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Regular version of the site
Of all publications in the section: 315
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Article
Беленький А. С. Экономический журнал Высшей школы экономики. 2009. Т. 13. № 1. С. 3-18.
Added: Oct 15, 2012
Article
Шашнов С. А., Суринов А. Е. Экономический журнал Высшей школы экономики. 2002. Т. 6. № 3. С. 324-342.
Added: Oct 31, 2012
Article
Макуев Н. Р., Шведов А. С. Экономический журнал Высшей школы экономики. 2011. Т. 15. № 3. С. 374-382.
Added: Oct 15, 2012
Article
Натхов Т. В. Экономический журнал Высшей школы экономики. 2011. Т. 15. № 3. С. 353-373.
In this paper we investigate the relationship between education and trust in Russia. Based on survey data of 68 regions of Russia our analysis showed that the average level of education in the region is the main variable that consistently correlated with the level of trust. At the individual level, education is the main predictor of trust, as well as participation in the non-profit organizations and associations. Controlling for unobserved individual characteristics, we estimated the marginal effect of education - each additional year of education increases the probability of a positive answer to the trust question of 5%. In addition, education produces significant positive externalities - an increase of one individual's level of education positively affects the probability of trust and social consensus estimate by another. Possible mechanisms for this connection include socialization during the learning process, accumulation of personal contacts and formation of shared values.
Added: Sep 3, 2012
Article
Бессонов В. А. Экономический журнал Высшей школы экономики. 1999. Т. 3. № 1. С. 42-81.
Added: Nov 5, 2012
Article
Бессонов В. А., Воскобойников И. Б. Экономический журнал Высшей школы экономики. 2006. Т. 10. № 2. С. 193-228.
Added: Oct 19, 2012
Article
Бессонов В. А. Экономический журнал Высшей школы экономики. 2004. Т. 8. № 4. С. 542-587.
Added: Oct 30, 2012
Article
Поспелов И. Г., Пильник Н. П. Экономический журнал Высшей школы экономики. 2007. Т. 11. № 1. С. 1-33.
Added: Dec 24, 2008
Article
Рамонов А. В. Экономический журнал Высшей школы экономики. 2011. Т. 15. № 4. С. 497-518.
Added: Oct 15, 2012
Article
Воскобойников И. Б. Экономический журнал Высшей школы экономики. 2004. Т. 8. № 1. С. 3-20.
Added: Oct 30, 2012
Article
Шведов А. С. Экономический журнал Высшей школы экономики. 2010. Т. 14. № 2. С. 227-243.

This paper examines two Markov chain Monte Carlo methods that have been widely used in econometrics. An introductory exposition of the Metropolis algorithm and the Gibbs sampler is provided. These methods are used to simulate multivariate distributions. Many problems in Bayesian statistics can be solved by simulating the posterior distribution. Invariance condition is of importance, the proofs are given for both methods. We use finite Markov chains to explore and substantiate the methods. Several examples are provided to illustrate the applicability and efficiency of the Markov chain Monte Carlo methods. They include bivariate normal distribution with high correlation, bivariate exponential distribution, mixture of bivariate normals.

 

Added: Oct 13, 2012
Article
Вельдяксов В. Н., Шведов А. С. Экономический журнал Высшей школы экономики. 2014. Т. 18. № 2. С. 328-344.
Added: Mar 9, 2015
Article
Лис А. И. Экономический журнал Высшей школы экономики. 2015. Т. 19. № 2. С. 290-303.

There is no accurate answer for the question, which method of modeling of uncertainty is preferable: random or fuzzy. Today both of these approaches are highly popular. Fuzzy and probabilistic approaches are commonly used for modeling of uncertainty. Fuzzy numbers can be used for modeling vagueness of parameters, such as risk-free rate or volatility in option pricing. Under these assumptions, option value depends on believe degree and turns to fuzzy number. In this paper the Black – Scholes formula and it’s modification for American option arbitrage-free value are used. Fuzzy representations of underlying asset price, volatility of asset price and risk-free rate are used as parameters. There is set of papers regarding fuzzy approach for European option pricing. In this paper fuzzy approach is used for arbitrage-free American option pricing for the first time. The fuzzy American call value is compared with fuzzy European option value.

Added: Apr 19, 2016
Article
Смирнов А. Д. Экономический журнал Высшей школы экономики. 1998. Т. 2. № 1. С. 3-30.
Added: Nov 5, 2012
Article
Булатов А. Э., Ларионов И. Н. Экономический журнал Высшей школы экономики. 2015. Т. 19. № 4. С. 505.-533.

We analyze optimal execution strategies when multiple traders are simultaneously involved in optimal execution. In this case, we obtain new trading strategies that follow from a direct extension of the mean variance approach of Grinold and Kahn, and Almgren and Chriss. However, as we show below, the proposed strategies can be quite different from the standard ones obtained in Grinold and Kahn, and Almgren and Chriss. This is because each trader (assumed to be rational) is trying to minimize her trading cost or "implementation shortfall" and therefore takes into account the price impacts caused by herself and all other traders. We also obtain a close form characterization for the dynamic Nash equilibrium in terms of the system of second-order ODEs, which can be solved explicitly. The resulting equilibrium strategies describe different types of predatory and defensive behavior, though aggregate order flow profile have some properties of standard Almgren, Chriss strategies, e.g. is monotoneous and convex. We show that the traders with smaller holdings are involved in predatory strategies, while traders with larger holdings tend to defend themselves against potential predators by following the delayed trading strategies. We also show that depending on liquidity and volatility parameters, predatory traders may be frontrunners or contrarian traders.

Added: Jan 24, 2016
Article
Артамонов С. Ю., Дятлов А. Н. Экономический журнал Высшей школы экономики. 1999. Т. 3. № 4. С. 529-542.
Added: Nov 5, 2012
Article
Аистов А. В. Экономический журнал Высшей школы экономики. 2005. Т. 9. № 2. С. 185-215.
Added: Sep 10, 2012
Article
Карабекян Д. С. Экономический журнал Высшей школы экономики. 2009. Т. 13. № 1. С. 19-34.
Added: Oct 15, 2012
Article
Яковлев А. А., Ткаченко А. В., Родионова Ю. Д. Экономический журнал Высшей школы экономики. 2016. Т. 20. № 2. С. 285-310.

This paper analysis the impact of centralized monitoring enlargement in a large public organization on incentives for efficient activity of organization’s departments, which have different levels of financial autonomy. We analyze the data of the large public organization during 2008-2013. The efficiency of departments’ activity was measured by competiveness of their procurements and delays in contract executions. All departments of the organization were classified as budget-funded departments and autonomous departments that have more financial autonomy. From the wide spectrum of procured goods we have selected two types of procured services that were often procured by autonomous and budget-funded departments: printing services and data collection services.

The results show that during the period of standard monitoring, the autonomous departments had more efficient procurements compared to the budget-funded departments. After enlargement of centralized monitoring the differences in performance indicators are insignificant for these types of departments. Our explanation for this result is that enlargement of centralized monitoring increases efficiency in budget-funded departments, but it may produce additional costs and decrease incentives for autonomous departments.

Added: Oct 14, 2015
Article
Белянин А. В., Бессонов В. А. Экономический журнал Высшей школы экономики. 2011. Т. 15. № 2. С. 265-267.
Added: Jan 28, 2013