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Financial Analytics: Science and Experience
 

Conditional ICAPM: assessment of global and local risks of the russian stock market and stock markets of the BRIK countries

Vol. 4, Iss. 40, OCTOBER 2011

Available online: 29 October 2011

Subject Heading: Securities market

JEL Classification: 

Fedorova E.A. PhD in Economics, associate professor of the financial management department, All-Russian Distance Institute of Finance and Economics
ecolena@mail.ru

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

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

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