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Finance and Credit
 

Prediction of crises based on study of index pressure on currency market: determination of critical value of index by using the theory of extreme values and the Markov model

Vol. 19, Iss. 18, MAY 2013

Available online: 23 May 2013

Subject Heading: Financial system

JEL Classification: 

Fedorova E.A. Doctor of Economic, Associate Professor, Department "Financial Management", the Financial University under the Government of the Russian Federation
ecolena@mail.ru

Lytkina O.A. Leading Expert of Department "Operation of Information Systems", State Insurance Company "Yugoria"
oleziki@mail.ru

In the article the methodological approaches to definition of an index of pressure upon the currency market (EMP) and scope of application are considered. The critical border for values of an index of currency pressure of economy of the Russian Federation according to the theory of extreme values and modeling by means of Markov's (regime-switching GARCH) model is defined. The conclusion is drawn that the received results can be used when forecasting crisis situations in the Russian Federation.

Keywords: exchange market pressure (EMP), developing countries, Russian financial market, theory of extreme values, Markov model, prediction of crises

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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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