Extensive exploration of simulation models comes at a high computational cost, all the more when the model involves a lot of parameters. Economists usually rely on random explorations, such as Monte Carlo simulations, and basic econometric modeling to approximate the properties of computational...

This paper presents the total least squares quasi-Monte Carlo approach (TLSQM) for valuing American barrier options, which modifies the least-squares Monte Carlo method (LSM). The total least squares are applied to estimate the conditional expected payoff to the option holder from continuation,...

We compare yields of the leading Russian managed funds with the MICEX index using different approaches to estimate the evaluation period of a fund manager. It is shown that in some special models the MICEX index can not be considered as a benchmark to compare different funds, and at the end of...

The aim of this research is to identify the process that guides the evolution of inflation expectations in Russia. The significance of this theoretical issue is stipulated by the fact that the characteristics of this process are the key determinants of both inflation dynamics and the...

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...

New models to forecast the real price of oil on the basis of macroeconomic indicators and Google search data are proposed. A large-scale out-of-sample forecasting analysis comparing the different models is performed. It is found that models including both Google data and macroeconomic aggregates...

In this paper, we consider multivariate models for returns on Russian equities based on normal distribution, t-distribution with scalar degrees of freedom parameter and t-distribution with vector degrees of freedom parameter. Our models capture autocorrelation, volatility clustering, dynamic...

This paper presents the general economic equilibrium model of the Republic of Kazakhstan. The model includes eight macroagents. Four of the macroagents, Household, Producer, Bank, Owner, are described by optimisation problems. The other four macroagents follow prescribed scenarios. All agents...

This paper represents an empirical research of the growth process in the Russian banking sector during 2004-2010 years. The growth process is modelled by Markov chains. Nine states were used to describe the growth process. Markov chain stationarity check revealed three homogeneous periods. The...

This paper presents a support system for economic modelling (ECOMOD). This system uses the computer algebra system Maple and supports both numerical computations and analytical study of models. It also controls for correctness balances and dimensions of a model. ECOMOD was successfully applied...