Emerging markets often go through periods of financial turbulence and the estimation of market risk measures may be problematic. Online search queries and implied volatility may (or may not) improve the model estimates. In these situations a step-by-step analysis with R and Russian market data...

Sornette et al. (1996), Sornette and Johansen (1997), Johansen et al. (2000) and Sornette (2003a) proposed that, prior to crashes, the mean function of a stock index price time series is characterized by a power law decorated with log-periodic oscillations, leading to a critical point that...

The article deals with a recent and much up to date field of econometric science not yet known to the Russian reader — financial econometrics. Terminology and concepts of different kinds of risk management as well as methods of its measurement are considered in the paper. The article is a...

The ex-ante forecast of the SP500 index discussed in Fantazzini (2010a), covering the time sample 14/04/2009 - 09/10/2010, and originally submitted to the Economics Bulletin on the 15/05/2009 is analyzed. It is found that the realized values of the SP500 index trailed the forecasted values quite...