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Time-varying beta of Russian companies
Journal of Applied Economic Sciences. 2016. Vol. XI. No. 8(46). P. 1624–1642.
Asaturov K. G.
This paper examines the dynamic beta of Russian companies within the framework of the market model. The closing weekly prices of 29 Russian stocks, six Russian sector indices and the MICEX Index as a market index during the period from January 2009 to June 2015 are used to estimate time-varying beta using various econometric techniques. According to the results for the analyzed period, semiparametric regressions are confirmed to be the most effective model. As regards the forecast period, multivariate GARCH models surprisingly outperform all the other methods. An analysis of beta dynamics shows that most of time-varying betas are non-stationary.
Sizykh N., Sizykh D., , in: 2025 18th International Conference on Management of Large-Scale System Development (MLSD).: IEEE, 2025. P. 1–4.
This paper examines methods for analyzing structural changes in investment portfolios and proposes new approaches for assessing turnover and the effectiveness of their rebalancing. The study aims to systematize and adapt statistical indicators of structural shifts for analyzing the dynamics of securities portfolios, as well as to develop methodologies for assessing the proportion of changes ...
Added: February 1, 2026
Rechmedina S., Haniev A., Suhih V., Вестник Московского университета. Серия 6: Экономика 2025 Т. 60 № 3 С. 40–62
Periods of high market volatility put investors in a situation where conventional decision- making methods are less reliable. To improve returns, market participants need to understand which factors play a big role in portfolio formation. This article analyzes the determinants of Russian stock returns during the Covid-19 and the rise in geopolitical tension in 2022. ...
Added: December 11, 2025
Nazarova V., Churakova I., Suvorova M., The Journal of the New Economic Association 2024 No. 2 (63) P. 117–143
This research investigates the Russian stock market response to COVID-19 pandemic and compares how the reactions to it varied among the industries. The event study and Wavelet coherence were applied to answer the research question. It was discovered that the Russian stock market in general had a strong negative reaction to the COVID-19 outbreak. However ...
Added: July 1, 2024
Ruzhanskaya L., Voytenkov V., Urazbaeva A. et al., Journal of Corporate Finance Research 2022 Vol. 16 No. 2 P. 44–55
In the face of complex sanctions, Russian companies are looking for new mechanisms to ensure sustainability. An over - crowded corporate news backdrop could be the source for a significant decline in a company’s market value or growth. Given the importance of information disclosure and corporate news for investors’ expectations, we estimate the effect that ...
Added: December 29, 2023
Deryugina E., Maria Guseva, Alexey Ponomarenko, Journal of Central Banking Theory and Practice 2022 Vol. 11 No. 1 P. 87–104
We conduct a Monte Carlo experiment using an ad-hoc New Keynesian model and a tractable agent-based model to generate artificial credit cycle episodes. We show that fluctuations in the implicit measures of the natural rate of interest obtained using a conventional trivariate Kalman filter on these artificial datasets occur in the vicinity of credit cycle ...
Added: January 31, 2023
Teplova T., Tomtosov A., Sokolova T., Plos One 2022 Vol. 17 No. 12 Article e0276924
In this study, using AI, we empirically examine the irrational behaviour, specifically attentiondriven trading and emotion-driven trading such as consensus trading, of retail investors in an emerging stock market. We used a neural network to assess the tone of messages on social media platforms and proposed a novel Hype indicator that integrates metrics of investor ...
Added: January 16, 2023
Zinchenko D., Zinchenko A., E. Nikonov, Physics of Particles and Nuclei 2022 Vol. 53 No. 2 P. 519 –523
Although the start-up of the MPD experiment is still ahead, the work on the preparation and physics validation of the future detector upgrade program has already been initiated. As one of the possible MPD upgrade steps, an Inner Tracking System (ITS) based on the next generation silicon pixel detectors is being considered to be installed ...
Added: January 12, 2023
Marino L., Menozzi S., Priola E., Studia Mathematica 2022 Vol. 267 No. 3 P. 321–346
We consider a possibly degenerate Kolmogorov Ornstein–Uhlenbeck operator of the form L=Tr(BD2)+⟨Az,D⟩, where A, B are N×N matrices, z∈RN, N≥1, which satisfy the Kalman condition which is equivalent to the hypoellipticity condition. We prove the following stability result: the Schauder and Sobolev estimates associated with the corresponding parabolic Cauchy problem remain valid, with the same constant, for the parabolic Cauchy problem associated with ...
Added: November 10, 2022
Moiseev N., Sorokin A., Zvezdina N. et al., Mathematics 2021 No. 9(19) Article 2423
The research paper is devoted to developing a mathematical approach for dealing with time-varying parameters in rolling window logit models for credit risk assessment. Forecasting coefficients yields a better model accuracy than a trivial approach of using computed past statistics parameters for the next time period. In this paper, a new method of dealing with ...
Added: October 1, 2021
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
Lozinskaia A. M., Saltykova A., , in: Proceedings of the Fifth International Workshop on Experimental Economics and Machine Learning (EEML 2019),Perm, Russia, September 26, 2019Vol. 2479.: CEUR Workshop Proceedings, 2019. P. 32–45.
This paper is an empirical study of the changing nature of the dependence of fundamental factors on the stock market index, which is the trend identified earlier in the Russian stock market. We empirically test the impact of daily values of fundamental factors on the MOEX Russia Index from 2003 to 2018. The analysis of ...
Added: October 23, 2019
Agata M. Lozinskaia, Anastasiia D. Saltykova, / NRU Higher School of Economics. Series FE "Financial Economics". 2019. No. 77.
This paper studies how the influence of the fundamental factors on the Russian stock market changes retrospectively. We empirically test the impact of daily values of fundamental factors (indexes of foreign stock markets, oil price, exchange rate and interest rates in Russia and the USA) on the MOEX Russia Index over long time interval from ...
Added: October 16, 2019
Teplova T., Ruzanov D., Engineering Economics 2019 Vol. 30 No. 1 P. 32–40
Traditionally standard deviation has been considered as the main risk measure of an asset portfolio. The relevance of VaR analysis is widely recognized as an instrument for market risk quantification for investment decisions, asset allocation. Based on common practice VaR is estimated on 10-day basis and using 99% confidence interval. More accurate VaR estimation requires ...
Added: March 6, 2019
Ivlev N., Ovchinnikov M., Ivanov D. et al., Acta Astronautica 2014 Vol. 93 P. 23–33
The key-problems of design, examination, laboratory' and flight testing of the attitude determination and control system (ADCS) dedicated for a microsatellite arc considered. The system consists of three pairs of the reaction wheels, three magnetorquers, set of Sun sensors, three-axis magnetometer and a control unit. ADCS, on one hand, is subjected to the high accuracy ...
Added: June 8, 2018
Sergey Nikolayevich Volodin, Gennadii Mladenovich Kuranov, Alexey Pavlovich Yakubov, Scientific Annals of Economics and Business, Romania 2017 Vol. 64 No. 3 P. 271–287
The following research is dedicated to the analysis of political events’ impact on price dynamics of Russian stock market financial assets. In recent times, in line with the sharpening of internal and external political clashes, such events significantly affect the country’s financial system. However, this issue is insufficiently considered on Russian market. Constructed econometric GARCH ...
Added: September 7, 2017
Teplova T., Mikova E., Nazarov N., Quarterly Review of Economics and Finance 2017 Vol. 66 No. Novemb. P. 240–258
This paper proposes a new approach to decision making processes for investors to focus on factor investing and stock selection strategies on the national stock market by capturing the momentum effect (when two portfolios of past relative winners and past losers continue to beat a given benchmark for a certain period of time in the ...
Added: June 7, 2017
Volodin S., Шамина Ю. В., Валютное регулирование. Валютный контроль 2017 № 5 С. 42–53
The sector of collective investment plays an important role in attracting private savings for most countries. In Russia mutual funds have started their elaboration 20 years ago and it is already possible to evaluate the general tendency of this segment’s development. The analysis, conducted by the authors, shows that this field has serious problems, because ...
Added: May 22, 2017