Generalized autoregressive conditional heteroscedasticity in-mean model allows accounting for both time-varying variance and risk premium in financial time series data. This paper introduces an extension of this particular model with more flexible parameterization of the way variance enters the...

An article about the selecting stocks that can bring the greatest profit. This topic remains relevant among the players of the stock market and people who want to earn on the sale of securities. In this article the author analyzes the changes in stock prices during the crisis period, predicts...

This article is focused on analysis of foreign banks expansion to Russian banking sector and its influence on sector's basic indicators. It compares banking sectors of developing countries to find out the most attractive ones for further increasing of foreign investment. Then it analyses the...

Russian Abstract: Тенденции 2021 г. и начала 2022 г. подтверждают репутацию рынка акций российских компаний как одного из самых доходных и волатильных рынков в мире. Новым...

Russian Abstract: В течение последних двух лет на фондовые рынки России и США пришли миллионы новых частных инвесторов, однако их численность в Российской Федерации...

This paper examines the relationship between the Russian ruble/US dollar exchange rate and global oil prices using autoregressive model with Markovian regime shifts. Empirical analysis on daily data for 2009–2019 shows that exchange rate dynamics is best described by three regimes,...

Analysis of fundamental factors of the CBR’s exchange rate lay at the basis of this publication. The authors review papers which address problems of index construction of real effective exchange rate as well as models of evaluation of the real equilibrium exchange rate. They also analyze...

In this paper we analyze the relationship between the real Russian ruble exchange rate and real oil prices using the error correction model with Markov regime switching, which allows for changes in exchange rate policy. We find that during the period 1999-2018 real exchange rate dynamics was...

The study compares the explanatory power of two alternative long-term determinants of the real effective exchange rate of the Russian ruble, oil prices and oil export revenues, in three variants of the error correction model. The linear model shows that during the period of managed nominal...

The paper estimates vector error correction model (VECM) for the real ruble exchange rate and the real oil prices. The VECM model takes into account the structural break in short run parameters due to monetary policy regime change in November 2014. Estimates show that the real exchange rate...