Financial Analytics: Science and Experience

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Financial Analytics: Science and Experience

31(121) - 2012 August

Forecasting of crisis for Russian financial market by oil prices and exchange rate

Vol. 5, Iss. 31, AUGUST 2012

Available online: 19 August 2012

Subject Heading: MATHEMATICAL METHODS OF ANALYSIS IN ECONOMY

JEL Classification:

Fedorova E.A. PhD in Economic Sciences, Associate Professor of department "Financial Management", the Correspondence Financial and Economic Institute of the Financial University under the Government of the Russian Federation
ecolena@mail.ru

Ershova I.A. Student of department "Financial Management", the Correspondence Financial and Economic Institute of the Financial University under the Government of the Russian Federation
irasik88@mail.ru

Shapovalova V.A. Student of department "Financial Management",, the Correspondence Financial and Economic Institute of the Financial University under the Government of the Russian Federation
verok32@yandex.ru

Cherepennikova Y.G. Student of department "Financial Management",, the Correspondence Financial and Economic Institute of the Financial University under the Government of the Russian Federation
yulya4y@yandex.ru

In the article crisis conditions by means of an assessment of interrelation of the price for oil and a dollar exchange rate are predicted. The analysis is carried out on the basis of economic modeling, Markov Switch GARCH is used. The similar assessment is carried out for the first time for the Russian market and is relevant as the orientation of the Russian economic market remains now raw.

Keywords: price for oil, US dollar exchange rate, Markov's model, GARCH model, crisis period

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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