In the paper, we propose a spectral approach to estimation of the long-memory effect in time series and its practical application for oil prices analysis. (in Russian)

We perform an econometric analysis of cointegration of the Brent oil price and general and industrial indices of the RTS and MICEX stock exchanges. Positive relation between the oil price and the MICEX industrial index for an oil sector. It is interesting to note that a cointegration between the...

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)