This paper studies the dynamic relationship between returns in the Russian stock market and global equity markets in the aftermath of the 2014 Ukrainian crisis. We apply dynamic the Russian and global equity returns after the crisis outbreak. The Russian stock market clearly decoupled from both de veloped and emerging markets, as shown by a 30–50% decline in returns correlation. In view of dram...

Abstract Indices of relative abundance are one the most important inputs into a stock assessment model. For many species, we must rely on several indices that routinely conflict with each other and which may result in biased uncertain outputs. Here, explored whether reconciled trends obtained from dynamic factor analysis (DFA) applied to conflicting can be used as trend input We simulated an ag...

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel stock and options data. We propose multivariate option pricing model designed to allow for, but not superimpose, time space amplification in markets. develop semi-parametric estimation procedure employing continuum moments conditions GMM with implied states. introduce par...

In this study we consider how to more accurately identify the possible impact of systemic risk on spatial dependence related most significant financial crises over last 17 years: Lehman Brothers bankruptcy, sub-prime mortgage crisis, European debt Brexit and COVID-19 pandemic which has also affected markets. We analyse two new dynamic distances applied stock markets based exogenous criteria kno...

The prediction of a stock market direction may serve as an early recommendation system for short-term investors and as an early financial distress warning system for long-term shareholders. Many stock prediction studies focus on using macroeconomic indicators, such as CPI and GDP, to train the prediction model. However, daily data of the macroeconomic indicators are almost impossible to obtain....

We suggest a methodology for the construction of a set of interest rate volatility indices for the Eurozone (EIRVIXs) based on the implied volatility quotes of caps (floors), one of the most liquid interest rate derivatives. These indices reflect the market’s aggregate expectation of volatility of forward rates over both shortand long-term horizons (from one to ten years ahead). Volatility indi...