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Economic Analysis: Theory and Practice
 

Analysis of dependence in gold prices and the RTS index for the Russian market, identifying crisis periods

Vol. 11, Iss. 44, NOVEMBER 2012

Available online: 29 November 2012

Subject Heading: ECONOMIC-MATHEMATICAL MODELING

JEL Classification: 

Fyodorova E.A. PhD in Economics, Associate Professor of department "Financial Management", the Financial University under the Government of the Russian Federation
ecolena@mail.ru

Cherepennikova J.G. Finance manager, Ltd "Optimizm.ru"
yulya4y@yandex.ru

By means of the Markov Switch GARCH model research of changes of an index of RTS and the price for gold is carried out, their interrelation is revealed, and also the special behavior is noted them during the crisis periods. This work is carried out for the first time for the Russian market and is particularly relevant as the orientation of the Russian market till today is raw.

Keywords: gold price, RTS index, Markov model, GARCH model, crisis period

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ISSN 2311-8725 (Online)
ISSN 2073-039X (Print)

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