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Автокорреляция в глобальном стохастическом тренде
Прикладная эконометрика. 2014. Т. 35. № 3. С. 39-58.
Дурдыев Р.И., Peresetsky A.
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.
Peresetsky A., Yakubov R., International Journal of Computational Economics and Econometrics 2017 Vol. 7 No. 1-2 P. 152-169
In this paper, a Kalman filter-type model is used to extract a global stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets. The model allows for the autocorrelation in the global stochastic trend, which means that its increments are predictable. It does not necessarily mean the predictability of market ...
Added: January 4, 2017
Korhonen I., Peresetsky A., / Bank of Finland Institute for Economies in Transition. Series DP "BOFIT Discussion Papers". 2013. No. 15.
We use a Kalman filter type model of financial markets to extract a global stochastic trend from the discrete non-synchronous data on daily stock market index returns of different stock exchanges. The model is tested for robustness. In addition, we derive “most important” hours of world financial market and estimate the relative importance of local ...
Added: July 21, 2013
Peresetsky A., Yakubov R., / University Library of Munich, Germany. Series "MPRA Paper". 2015. No. 64579.
In this paper a Kalman-filter type model is used to extract a global stochastic trend from discrete nonsynchronous data on daily stock market index returns from different markets. The model allows for the autocorrelation in the global stochastic trend, which means that its increments are predictable. It does not necessarily mean the predictability of market ...
Added: June 21, 2015
Pogorelova P., Peresetsky A., Прикладная эконометрика 2020 Т. 57 С. 53-71
In this paper, the Kalman linear filter method is used to decompose non‐synchronous observations of the realized volatility of financial indices (NIKKEI 225, FTSE 100, S&P 500) into unobservable global and local components. It is shown that the volatility of the New York S&P 500 index is a global component, while the Tokyo NIKKEI 225 ...
Added: August 26, 2020
Grigoryeva L., Ortega J., Peresetsky A., / University Library of Munich, Germany. Series "MPRA Paper". 2015. No. 64503.
This paper introduces a method based on the use of various linear and nonlinear state space models that uses non-synchronous data to extract global stochastic financial trends (GST). These models are specifically constructed to take advantage of the intraday arrival of closing information coming from different international markets in order to improve the quality of ...
Added: June 21, 2015
Grigoryeva L., Ortega J., Peresetsky A., Econometrics and Statistics 2018 Vol. 5 P. 67-82
A method based on various linear and nonlinear state space models used to extract global stochastic financial trends (GST) out of non-synchronous financial data is introduced. These models are constructed in order to take advantage of the intraday arrival of closing information coming from different international markets so that volatility description and forecasting is improved. ...
Added: January 12, 2018
Peresetsky A., International Journal of Computational Economics and Econometrics 2014 Vol. 4 No. 1/2 P. 82-95
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 ...
Added: March 23, 2014
Khanin D. G., Novozhilova T. N., Управление общественными и экономическими системами 2006 № 2
Политика современного российского инвестора должна строиться с учетом процессов глобализации финансовых рынков и взаимовлияния различных сфер экономики. В связи с этим при управлении портфелем должно приниматься во внимание снижение эффекта от международной диверсификации вложений вследствие глобализации реального сектора и необходимость соблюдения национальных экономических интересов. Предложен принцип построения сбалансированного портфеля на основе внутренних ценных бумаг. ...
Added: December 26, 2012
Peresetsky A., / University Library of Munich, Germany. Series "MPRA Paper". 2011. No. 41508.
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, the Japan stock index is significant over the whole period, since it is the ...
Added: March 16, 2013
Korhonen I., Peresetsky A., Emerging Markets Finance and Trade 2016 Vol. 52 No. 7 P. 1210-1225
We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10--2012:02. We also analyze countries that can be considered to be relatively similar to Russia, e.g., Poland, the Czech Republic, and South Africa. First, we apply a rolling regression to identify periods when ...
Added: August 12, 2016
Asaturov K. G., 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 ...
Added: December 5, 2015
Korhonen I., Peresetsky A., / Bank of Finland Institute for Economies in Transition. Series DP "BOFIT Discussion Papers". 2013. No. 4.
We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10–2012:02. We also consider three Eastern Euro-pean stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South Africa). We apply a rolling regression to identify ...
Added: March 18, 2013
Lukin A., Kashin V., Сравнительная политика 2019 Т. 10 № 2 С. 135-151
The authors argue that Russian-Chinese rapprochement is a fundamental feature of the current changing system of international relations. The two countries are effectively enabling each other to conduct independent foreign policies often in direct opposition to the West. There is a degree of complementarity between the two sides with Russia having comparative advantage in the ...
Added: May 25, 2019
Seniuk N., Де Грут З. Й., Outlines of Global Transformations: Politics, Economics, Law 2019 Vol. 12 No. 6 P. 94-129
This article is devoted to studying the motives, preferences, and market entry barriers for Russian high-tech start-ups and small innovative enterprises (SIE) that took part in the “Startup Village” event held at Skolkovo Innovation Centre in May 2019. Due to limitations in neoclassical theories, corporate motivation at the micro-level cannot be accurately quantified. Thus, this ...
Added: November 6, 2019
Tatyana Meshkova, Moiseichev E. Y., Journal of Innovation and Entrepreneurship 2016 Vol. 5 No. 1 P. 1-35
The objective of this paper is to analyse the scope for improving empirical and methodological foundation of global value chain (GVC) research and for making relevant political decisions, primarily through application of foresight methodology based on the latest trend to combine the approaches of global value chain and national innovation system research. The authors choose ...
Added: February 17, 2016
М. : Издательский дом ГУ-ВШЭ, 2009
Сборник составлен по итогам IX Международной научной конференции «Модернизация экономики и глобализация», организованной Государственным университетом - Высшей школой экономики при участии Всемирного банка и Международного валютного фонда и проходившей 1-3 апреля 2008 г. в Москве. Рассматриваются проблемы глобализации, мировой экономики и культуры, макроэкономическая политика в условиях глобализации, вопросы государственного и муниципального управления, демократические институты, политика ...
Added: August 31, 2012
Rozmainsky I. V., Економiчний Вiсник Донбасу 2012 № 4(22) С. 34-42
Heterodox – Post Keynesian and Institutionalist - economics proves that expansion of financial sector can be harmful for the real sector. Such conclusion is an effect of account of variability of preferences, planning horizons and degree of rationality in the behavior of economic agents. We suppose that both methodology and conclusions of Heterodox Economics can ...
Added: December 26, 2012
Tokareva M. S., Vishnevskiy K., Чихун Л. П., Бизнес-информатика 2018 № 3 С. 62-78
This study presents the analysis of one of the major contemporary transformational forces – the Internet of Things (IoT), which significantly influences the future development of all spheres of life. The purpose of the research is to identify the potential economic effects of IoT implementation in different markets. To achieve this goal, the following tasks ...
Added: November 29, 2018
Ларионова М., Вестник международных организаций: образование, наука, новая экономика 2009 № 2 С. 1-4
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Представляем Вашему вниманию первые результаты исследовательского проекта«Европейский союз как коллективный актор в международном пространстве: Европейский путь создания глобального общественного блага на основе формирования многосторонних партнерств и опоры на международные институты». Проект выполняетсяпри поддержке Европейской комиссии в рамках Программы развития Европейских исследований «Жан Моне».
В работе отражается динамика роли ЕС в процессах глобального управления, представлен анализ ...
Added: April 4, 2013
Chirkova E. V., Корпоративные финансы 2010 № 3(15) С. 63-72
The article represents a review of the different theories of financial bubbles developed within modern financial theory. It is a concluding article in a series of three articles devoted to the theoretical foundations of financial bubbles. The previous articles are published in the e-journal The Corporate Finance, vol. 13-14, # 1-3, 2010. ...
Added: October 27, 2012
Volodin S., Skiba A., Валютное регулирование. Валютный контроль 2017 № 3 С. 52-59
When analyzing the issues of takeover procedure, accompanied by acquisition of large blocks of shares, voluntary and mandatory offer to acquire publicly trading shares as well as squeeze out mechanisms, a lot of questions regarding minority shareholders’ roles in such procedures come up. In fact, the problem of their protection becomes the main issue for discussion. The ...
Added: May 7, 2017
NY : Routledge, 2012
This book seeks to “re-think democracy.” Over the past years, there has been a tendency in the global policy community and, even more widely, in the world’s media, to focus on democracy as the “gold standard” by which all things political are measured. This book re-examines democracy in Russia and in the world more generally, ...
Added: December 10, 2012
Pokrovsky N., Вестник Института Кеннана в России 2007 № 12 С. 27-43
Понятие «глобализация» нередко употребляется для обозначения различных, часто несхожих явлений, а его смысл подчас оказывается неясным. Однако подобная универсальность может таить в себе известную проблематичность. А существует ли глобализация вообще? Не есть ли она общее метафорическое название совершенно различных процессов, в том числе существовавших в мире с незапамятных времен? С научной точки зрения вопрос о ...
Added: October 14, 2013
М. : Издательский дом ГУ-ВШЭ, 2009
Сборник составлен по итогам IX Международной научной конференции «Модернизация экономики и глобализация», организованной Государственным университетом - Высшей школой экономики при участии Всемирного банка и Международного валютного фонда и проходившей 1-3 апреля 2008 г. в Москве. Рассматриваются проблемы глобализации, мировой экономики и культуры, макроэкономическая политика в условиях глобализации, вопросы государственного и муниципального управления, демократические институты, политика ...
Added: January 16, 2013