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The Fluke Of Stochastic Volatility Versus Garch Inevitability : Which Model Creates Better Forecasts?
Lakshina, Valeria V. - National Research University Higher School of Economics - 2014
stochastic volatility models, which were estimated based on Russian financial data. The data includes Aeroflot and Gazprom … transform for the in-sample comparison, and a Mincer-Zarnowitz regression, along with classical forecast performance measures … to the conclusion that stochastic volatility models perform equally or in some cases better than GARCH models. …
Persistent link: https://www.econbiz.de/10011098900
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Improving prediction of stock market indices by analyzing the psychological states of twitter users
Porshnev, Alexander; Redkin, Ilya; Shevchenko, Alexey - National Research University Higher School of Economics - 2013
In our paper, we analyze the possibility of improving the prediction of stock market indicators by conducting a sentiment analysis of Twitter posts. We use a dictionary-based approach for sentiment analysis, which allows us to distinguish eight basic emotions in the tweets of users. We compare...
Persistent link: https://www.econbiz.de/10010723284
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Do unobserved components models forecast inflation in Russia?
Gafarov, Bulat - National Research University Higher School of Economics - 2013
I apply the model with unobserved components and stochastic volatility (UC-SV) to forecast the Russian consumer price …
Persistent link: https://www.econbiz.de/10010717771
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How Well do Analysts Predict Stock Prices? Evidence from Russia
Penikas, Henry; Proskurin S. - National Research University Higher School of Economics - 2013
In this research we found that 56.8% of expert recommendations on selling or buying stocks of Russian companies were profitable. We show that the recommendations being publically released have an impact on stock prices, hence market players are likely to follow the recommendations. There also no...
Persistent link: https://www.econbiz.de/10010720487
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Comparison of default probability models: Russian experience
Karminsky, Alexander; Kostrov, Alexander; Murzenkov, Taras - National Research University Higher School of Economics - 2012
Under the Basel II accord, improving probability of default models is a key risk-management priority. There are four main aspects of this research: suggesting the bank default classification; using a wide time horizon (quarterly Russian banking statistics from 1998 to 2011); investigating the...
Persistent link: https://www.econbiz.de/10010720486
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On Linearity Of Transaction Costs In Order Driven Market
Andreev, Nikolay A. - National Research University Higher School of Economics - 2014
We research the properties of implicit transaction costs function for general-shaped limit order book. Equivalent conditions for linearity of the function are presented in terms of market liquidity. We also present a suitable functional form of implicit costs for order-driven market on the...
Persistent link: https://www.econbiz.de/10011098911
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Asymmetric exchange-rate exposure in BRIC countries
Dranev, Dranev Yury; Babushkin, Maxim - National Research University Higher School of Economics - 2014
except Russia. For a better understanding of the sources of asymmetry in exchange rate exposure, we separately studied the …
Persistent link: https://www.econbiz.de/10010737384
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The Effectiveness Of Different Trading Strategies For Price-Takers
Egorova, Liudmila G. - National Research University Higher School of Economics - 2014
Simulation models of the stock exchange are developed to explore the dependence between a trader’s ability to predict future price movements and her wealth and probability of bankruptcy, to analyze the consequences of margin trading with different leverage rates and to compare different...
Persistent link: https://www.econbiz.de/10010762477
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The Underwriting, Choice And Performance Of Government-Insured Mortgages In Russia
Ozhegov, Evgeniy M. - National Research University Higher School of Economics - 2014
This paper analyzes the mortgage borrowing process from a Russian state-owned provider of residential housing mortgages concentrating on the choice of having government insurance. This analysis takes into account the underwriting process and the choice of loan limit by the bank, the choice of...
Persistent link: https://www.econbiz.de/10010782169
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Forecasting Moscow Ambulance Trips
Bykov, Filipp; Gordin, Vladimir A. - National Research University Higher School of Economics - 2015
This paper presents a method and computational technology for forecasting ambulance trips. We used statistical information about the number of the trips in 2009-2013, the meteorological archive, and the corresponding archive of the meteorological forecasts for the same period. We take into...
Persistent link: https://www.econbiz.de/10011220339