Currency crises and structural breaks in autocorrelation on the BRICS’ stock markets

Identification of substantial changes in autocorrelation of BRICs’ stock markets index returns after experiencing these failures of financial systems in Russia, Brazil and Chinese. Testing for structural breaks in an ARMA-GARCH-model on the crisis dates.

Рубрика Экономико-математическое моделирование
Вид статья
Язык английский
Дата добавления 28.01.2017
Размер файла 25,7 K

Отправить свою хорошую работу в базу знаний просто. Используйте форму, расположенную ниже

Студенты, аспиранты, молодые ученые, использующие базу знаний в своей учебе и работе, будут вам очень благодарны.


Подобные документы

  • Условно–гауссовские модели финансовых индексов. Эволюция стоимости рискового актива. Модели GARCH, EGARCH, TGARCH, HARCH. Оценка стохастической волатильности. Условно-устойчивые и безгранично делимые распределения. Нелинейное хаотическое поведение цен.

    контрольная работа [517,9 K], добавлен 24.08.2015

  • Модель оценки долгосрочных активов (Capital Asset Pricing Model, САРМ). Оценка доходности и риска на основе исторических данных. Выбор оптимального портфеля из рискованных активов. Риск и неопределенность денежных потоков. Расчет бета-коэффициента.

    презентация [104,1 K], добавлен 30.07.2013

  • Mathematical model of the grinding grating bending process under the action of a meat product load parabolically decreasing along the radius. Determination of the deflection of a knife blade under the action of a parabolic load of the food medium.

    статья [1,3 M], добавлен 20.10.2022

  • The behavior of traders on financial markets. Rules used by traders to determine their trading policies. A computer model of the stock exchange. The basic idea and key definitions. A program realization of that model. Current and expected results.

    реферат [36,7 K], добавлен 14.02.2016

  • Main segments of the financial market: investment, loan, stock, insurance, foreign exchange markets. Top 10 currency traders of overall volume. Internationalization of the national currency. The ratio of US Dollar and Euro against ruble in 2009-2012.

    доклад [115,0 K], добавлен 14.12.2013

  • The stock market and economic growth: theoretical and analytical questions. Analysis of the mechanism of the financial market on the efficient allocation of resources in the economy and to define the specific role of stock market prices in the process.

    дипломная работа [5,3 M], добавлен 07.07.2013

  • Ensuring access to health care (on the example, Novo Nordisk). Comparison of of different companies: sales growth and margin, ROE, returns stock price. Relationship between ATM index and stock returns. Strategic pillars of the pharmaceutical companies.

    презентация [935,7 K], добавлен 18.10.2015

  • The causes and effects of the recent global financial crisis. Liquidity trap in Japan. Debt deflation theory. The financial fragility hypothesis. The principles of functioning of the financial system. Search for new approaches to solving debt crises.

    реферат [175,9 K], добавлен 02.09.2014

  • Description of exchange stocks as financial point-of-sale platforms. Description of point-of-sale algorithm of broker trade at the financial market. Parameters of price gaps on financial auctions and optimization of currency point-of-sale algorithms.

    контрольная работа [1011,9 K], добавлен 14.02.2016

  • Disintegration of the USSR. Restoration of Russia. Influence of the open market. The Asian financial crisis. Increase of local manufacture. Fast lifting of economy, gross national product. Export of consumer goods. Fluctuations in the world prices.

    топик [12,4 K], добавлен 04.02.2009

  • Study credit channel using clustering and test the difference in mean portfolio returns. The calculated debt-to-capital, interest coverage, current ratio, payables turnover ratio. Analysis of stock market behavior. Comparison of portfolios’ performances.

    курсовая работа [1,5 M], добавлен 23.10.2016

  • The major structural elements of economic safety of a national economy branches. The structural analysis of economic activity. Share of wages in ВВП, of productivity of Russia and western countries. The essence of the economic taxes and their purpose.

    статья [166,3 K], добавлен 12.04.2012

  • The global financial and economic crisis. Monetary and financial policy, undertaken UK during a crisis. Combination of aggressive expansionist monetary policy and decretive financial stimulus. Bank repeated capitalization. Support of domestic consumption.

    реферат [108,9 K], добавлен 29.06.2011

  • The General Economic Conditions for the Use of Money. Money and Money Substitutes. The Global Money Markets. US Money Market. Money Management. Cash Management for Finance Managers. The activity of financial institutions in the money market involves.

    реферат [20,9 K], добавлен 01.12.2006

  • Concept of competitiveness and competition, models. Russia’s endowment. Engendered structural dominance and performance. The state of Russian competitiveness according to the Global Competitiveness Index. Place in the world, main growth in detail.

    курсовая работа [1,2 M], добавлен 28.05.2014

  • Legal regulation of the activities of foreign commercial banks. Features of the Russian financial market. The role and place of foreign banks in the credit and stock market. Services of foreign banks in the financial market on the example of Raiffeisen.

    дипломная работа [2,5 M], добавлен 27.10.2015

  • Development banking, increasing the degree of integration of the banking sector of Ukraine in the international financial community, empowerment of modern financial markets, increasing range of banking products. The management mechanism of bank liquidity.

    реферат [17,2 K], добавлен 26.05.2013

  • Users and uses of financial information. Range of areas of the accounting and finance. Financial activities and their management. Securities and stock exchanges. Parts of the balance sheet: assets and liabilities. Main external sources of finance.

    контрольная работа [20,7 K], добавлен 20.05.2010

  • American multinational corporation that designs and markets consumer electronics, computer software, and personal computers. Business Strategy Apple Inc. Markets and Distribution. Research and Development. Emerging products – AppleTV, iPad, Ping.

    курсовая работа [679,3 K], добавлен 03.01.2012

  • The grey market is an over-the-counter market where dealers may execute orders for preferred customers as well as provide support for a new issue before it is actually issued. Sometimes, "dark markets” are referred to as a third type of grey market.

    презентация [2,1 M], добавлен 18.12.2013

Работы в архивах красиво оформлены согласно требованиям ВУЗов и содержат рисунки, диаграммы, формулы и т.д.
PPT, PPTX и PDF-файлы представлены только в архивах.
Рекомендуем скачать работу.