This paper investigates whether global, local and currency risks are priced in the Russian stock market using conditional international asset pricing models. The estimation is conducted using a modified version of the multivariate GARCH-M framework of De Santis and Geacute;rard (1998). We take US...

The purpose of this study is to look at the relationship between stock market and bond market of Russia for the period of July 1994 to Dec. 2007. We attempt to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. We...

The purpose of this study is two fold. First we look at the international linkage of Russian equity market and second we examine the international transmission of the 1998 Russian financial crisis. We estimate a bivariate GARCH-BEKK model proposed by Engle and Kroner (1995). Four pair-wise...

Extensive work has been done on the modeling of financial time series, both theoretically and empirically, on developed markets of Europe, Asia and United states. There exist sufficient literature on volatility modeling of emerging markets as well, such as, of Latin America, Eastern and Central...

In this paper we study international asset pricing models and pricing of global and local sources of risk in the Russian stock market using weekly data from 1999 to 2006. In our empirical specification, we utilize and extend the multivariate GARCH-M framework of De Santis and Gérard (1998), by...

In this paper we study international asset pricing models and the pricing of global and local market risks as well as currency risk in the Russian stock market from an international investors' point of view using weekly data from 1999 to 2009. In our empirical specification, we utilize the...

This paper investigates whether global, local and currency risks are priced in the Russian stock market using conditional international asset pricing models. The estimation is conducted using a modified version of the multivariate GARCH-M framework of De Santis and Gérard [De Santis, G.,...

This study considers the linkage of the Russian equity market to the world market, examining the international transmission of the Russia's 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner [Engle, R.F., Kroner, K.F., 1995. Multivariate simultaneous generalized...

In this paper we study international asset pricing models and pricing of global and local sources of risk in the Russian stock market using weekly data from 1999 to 2006. In our empirical specification, we utilize and extend the multivariate GARCH-M framework of De Santis and Gérard (1998), by...