In May 2014, Russia's stock market continued its steady recovery. As of 26 May, the MICEX Index stood at 1,449.3 points, having grown since the beginning of that month by more than 11%. The growth leader among highly liquid shares were VTB Bank's securities – over the period from 2 May through...

The growth of the MICEX Index over the course of May, briefly interrupted by its small incursion into negative territory in mid-May, was caused by the rise in oil futures prices and the inflow of foreign portfolio investments. However, it was not sufficient to reverse the downward trend in the...

Significant variation in the terms and volume of lending across classes of borrowers distinguished only by qualities independent of credit risk is often interpreted as evidence of inefficient or inequitable discrimination in credit markets. Increasing accuracy in the measure of credit risk...

The risky assets prices of the bi-variate model are reviewed under the hegemonize concentration filtered physical probability space. In the stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer-Schweizer decomposition is stringent to the...

Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...

Dynamics of credit markets impact almost all participants in financial markets. Yet, despite rapidly growing international credit markets, we know little about the dynamics of global credit markets, as most studies focus on the US. Here, I propose a new distance-to-default model, empirically...

Rolling spot forex is a growing business. The key problem is whether it could be classified as a financial instrument or could be classified as gambling contract. Each legal system has different approach. Nevertheless the legal position of rolling spot forex is unclear. This submission is...

This study investigates if the biggest players in major foreign currencies futures markets are affected by current and previous financial conditions. Using root mean squared errors (RMSE), normalized RMSE, and Nash-Sutcliffe efficiency, this study compares the impact of current, 1 and 2 week...

This paper examines the impact of foreign currency hedging demand on the foreign exchange market. First, the paper documents deviations from covered interest parity (CIP) for Mexico after the global financial crisis (GFC), and then it evaluates the effect of two variables in a regression-based...

This paper demonstrates that, after integration, equity portfolios of countries that joined the European Monetary Union have converged at faster rate than those of NON EMU countries. This outcome can be interpreted as a combination of the convergence of inflation rates and the convergence of...