Problems which are related to copula functions, their properties, selection methods for specific baseline data, evaluation, and possible applications are extremely sparingly discussed in the world literature, and are almost not discussed at all in the Russian literature. At the same time, we...

This article contains the second part of the consultation series on copula functions and their use in modeling multidimensional probability distributions. It describes pair-copula functions (including the concept of canonical and D-vines), alternative measures of dependence useful to summarize...

The final part of the consultation series on copula functions is devoted to the description of copula selection methods to choose the copula model that provides the best fit for the empirical data at hand, as well as to the description of copula evaluation methods by using goodness-of-fit tests.

The most important properties of p-variate distributions on the hypercube whose univariate marginals are uniformly distributed on [0; 1] are discussed. These distributions, also called p-copulas, have become a popular tool in order to study financial markets, macroeconomics and other fields. The...

Korhonen and Peresetsky (2013) suggested a new Kalman-filter type model of financial markets to extract a global stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets. We extend this model to allow the correlation between increments of...

We present a simple hedonic model for apartment prices in Moscow in the year 2003. Based on some 15,000 observations we estimate the model and use the estimates for prediction. Pretest issues are explicitly taken into account.

The investigations of spatial concentration in Russian Federation have revealed, that the expectations of production factors owners and processes of spatial concentration play the significant role in formation of spatial structure of the investment in RF The leading role in this process in...

The paper analyzes the net migration to Russia as a result of the population exchange in the post-Soviet countries. We study both temporary migration and relocation to permanent residence. Panel econometric analysis confirmed all author’s theoretical hypotheses including (1) emerging of...

A method and results of economic efficiency estimation of advertisement activities carried out by a commercial bank are described. The main consideration is given to auto loans. The purpose of these activities is to increase consumer loans volumes. The resulted credit volumes are also estimated....

Econometric models lead to the conclusion that presently the migratory population increase in the Russian Federation is determined mostly by the economic-demographic situation in the post-Soviet countries rather than in Russia itself Gradually Russia becomes less and less attractive for...