We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10–2012:02. We also consider three Eastern European stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South...

We use a Kalman filter type model of financial markets to extract a global stochastic trend from the discrete non-synchronous data on daily stock market index returns of different stock exchanges. The model is tested for robustness. In addition, we derive “most important” hours of world...

We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10-2012:02. We also consider three Eastern European stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South...

We use a Kalman filter type model of financial markets to extract a global stochastic trend from the discrete non-synchronous data on daily stock market index returns of different stock exchanges. The model is tested for robustness. In addition, we derive "most important" hours of world...

We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10-2012:02. We also consider three Eastern European stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South...

We use a Kalman filter type model of financial markets to extract a global stochastic trend from the discrete non-synchronous data on daily stock market index returns of different stock exchanges. The model is tested for robustness. In addition, we derive “most important” hours of world...

We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10-2012:02. We also consider three Eastern European stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South...