Abstracting and IndexingРИНЦReferativny Zhurnal VINITI RAS Worldcat Google Scholar Online availableEastvieweLIBRARY.RU Biblioclub |
Conditional ICAPM: assessment of global and local risks of the russian stock market and stock markets of the BRIK countries
Available online: 29 October 2011 Subject Heading: Securities market JEL Classification:
In the article financial integration and financial risks of stock market of the Russian Federation and the countries BRICK by means of classical models of the theory of investments (IСAPM) and econometric modeling (GARCH-BEKK-model) are estimated. The received results of estimation can be taken as a principle formations of the international investment strategy. Keywords: CAPM, econometric, modeling, the finance, risk, integration, GARCH-BEKK-model, the countries BRICK |
ISSN 2311-8768 (Online)
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