Modelling financial returns and portfolio construction for the Russian stock market
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- Pinkovetskaia Iuliia & Slepova Vladislava, 2018. "Estimation of Fixed Capital Investment in SMEs: the Existing Differentiation in the Russian Federation," Business Systems Research, Sciendo, vol. 9(1), pages 65-78, March.
- J. Pinkovetskaya & ЮЛИЯ Пиньковецкая СЕМЕНОВНА, 2016. "Анализ Отраслевой Локализации Малого И Среднего Предпринимательства В Регионах // Industrial Localization Analysis Of Small And Medium Entrepreneurship In The Regions," Управленческие науки // Management Science, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 6(2), pages 70-82.
- Iuliia S. Pinkovetskaia & Irina N. Nikitina & Tatiana V. Gromova, 2018. "The Role of Small and Medium Entrepreneurship in the Economy of Russia," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 14(3), pages 177-188.
- Fantazzini, Dean, 2014. "Editorial for the Special Issue on 'Computational Methods for Russian Economic and Financial Modelling'," MPRA Paper 55430, University Library of Munich, Germany.
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Keywords
portfolio construction; Russian stock market; multivariate t-distribution; vector parameter; degrees of freedom; portfolio performance; multivariate modelling; financial returns; Russia; autocorrelation; volatility clustering; dynamic links; equity returns; heavy tails; marginal distributions; liquidity; investment risk; investment benefits.;All these keywords.
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