This paper introduces a method based on the use of various linear and nonlinear state space models that uses non-synchronous data to extract global stochastic financial trends (GST). These models are specifically constructed to take advantage of the intraday arrival of closing information coming...

This paper formally proves that if inefficiency ($u$) is modelled through the variance of $u$ which is a function of $z$ then marginal effects of $z$ on technical inefficiency ($TI$) and technical efficiency ($TE$) have opposite signs. This is true in the typical setup with normally distributed...

In order to study the structure of society, sociologists usually distinguish several homogeneous social groups, or classes. The most common division consists of three groups: upper, middle and lower classes. Such a partition is traditionally based on a subjective (exogenous) criteria adopted by...

In this paper, we use unique nationally representative data from the 25th wave of Russia Longitudinal Monitoring survey, (RLMS-HSE) for 2016. Based on the survey data, we investigate the impact of sandwich generation caregiving on the health behavior of Russian women—their health behavior,...

Non-parametric estimates of technical efficiency of Russian banks are considered for each quarter in the period of 2002–2006. Two types of DEA estimates CCR (Charnes, Cooper, Rhodes, 1978) and BCC (Banker, Charnes, Cooper, 1984), are compared with parametric SFA estimates. Semiparametric...

The paper analyses cost efficiency of Russian banks. Models of banks' production function are developed using stochastic production function approach. We consider several models, and the models of particular interest are models, which include asset quality and risk-preferences as factors....

In this paper a Kalman-filter type model is used to extract a global stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets . The model allows for the autocorrelation in the global stochastic trend, which means that its increments are...