international econometric journal
in Russian language
Tsyplakov, Alexander. An introduction to state space modeling
Many
time series models, primarily various models with unobservable components, can
be represented in a so called state space form. A state space model is a
powerful tool that allows one to apply to the original model a wide range of
standard procedures including estimation and forecasting. This essay provides a
survey of this universal class of models and related procedures.
Kheifets, Igor. Goodness-of-fit testing
We consider
goodness-of-fit tests based on the empirical process theory. There are two main
obstacles in obtaining critical values for such tests: the parameter estimation
effect and distribution dependence. We discuss solutions to these problems:
martingale transformation and bootstrap. As an illustration we show how to test
GARCH and diffusion models.
Balaev, Alexey. Modeling multivariate parametric densities of financial
returns
This article
presents a survey of the developments of univariate GARCH models. ARCH, GARCH,
EGARCH and other possible nonlinear extensions are examined. Conditions for
stationarity (weak and strong) are presented. Inference and testing is
presented in the quasi-maximum likelihood framework. Continuous GARCH
approximations are discussed.
Kolokolov, Alexei. Futures hedging: Multivariate GARCH with dynamic
conditional correlations
This
article studies modeling dependence between futures and spot prices of
financial indices and verifies a practical value of econometric models for
futures hedging using Russian and foreign data. The dynamics of futures and
spot prices is described by an error correction model, while volatilities and
correlations are modeled by various multivariate GARCH models with dynamic
conditional correlations of different degree of detail. The empirical
investigation carried out in the article can answer questions on effectiveness
of hedging strategies based on multivariate GARCH models, on similarities and
differences of dependencies between futures and basic assets in Russian and
foreign financial markets, and on a reasonable degree of detail in multivariate
GARCH modeling.