This paper is following lectures given in 2010 at the Department of Economics of the European University at St. Petersburg in frameworks of the course Socio-economic statistics (module Natural resource statistics). (in Russian)

A huge size of an oil market and its relation to economic growth and global wealth distribution make the oil an unique commodity. Oil price prediction is associated with plans of development of states as well as firms. Jumps in oil prices influence world economy similarly to natural disasters of...

In our paper, we use the gravity model of the international trade to estimate the effect of the future WTO ascension for Russia based on the current WTO effect for Russia's WTO trade partners. Starting from Rose's specification, we constructed several progressively exact models. Nevertheless,...

We investigate macroeconomics effects of an oil price in Russia in 2000-2010. We find long-run relations associating the oil price, the GDP, the CPI and the interbank interest rate. (in Russian)

A dynamic stochastic general equilibrium (DSGE) model with endogenous defaults of firms is developed. Proposed mechanism of defaults is very flexible. It takes into account amount of assets owned by firms. It suggests that banks receive some payment from firm after default. The model is...

In this paper, we make two contributions to the MSV literature. First, we propose two new MSV models that account for leverage effects. Second, we compare the small sample performances of Quasi Maximum Likelihood (QML) and Monte Carlo Likelihood (MCL) methods through Monte Carlo studies for...

This article suggests new approach to approximation of moments of nonlinear DSGE models. These approximations are fast and accurate enough to use them for estimation of parameters of nonlinear DSGE models. A small financial DSGE model is repeatedly estimated by several approaches. Approximations...

This paper develops an axiomatic theory of an economic variable average growth rate (average rate of change) measurement. The structures that we obtain generalize the conventional measures for average rate of growth (such as the difference quotient, the continuously compounded growth rate, etc.)...

We consider the problem of finding a valid covariance matrix in the FX market given an initial non-PSD estimate of such a matrix. The standard no-arbitrage assumption implies additional linear constraints on such matrices, which automatically makes them singular. As a result, one cannot just...

A number of methods has already been proposed for creating a valid correlation matrix in finance. However, such methods do not normally take into account additional restrictions on matrix elements imposed by specific non-arbitrage conditions in some markets, e.g. foreign exchange (FX). I suggest...