investors apply the TB model to their portfolios. A similar assumption is made in CAPM, where market stability and pricing relations are deduced supposing all investors have equal access to information and use Modern Portfolio Theory in their portfolio decisions. I also show, how one should recalculate analysts’ target prices to alphas in TB model. The study of the related dynamic system reveals that the TB model produces stable pricing only for the big companies: about 10% market capitalization and more. These findings are then compared to the empirical data on market/target (the latter according to analysts’ consensus forecasts) prices for the Russian Blue Chips. It turns out that actual price dynamics usually shows steady gaps between target and market price while the model price should increasingly oscillate around the target. The likely interpretation is: the market does not trust analysts’ forecasts.

Added: Aug 10, 2018
Article
Пресняков В. Ф., Вересков А., Зотов В. и др. Экономика и математические методы. 2012. Т. 48. № 2. С. 3-14.
Added: Apr 10, 2013
Article
Пресняков В. Ф. Экономика и математические методы. 2008. Т. 44. № 4.
Added: Nov 8, 2008
Article
Емельянов А. М., Брюхова О. О. Экономика и математические методы. 2015. Т. 51. № 3. С. 41-53.

The article presents the reasons for withdrawal of licenses from the Russian commercial banks in the post-crisis period from 01 January 2010 to 31 December 2011. Logistic regression is used to predict the financial stability of the banks. The model is built on the basis of monthly balance sheet statements, taken five months before observing the status of the bank. The impact of unbalanced sample on the forecasting accuracy of the model is also discussed.

Added: Jan 1, 2016
Article
Уринсон Я. М., Мацнев Д., Клоцвог Ф. Н. Экономика и математические методы. 1984. № 5.
Added: Nov 29, 2010
Article
Дюсуше О. М. Экономика и математические методы. 2003. № 1.
Added: Apr 10, 2009
Article
Коротаев А. В., Малков А. С., Халтурина Д. А. Экономика и математические методы. 2008. Т. 44. № 4. С. 90-101.
Added: Mar 9, 2013
Article
Уринсон Я. М., Горюшин О., Матлин И. и др. Экономика и математические методы. 1984. № 3.
Added: Nov 29, 2010
Article
Панова Анна Алексеевна Экономика и математические методы. 2017. Т. 53. № 4. С. 62-74.

In this paper we study the influence of academic and administrative contracts on the quality of hiring in the case when the choice of an academic position is a strategic one for a professor. Successful functioning of a university requires effective hiring. Since the talent of candidates at academic market is often unobservable for the university executive, the hiring is delegated to those who are better informed. Usually the most informed agents are heads of departments. In some universities such administrative positions are permanent, while in others universities there is a regular rotation. Moreover in higher education both short term academic contracts and tenure contracts are present. Using a game theoretical model we study the emergence of moral hazard in hiring under different contract systems. We show that professors with low level of academic talent do not want to risk their career in case of a short academic term contract. Use of a short term administrative contract in this case negatively affects their stimulus for hiring more talented candidates, hence, the development of university is hindered. It is shown that both tenure contract and long term administrative contact without a right of termination permit to mitigate this problem and result in hiring of more talented candidates. The constructed model provides a possible explanation for rotation of heads of department in some universities and for existence of practically permanent heads of department in other universities

Added: Oct 20, 2017
Article
Смирнов С. В. Экономика и математические методы. 1985. Т. 21. № 3. С. 407-414.
Added: Dec 8, 2014