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Copula-Based Univariate Time Series Structural Shift Identification Test
Издательский дом ВШЭ
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2012.
An approach is proposed to determine structural shift in time-series assuming non-linear dependence of lagged values of dependent variable. Copulas are used to model non-linear dependence of time series components. Several nice properties of copula application to time series are discussed. To identify the break copula structural shift test is applied. Data on quarterly GDP growth rate for the US from 1947 till 2012 is used as an empirical example. It is shown that the proposed approach captures the recession of 1981-1982 as the key break date in GDP growth rate series time structure that cannot be identified by standard time series structural break tests.
Merikas A., Merika A., Penikas H. I., Procedia Computer Science 2013 Vol. 17 P. 1125-1133
The paper is the first to the knowledge of the authors to apply copula models to reconstructing joint distribution of time charter rates for dry bulk ship. Based on the Clarksons dataset for the last 20 years it is claimed that Gumbel copula is enough to perform the mentioned objective. To arrive at the conclusion ...
Added: June 11, 2013
Malakhov D., Stankevich I., - 2016
We propose new GARCH model, which have two separate errors - negative and positive shocks, which are connected by copula. First estimation results showed, that this model, despite of very complicated routine of likelihood function maximizing, outperformed standard models. ...
Added: October 16, 2015
Ханьков И. О., Penikas H. I., / University of Pavia. Series DEM "Department of Economics and Management Working Paper Series". 2015. No. 113.
Research is devoted to examination of the classifier, based on copula discriminant analysis (CODA). Performance of the classification of this algorithm was assessed. On samples, modelled with some typical features of corporate default data, sensitivity of the classifier was tested, to sample size, to default rate and to different patterns of variables’ interdependence. Alternative copula ...
Added: January 11, 2016
Mariya T., Финансы и бизнес 2021 Т. 17 № 1 С. 52-76
Nowadays there are few researches which investigate the pricing methods for structured products which depend on several underlying assets and no researches devoted to this topic in the case of Russian market. The aim of this article is to estimate fair value of first-to-default structured notes based on Russian issuers CDS and to conclude is ...
Added: October 20, 2020
Portanskiy A., США и Канада: экономика, политика, культура 2010 № 4 С. 19-36
Economic crisis in globalized world made inevitable forging of a system of governance which would prevent the international community from large scale upheavals in future. The 2008-2009 summits of G-20 gave hope of a possibility to form a global political leadership. So far the system of international governance is being mapped up and appears in ...
Added: October 3, 2012
Portanskiy A., Problems of Economic Transition 2012 Vol. 55 No. 1 P. 63-77
The article discusses the current state and perspectives of Russia's accession to the World Trade Organization. ...
Added: March 18, 2013
Ayvazyan S. A., Andrievskaya I. K., Penikas H. I. et al., Review of Applied Socio-Economic Research 2011 Vol. 1 No. 1 P. 70-80
The world financial crisis of 2008-2009 has shown that the existence of systemically important financial institutions (SIFIs) poses serious policy challenges to both developed and developing economies’ authorities. As for now there are different approaches to identifying SIFIs focused on contagion, concentration, correlation and conditions effects. The paper aims at testing a new approach to ...
Added: November 3, 2013
Klochko O., Manuylov I., Мировая экономика и международные отношения 2019 № 4 С. 14-21
Participation of a country in global value chains is highly dependent on types of interaction with its major trading partners. The purpose of current research is to uncover the US influence on the Canadian pharmaceutical industry insertion into global value chains. The first part of the analysis is devoted to key trends of the US ...
Added: March 14, 2019
Penikas H. I., Журнал Новой экономической ассоциации 2010 № 7 С. 24-44
The paper aims at introducing copula-models' concepts and its application to solving such financials programs as risk measurement, risk hedging, portfolio optimization, derivatives pricing and duration models evaluation. For the purpose the copula definition is firstly introduced. Then different copula families, model estimation and inference techniques are discussed. A detailed review of relevant literature is ...
Added: November 6, 2012
Ацканов И. А., Прикладная эконометрика 2015 Т. 4 № 40 С. 84-105
This paper proposes a procedure for dynamic optimization of an investment portfolio, consisting of stock market indices. SJC-copulas were used to assets statistical characteristics of assets. Copulas allow to measure interdependence between financial instruments, and to build an efficient investment portfolio. Since statistical characteristics of assets are changing with time, the structure of the portfolio ...
Added: February 3, 2016
Portanskiy A., Международная экономика 2019 № 2 С. 21-32
The author analysis he results of the first half of D. Trump's presidential term, including the domestic economic sphere, trade policy, foreign policy, as well as the specific style of the President in team building. Over the first two years, Trump has improved a number of economic indicators of the country, but positive trends are ...
Added: June 9, 2019
Semeko G. V., Экономика образования 2007 № 6 С. 49-72
Added: January 27, 2017
СПб. : Скифия-Принт Санкт-Петербург, 2020
монографии раскрыты особенности трансформации международной торговой системы накануне пандемии коронавирусной инфекции COVID-19 и выделены возможные направления данных преобразований, акцентировано внимание на необходимости прекращения деструктивных по своим глобальным последствиям торговых войн, развитии новых проектов международного сотрудничества, таких как «Пояс и путь». Для наращивания экспортного потенциала национальных экономик предложено акцентировать внимание на новых сферах межгосударственного взаимодействия, таких ...
Added: February 5, 2021
Васильев Д. В., Shcherbakov D., Shcherbakova A., Латинская Америка 2020 № 12 С. 26-36
The paper examines the key changes that have occurred in Sino-Brazilian economic cooperation under the trade war between Beijing and Washington. The authors pay special attention to the changes in the structure of trade in Brazil and China, as well as the major trends in investment cooperation between the countries. The authors concluded that China ...
Added: October 23, 2020
Sinitsyn M., Жуков С. В., Масленников А. О., Контуры глобальных трансформаций: политика, экономика, право 2019 № 6 С. 43-70
Начав экспорт сжиженного природного газа (СПГ) в 2016 г.; США всего через два года стали четвертым крупнейшим его мировым экспортером и, с высокой вероятностью, закрепятся в ближайшем будущем в качестве третьего крупнейшего экспортера СПГ после Австралии и Катара. В фокусе настоящей статьи - анализ факторов, которые поддерживают глобальную конкурентоспособность американского СПГ в перспективе 2030 г. ...
Added: August 18, 2020
Penikas H. I., Andrievskaya I. K., Model Assisted Statistics and Applications 2012 Vol. 7 No. 4 P. 267-280
According to the strategy of the banking system development until 2015, the Central Bank of Russia is going to implement Basel II Internal-Ratings-Based (IRB) approaches in 2015, while Basel III is planned to be introduced in full starting from 2019. Taking into account the effects of the Basel II regulation during the crisis 2008-2009, in ...
Added: November 6, 2012
Lanshina T., Вестник международных организаций: образование, наука, новая экономика 2012 № 4 С. 151-170
Обладая большим экономическим потенциалом и политическим влиянием, США исторически играли одну из ведущих ролей в таких важных неформальных международных институтах, как «Группа восьми» и «Группа двадцати». В 2012 г. эта страна внесла особенно существенный вклад в формирование решений «Группы восьми», так как она являлась председателем этого форума. Принимая во внимание то, что последствия глобального экономического ...
Added: February 14, 2013
Smirnov S. V., Экономический журнал Высшей школы экономики 2010 Т. 14 № 2 С. 185-201
The article demonstrates that cyclical fluctuation of industrial outputs (consumer products, equipments, materials and supplies) have important, specific features in Russian and US's economies. The result allows to better understand the formation of business cycles of national economies within their structural peculiarity. Based on statistical analysis of physical industrial output (for Russia relevant indexes were ...
Added: October 13, 2012
М. : ИМЭМО РАН, 2016
The collection of extended analytical reports presented at the international conference of young scholars “Transformation of World Energy: Market Mechanisms and State Policy” organized by Center of Energy Studies, IMEMO RAN and Faculty of International Energy Business, Gubkin Russian State Oil and Gas University in April, 2016. Undergraduate and postgraduate students of leading Russian universities ...
Added: August 31, 2016
Lakshina V. V., Экономический журнал Высшей школы экономики 2016 Т. 20 № 1 С. 156-174
This paper studies the problem of calculation the dynamic hedge ratio for the portfolio consisted of two assets. Commonly it’s solved assuming that the investor’s risk aversion is infinite. Then the optimal hedge coefficient is equal to ratio of covariance of the hedged and hedging assets to the variance of the latter. It’s natural to ...
Added: October 15, 2015
Andreev M., Pilnik N., Pospelov I. G. et al., International Journal of Arts and Sciences 2013 Vol. 06 No. 1 P. 125-145
This paper presents a three-product dynamic model of Russian economy. The calculation of the model comes to a boundary problem on a long interval of time for a rigid dynamic system. Thus development of a supercomputer algorithm method is required. The model describes complete system of balances of uniform labor, three products (export, import and ...
Added: January 20, 2014
Kudrov V. M., М. : Магистр, 2011
Пособие содержит характеристику и сравнительный анализ основных современных моделей социально-экономического развития разных стран мира. Особое внимание обращено на американскую, ряд европейских, японскую, южнокорейскую, индийскую и африканскую модели. Проанализиованы уровни и тенденции экономического развития главных капиталистических и постсоциалистических стран, а также социалистические модели и их трансформация на примере стран Восточной Европы и Китая. Большое внимание уделено ...
Added: February 13, 2013
Kurichev N., Известия РАН. Серия географическая 2014 № 2 С. 31-42
The case study of United States shows that global economic processes signifi cantly infl uence location of
manufacturing. Analysis of multidimensional data covering 1860–2010 shows several stylized facts. Increasing
intensity of U.S. involvement in global economy leads with a certain time lag to the growth of spatial
polarization of U.S. manufacturing. Calculations show that the less is interregional ...
Added: September 24, 2019
Portanskiy A., Промышленник России 2011 № 12 С. 26-28
Прошло около 4 месяцев с того момента, как Россия стала полноправным членом Всемирной торговой организации. Никаких резких изменений ни в экономике, ни в повседневной жизни людей не произошло. И это вполне естественно – заметные эффекты от присоединения к ВТО в основном сказываются не сразу, а по крайней мере по прошествии 5 и более лет. Тем ...
Added: February 21, 2013