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Modeling of dynamic processes on the basis of markov's chain in management of complex economic systems

Ebinger A.G. graduate student of chair «The finance and the credit», Far-Eastern academy of public service ( ebinger-alexey@bk.ru )

Journal: Financial Analytics: Science and Experience, #31, 2011

In article the method of modeling of stochastic distribution of processes in some economic systems, based on a mathematical apparatus of Markov's chains is presented. The conclusion is drawn on efficiency of practical application of modeling on the basis of Markov's chains for acceptance of investment decisions and management of complex economic systems.


Forecast of a crisis state in stock market of the Russian Federation using Markov's model

Fedorova E.A. PhD in Economics, associate professor of department «Financial management», All Russian Correspondence Financial and Economic Institute ( ecolena@mail.ru )

Lytkina O.A. Leading specialist of department “Operation of information systems”, JSC " ( The State Insurance Company " )

Journal: Finance and Credit, #13, 2012

The method of forecasting of crises in the stock market is offered in the article. Dependence between an index of RTS and credit derivative by means of the regime-switching GARCH model (Markov's model) is investigated. The periods of change of the model from stable state of the economy in a crisis state for the last 7 years are revealed.


Identity crisis periods in CIS countries based index of pressure on foreign exchange market (EMPI) and model with Markov switching MS-DR

Fedorova E.A. Doctor of Economic Sciences, Professor of the Department of the Financial management, Financial University under the Government of the Russian Federation ( ecolena@mail.ru )

Afanasev D.O. Head of the Department, SAP NetWeaver of management of Information Technologies, JSC "M.Video Management" ( dmafanasyev@gmail.com )

Journal: Economic Analysis: Theory and Practice, #2, 2014

The article shows the research on identification of the crisis periods on the example of CIS countries on the basis of an index of pressure upon the currency market. The authors offer to use dynamic regression model with Markov switching MS-DR, allowing defining critical borders of an index of currency pressure. The results received in the work can be used for crisis forecasting for CIS countries, including for Russia.


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

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 )

Journal: Finance and Credit, #18, 2013

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.


2(353) - 2014 January

Journal: Finance and Credit, #,


31(73) - 2011 August

Journal: Finance and Credit, #,


Risky assets pricing in a fractal market

Markov A.A. Department of Mathematics, post-graduate, Finance Academy under the Government of the Russian Federation ( AAAMarkov@gmail.com )

Journal: Finance and Credit, #48, 2009

Within the framework of the research fractal properties of Russian and American stock markets are investigated. It is shown that the markets being analyzed do not contradict the assumptions of fractal market hypothesis.
     Risky assets are priced using the model based on the discrete approximation of fractional Brownian motion. Proportional transaction costs are brought into the model to exclude arbitrage. Upper and lower bounds of the fair prices for index future options are evaluated by this model.


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

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 )

Journal: Economic Analysis: Theory and Practice, #44, 2012

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.


Modeling of Taylor rule for monetary policy in Russia: empirical analysis

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

Lysenkova A.V. Applicant of the Department of Financial Management, the Financial University under the Government of the Russian Federation ( lysenkovaav@gmail.com )

Journal: Finance and Credit, #37, 2013

In the article by means of econometric modeling (model with Markov switching) research of a credit policy of the Russian Federation during the period from 2001 to 2011 on the basis of Taylor's rule is made. The assessment of policy of Bank of Russia with allocation of priorities of monetary policy is carried also out. New modification of the rule of Taylor, considering features of economy of the Russian Federation is offered.


13(493) - 2012 April

Journal: Finance and Credit, #,


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