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25 January 2021
OECD Outlook Examines the Effects of the Pandemic on Science, Technology, and Innovation
Times of Crisis and Opportunity is the title of the OECD Science, Technology and Innovation (STI) Outlook published in January. The document focuses on STI responses to the pandemic while assessing the impact of the COVID-19 crisis on science and technology. Mikhail Gershman, Deputy Director of the Centre of Science, Technology, Innovation and Information Policy, discusses the contribution of the Institute of Statistical Studies and Economics of Knowledge (ISSEK) to the Outlook and discusses some aspects of ISSEK’s long-standing partnership with OECD.
20 January 2021
Taming the ‘Black Swan’: Who Will Win the Fight Against the CoronaCrisis
Countries with reserve currencies, sufficient fiscal capacity to implement soft fiscal policies, and access to global capital markets have the best chance of recovering from the coronavirus crisis. The rest may need external assistance. These are the conclusions drawn by Alexei Kireyev, leading IMF economist and visiting professor at HSE University’s School of World Economy.
19 January 2021
Middle-Class Russians Reduce Spending When It Comes to Themselves but Not Their Children
Middle-class Russians are more likely to reduce spending on the development of their own human capital and prioritize investing in their children instead, particularly when it comes to their children’s education. This is evidenced by a study conducted by the Centre for Studies of Income and Living Standards of HSE University.

Working paper

Применение процессов Хоукса для прогнозирования финансовых рисков

Математические методы анализа решений в экономике, бизнесе и политике. WP7. Издательский дом ВШЭ, 2017. № 02.
Егорова Л. Г., Климюк И. Ю.
We consider models of forecasting shocks in stock markets that take into account the endogenous nature of such phenomena on the basis of Hawkes processes. The intensity of the Hawkes processes depends on previous events, that allow modeling the clustering effect. The models were tested on the S&P500 stock index and the USD/RUB currency pair and are capable to predict some financial crashes.
Priority areas: IT and mathematics
Language: Russian
Full text (PDF, 2.60 Mb)
Keywords: Hawkes proccessmathematical modelling of economic processes
Publication based on the results of: Analysis, choice and decision making in socio-economic, political and financial spheres: new models, methods and algorithms(2017)
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