Publications

This article studies the expected occupancy probabilities on an alphabet. Unlike the standard situation, where observations are assumed to be independent and identically distributed (iid), we assume that they follow a regime switching Markov chain. For this model, we 1) give finite sample bounds on the occupancy probabilities, and 2) provide detailed asymptotics in the case where the underlying distribution is regularly varying. We find that, in the regularly varying case, the finite sample bounds are rate optimal and have, up to a constant, the same rate of decay as the asymptotic result.

The residential real estate market has a special place in the country's economy. Given the scale and dynamism of the development of this market in Russia, research topics in this area are very extensive and relevant. On the one hand, the development of the residential real estate market involves improving the living standards of the population. On the other hand, players in various markets participate in the housing construction industry, since significant volumes of financial flows are concentrated here.

In the article, the authors provide brief results of a study of the residential real estate market in Russia and Moscow. For a more detailed study, the authors chose the market for new buildings in Moscow, as the most dynamically developing segment of real estate. The dynamics and nature of the measurements of the main indicators of the capital market of primary real estate is explained, first of all, by the legislative changes that have occurred in the construction and banking sectors.

Given the heterogeneous development of the capital market, the authors applied the clustering of districts using the results of comprehensive studies of the primary real estate market of previous years. The article presents the main results of key research in the field of residential real estate. For the study, four groups of factors were identified: the characteristics of the apartment, indicators of transport accessibility, the level of infrastructure development and the state of the environment. The information source was the database of leading real estate companies: CIAN, Metrium, Domofond as of the end of May 2019. As a result of a preliminary analysis of the data, new buildings of the mass segment (economy and class comfort) were identified.

Using typological regression, the authors constructed models of the dependence of the cost per square meter of residential real estate on the market of new buildings in Moscow on a number of factors, the most significant of them were identified. The results of the study presented in the article may be of interest to consulting companies, real estate agencies, employees of the banking sector, as well as local authorities for strategic planning of the development of the real estate market.

The relevance of the chosen topic is closely related to the course of the demographic policy of the state until 2024 to increase life expectancy and reduce the poverty level of the population. World experience shows that climatic conditions, living conditions, the quality of food and drinking water, alcohol consumption are important components of public health and life expectancy in general. Despite the positive dynamics of life expectancy over the past decade, Russia still has a huge regional differentiation (16,6 years for women, 18,2 years for men in 2016) and an average gender gap in Russia - 10 ,6 years. The paper examines the problems of regional differentiation of life expectancy at birth with consideration of gender specifics in the context of the lifestyle and living conditions of the population.

According to Rosstat 2016, a typology of the regions on the life expectancy of men and women by the K-means method into 3 clusters was carried out, similar problems of the regions were identified in terms of alcohol consumption, quality of food and drinking water, living conditions. The regions of the 1st cluster (Yevreyskayaavtonomnaya oblast, RespublikaTyva, Chukotskiyavtonomnyyokrug) require special attention. There are the lowest rates of life expectancy for men and women, poor food quality, high alcohol consumption, high mortality rates from external causes, poor housing conditions and poor quality of drinking water.

On the basis of the obtained results, possible reserves for reducing the gender and regional differentiation of life expectancy were analyzed. The analysis performed and the methodology used will contribute to the development of a system for monitoring the implementation of the May presidential decrees (2018) in order to increase life expectancy and improve the quality of life of the population.

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In this note, we consider the construction of a one-dimensional stable Langevin type process confined in the upper half-plane and submitted to diffusive-reflective boundary conditions whenever the particle position hits 0. We show that two main different regimes appear according to the values of the chosen parameters. We then use this study to construct the law of a (free) stable Langevin process conditioned to stay positive, thus extending earlier works on integrated Brownian motion. This construction further allows to obtain the exact asymptotics of the persistence probability of the integrated stable Lévy process. In addition, the paper is concluded by solving the associated trace problem in the symmetric case.

Purpose: The article is focused on new trends in cooperation activity in research and development in the manufacturing industries of Russia. Various types of cooperation are considered, special attention is paid to research organizations and universities. Design/Methodology/Approach: In the context of this issue, it seems necessary to consider the conceptual framework and information basis for the analysis of scientific activity, to study the problems of scientific and technical cooperation, based on the works of foreign and domestic scientists and to develop indicators of cooperative activities. Finding: Authors proposed to rank the regions of Russia by the level of cooperation activity based on a specially developed hidden indicator. Comparison of the results obtained with regional layers of the costs of R&D suggests that joint research and development activities are typical for those regions that pay considerable attention to development of science. Ranking regions of Russia in terms of cooperative activity allowed identifying the leaders and outsiders of this process. Practical implications: The results of the study can be used in the development of measures of regional development of the country in the implementation of R&D. Originality/Value: To study the impact of the resource base on the cooperative activities of the organization, the authors proposed a composite indicator that includes a wide range of indicators that consider various aspects of cooperative activity.

This paper presents the first continuous-time model to feature a flexible dependence structure among jump intensity, stock variance, and stock returns. In particular, it addresses a gap in the financial portfolio optimization literature concerning the non-trivial correlation between stock return variance and the intensity of price jumps. The model permits closed-form representations for the optimal strategy and value functions in an expected utility theory setting. It also produces analytical expressions for the value function associated with relevant suboptimal strategies. Such an analytical setting allows for the first wealth-equivalent utility loss (WEL) analysis of the pitfalls of ignoring the aforementioned dependence. The model and results can be easily extended to the pair intensity-covariance in multi-assets. The WEL analysis is carried out for three different suboptimal classes: tailor-made incomplete markets, misspecifications in the parameters of the model, and time-independent (myopic) strategies. For the numerical section, we focus on the correlation between jump intensity and stock variance, which is assumed to be either zero or one in the existing literature. We demonstrate that simplistic assumptions like perfect dependence or independence could lead to wealth-equivalent losses of up to 61%. Similarly, a failure to hedge these variances and intensity drivers could cause losses of up to 95% (in particular, up to 60% due to the factors driving the dependence).

In the last decade, the role of corporate integration in the system of economic relations has increased significantly. Mergers and acquisitions are largely macroeconomic indicators of the effective functioning of branches of the Russian economy. The economic tools proposed in the article for classifying branches of the Russian economy by the level of integration activity in 2014 and 2016 allowed to quantify the sectoral differences and highlight the class of integration-active sectors of the Russian economy.

The article examines the literature, which determinates the factors affecting Gross Regional Product as well as broadens the analysis to different regions of the Russian Federation. The regressions modeling and cluster analysis is used for the issue. Two linear regression models are constructed based on the indicators of the Federal Statistics Survey databases for the year 2015 as well as the index of readiness of regions of Russia for the information society (ICT) is used. After the estimation the two clusters based on the values of sub-indexes were found, presenting the typical and atypical behavior towards values of sub-indexes.

The problem of impreciseness of data from different sources is in the focus of the research. While values of income based on diary notes may be considered as relatively exact measuring results, the values of income in other surveys founded on memory of respondents are rather ambiguous. The ambiguity reveals itself first of all in the tendency of rounding numbers. The usage of rounded values for identification of statistical and econometric models can make the estimates of the parameters biased. To prevent this effect, we propose using survey data in fuzzy format and show the way to estimate the measure of fuzziness. The main idea behind this estimation is in finding such measure of ambiguity (fuzziness) that provides the closest distribution of fuzzy data to the distribution of corresponding exact (crisp) data. As a source of crisp data, we use the household budget survey provided by the Federal State Statistics Service, and the Russian Longitudinal Monitoring Survey RLMS HSE supplies us with fuzzy data for corresponding period of time. It is shown that the algorithm presented in the paper allows us to improve data to a good level of conformity.

А high excursion probability for the modulus of a Gaussian vector process with independent identically distributed components is evaluated. It is assumed that the components have means zero and variances reaching its absolute maximum at a single point of the considered time interval. An important example of such processes is the Bessel process.

In this paper, we guarantee the existence and uniqueness (in the almost everywhere sense) of the solution to a Hamilton-Jacobi-Bellman (HJB) equation with gradient constraint and a partial integro-di erential operator whose Levy measure has bounded variation. This type of equation arises in a singular control problem, where the state process is a multidimensional jump-di usion with jumps of finite variation and infinite activity. We verify, by means of "-penalized controls, that the value function associated with this problem satis es the aforementioned HJB equation.

In this paper, we consider limit laws for the model, which is a generalisation of the random energy model (REM) to the case when the energy levels have the mixture distribution. More precisely, the distribution of the energy levels is assumed to be a mixture of two normal distributions, one of which is standard normal, while the second has the mean \(\sqrt{n}a\) with some \(a\in \R,\) and the variance \(\sigma \ne 1\). The phase space \((a,\sigma) \subset \R \times \R_+\) is divided onto several domains, where after appropriate normalisation, the partition function converges in law to the stable distribution. These domains are separated by the critical surfaces, corresponding to transitions from the normal distribution to \(\alpha-\)stable with \(\alpha \in (1,2)\), after to 1-stable, and finally to \(\alpha-\)stable with \(\alpha \in (0,1).\) The corresponding phase diagram is the central result of this paper.

In this paper we study the problem of statistical inference for a continuous-time moving average  L\'evy process of the form 

\[ Z_{t}=\int_{\R}\mathcal{K}(t-s)\, dL_{s},\quad t\in\mathbb{R}, \]  with a deterministic kernel \(\K\) and a  L{\'e}vy process \(L\). Especially the  estimation of  the L\'evy measure \(\nu\) of  $L$ from low-frequency observations of the process $Z$ is considered. We construct a consistent estimator, derive its convergence rates and  illustrate its performance  by a numerical example.  On the mathematical level, we  establish  some new results on exponential mixing  for  continuous-time moving average  L\'evy processes.    

The paper is focused on the problem of balanced information and communication technologies development in modern society and its measures. Existing indices allow estimating the progress of this development, but they are mostly constructed for between countries comparison. At the lower level, we face the problem of different data set structure that does not allow us to use same indices immediately. Another problem is a lack of measures that provide both the estimation of the overall progress in ICT and the progress in its particular aspects at the regional level. Additional attention should be paid to the possible increase of regional differentiation in order to prevent its transformation into extreme form of digital divide. We propose the model in the form of hierarchical system of indices that includes the advantages of information development measurement in particular aspects and as a whole. Sub-indices in the system are just orthogonal, and widely used principal component analysis is not functional for their aggregation. That is why a measure of closeness of the aggregate indicator to the best possible value is used to create the main index. The output oriented data envelopment analysis is used along with the aggregate indicator construction technique to compare the positions of the most advanced regions. We also introduce the method of measuring the differentiation in some aspects of information and communication development to assess the dynamics of this differentiation. The results of the study can be used to stimulate progress in information and communication development that prevents an excessive increase in regional differentiation.

In this paper, we consider a multidimensional time-changed stochastic process in the context of asset-pricing modeling. The proposed model is constructed from stable processes, and its construction is based on two popular concepts:multivariate subordination and Lévy copulas. From a theoretical point of view, our main result is Theorem 1, which yields a simulation method from the considered class of processes. Our empirical study shows that the model represents the correlation between asset returns quite well. Moreover, we provide some evidence that this model is more appropriate for describing stock prices than classical time-changed Brownian motion, at least if the cumulative amount of transactions is used for a stochastic time change.