Publications

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.    

We develop a model forecasting the equilibrium price in the oil market by balancing demand and supply at the level of interaction of the largest oil consuming and producing countries. Our model is based on the global vector autoregression methodology and allows to make a medium-term forecast of the equilibrium oil price in dynamics analyzing the co-movement of oil demand and supply in various countries, in view of possible shocks from countries and companies. The proposed model allows to reveal responses of economic indicators of various countries to changes of the equilibrium oil price. Our model covers 47 countries, including the OPEC, the CIS, the largest oil consuming countries. Considering the CIS countries (Russia, Kazakhstan, Azerbaijan) and such OPEC countries as Iraq, the UAE, Qatar, Venezuela, Algeria, Nigeria and Angola is a unique element of the paper since the majority of models analyze the largest market players only. The test results on economic consequences of shock of oil supply from the largest producer (Saudi Arabia) and shock of oil demand from the largest consumer (China) are of empirical interest.

The Central Banks discuss bank recapitalization arrangements. Markup to capital is needed because the current Basel approach is insensitive to some risks. As the Basel Committee moves from comprehensive risk modelling towards a revised, simplified, standardised approach, where one-two triggers measure risk, banking regulators increase demand for a capital add-on to meet unaccounted risks. The paper suggests the add-on estimates for the joint effect of the concentration and PD-LGD correlation risks leaving other unaccounted ones out-of-scope. The previous studies estimated add-ons for each risk separately. We show their joint impact on capital can be higher up to 5.3 times than the sum of two taken apart. Then previous results do not provide sufficient capital for a bank. We obtain that Basel underestimates the joint risk in 1.9 times on average. We expect that our contribution will be useful at least but not last for specialised lending (e.g. real estate and project finance), where the joint effect of concentration and PD-LGD correlation risks is the most observable.

Non-renewable fixed-term contracts are becoming more used instead of the traditional Russian model of open-ended employment. The authors examine the influence of institutional and organizational factors on the use of fixed-term contracts in Russia with data from a Sur-vey covering 3313 enterprises for the years 2009 to 2011. Probit and Tobit regressions are used to test several hypotheses about the use of fixed-term contracts derived from the litera-ture. The results indicate that state-owned and unionized enterprises are more likely to use fixed-term contracts; and a high level of perceived dismissal protection for permanent work-ers is positively associated with fixed-term contracts use. The incidence and intensity of fixed-term contracts are lower at enterprises with flexible wages. A significant impact of or-ganizational factors is confirmed for fixed-term contracts. Enterprises use less fixed-term contracts, if they have workers with tenure from 5 to 10 years and high job complexity.

This article presents the findings of the first field experiment – a resume correspondence study – on age discrimination in the Russian labour market. Correspondence studies are nowadays viewed as the most objective way to test for hiring discrimination. This method consists of sending pairs of curricula for job offers, very similar in everything except the trait to be analyzed (age in our case). Data collection for the presented study was conducted in February-March 2018. Pairs of matched applications, one from a fictitious 29-year-old female applicant and one from a fictitious 48-year-old female applicant, were sent to 341 employers with job openings for accountants in Moscow posted on the one of the most popular job search websites. It turned out that the probability of receiving an invitation for an interview for an older candidate is 24-32%, whereas for a younger candidate 45-52%. Thus, the positive callback ratio is 1.8-2.5. The indicator of “net discrimination” calculated as the difference in the shares of positive callbacks from the number of vacancies for which at least one response is received, for the younger and older candidates is 37-49%. Comparing with the results of the existing studies, it turns out that the obtained discrimination level is quite high. Taking into account the population aging, a reduction in the workforce and the inevitable prospect of an increase in the retirement age, measures must be taken to combat age discrimination and allow older people to work on an equal basis with young people.

The textbook covers such important aspects of financial planning as methodological development of financial planning mechanisms, budgeting, forecasting the growth rate of the company and the company's value. Financial planning mechanisms in organizations should be adapted to the specific focus of the main business processes.When developing the optimal mechanism for planning financial resources and sources of their formation, developers of financial plans should be guided by the principles of scientific news and target orientation, the basic principles of financial planning in organizations. In this regard, the system knowledge gained from the study of this publication allows students to gain theoretical knowledge and practical skills in the competent preparation and implementation of financial plans and effective management of the company.

This paper discusses whether being smart makes depositors less prone to get involved in a panic bank run. We conduct a series of experiments with undergraduate and graduate students from Moscow and Saint-Petersburg, modelling the a-la Diamond-Dybvig deposit market with liquidity shocks, changing macroeconomic conditions and risk-based investment technologies. Our results suggest that withdrawing on time is profitable, as the average returns of depositor investments are higher, especially if the other depositors in the bank also withdraw on time. Smarter depositors – those having better academic achievements – choose the strategy of avoiding early withdrawals more frequently: each additional grade point (out of ten) adds 9 p.p. to the share of rounds where a depositor withdraws on time. This result adds to the evidence that financial literacy – even measured in a very simple way – may prevent a coordination failure in the deposit market. Our results also suggest that panic withdrawals are more probable in markets with poorer economic conditions (liquidity shocks, less profitable or less liquid investments, costly financial information), but depositors show weak sensitivity to the risks of bank investments. Depositors of medium-sized banks withdraw on time more frequently compared to those in small or large banks.

  

The stability bounds and error estimates for a compact higher order Numerov-Crank-Nicolson scheme on non-uniform spatial meshes for the 1D time-dependent Schrödinger equation have been recently derived. This analysis has been done in $L^2$ and $H^1$ mesh norms and used the non-standard ``converse'' condition $h_\omega\leq c_0\tau$, where $h_\omega$ is the mean spatial step, $\tau$ is the time step and $c_0>0$. Now we prove that such condition is \textit{necessary} for some families of non-uniform meshes and any spatial norm. Also computational results for zero and non-zero potentials show unacceptably wrong behavior of numerical solutions when $\tau$ decreases and this condition is violated.

The adoption of new medical technologies often generates losses in efficiency associated with the excess or insufficient acquisition of new equipment, an inappropriate choice (in terms of economic and clinical parameters) of medical equipment, and its poor use. Russia is a good example for exploring the problem of the ineffective adoption of new medical technologies due to the massive public investment in new equipment for medical institutions in 2006–2013. This study examines the procurement of new technologies in Russian hospitals to find the main causes of inefficiency. The research strategy was based on in-depth semistructured interviews with representatives of prominent actors (regional health care authorities, hospital executives, senior physicians). The main result is that inefficiencies arise from the contradiction between hospitals’ and authorities’ motivation for acquiring new technologies: hospitals tend to adopt technologies which bring benefits to their department heads and physicians and minimize maintenance and servicing costs, while the authorities’ main concern is the initial cost of the technology.

Advance price announcements in the form of general rate increase (GRIs) by liner shipping companies have recently become the subject of investigations by competition authorities in different jurisdictions, including the European Union and Russia. The main goal of this paper is to answer the question whether GRIs predict price changes of competitors. Comparison of GRIs with actual price changes in particular routes, defined as antitrust markets in competition investigations in Russia, shows a limited anti-competitive effect of advance price announcements, albeit under specific market conditions. Regression analysis, undertaken in the context of the Russian investigation, rejects the hypothesis that the GRI of a particular company would be followed by price increases of its competitors. Moreover, the frequent changes in the market shares of liner companies support the hypothesis of competition vis à vis collusion. Remedies applied by competition authorities address content and timing of GRIs. The theory of tacit collusion suggests that remedies, which further specify the content of price announcements, may paradoxically enhance non-cooperative pricing, in contrast to remedies that restrict audience of GRIs by customers.

The article is dedicated to the method of aggregation of financial analysts’ recommendations in the framework of the evidence theory. This method considered on the example of Russian stock market and the quality of the obtained results was compared with the classical consensus forecast. It is shown that the combination rules, which are widely developed in the theory of evidence, allow aggregating the recommendations of analysts taking into account the historical reliability of information sources, the nature of the taken decisions (pessimism-optimism), the conflict between forecasts and recommendations, etc. In most cases it turned out that, obtained aggregated forecasts are more accurate than consensus forecast.

This paper presents a novel combinatorial approach for voting rule analysis. Applying reversal symmetry, we introduce a new class of preference profiles and a new representation (bracelet representation). By applying an impartial, anonymous, and neutral culture model for the case of three alternatives, we obtain precise theoretical values for the number of voting situations for the plurality rule, the run-off rule, the Kemeny rule, the Borda rule, and the scoring rules in the extreme case. From enumerative combinatorics, we obtain an information utilization index for these rules. The main results are obtained for the case of three alternatives.

In this paper, we consider anti-smoking policy in Russia and the socioeconomic factors that influence an individual’s decision to smoke. Among various factors, we investigate the individual time preferences of Russians. To estimate individual time preferences, we use an experiment in which survey respondents are given hypothetical money prizes. We find that being middle-aged, being unmarried and having parents who smoke are positively correlated with both men and women’s likelihood of taking up smoking in Russia. We consider the possible endogeneity of an individual’s health status and find a positive relationship between smoking and the time preferences of Russians. Our findings confirm that decisionmakers should devote their efforts primarily to developing restrictive anti-smoking policy. The choice of policy measures should be guided by the individual characteristics of target population groups. Social advertising, public lectures and preventive care should be actively engaged in forming public attitudes towards smoking.

This paper presents the results of volatility forecasting for indices of the Russian stock market using existing and developed by the authors fuzzy asymmetric GARCH-models. These models consider various switching functions which are taking into account the positive and negative shocks and are built using the tools of fuzzy numbers. Furthermore, in some models there are used switching functions that consider expert macroeconomic information. It was shown that fuzzy asymmetric GARCH-models provide a more accurate prediction of volatility than similar crisp models.

In this paper we are going to review both theoretical studies in the field of intellectual capital measurement and empirical research, devoted to analyses of intellectual capital influence on companies’ value and financial performance. As a result, potential areas for further investigations in this field were revealed.

Considering groups of intellectual capital measurement methods, we identified that direct intellectual capital methods and scorecard methods are the most appropriate for the purpose of IC components measurement. To obtain objective results of measurement it seems reasonable to develop system of proxy indicators for all intellectual capital components (human, structural and relational capitals) and subcomponents (process and innovation, client and network capitals). Basing on existing literature, we make an attempt to identify and systemize indicators, associated with intellectual capital and reveal that network capital metrics remain under-researched and deserve closer examination. It was also found that investigators should develop the system of intellectual capital indicators, taking into account industry specificity.

 As for empirical studies, in order to investigate the influence of intellectual capital on corporate value and financial performance, it seems reasonable to elaborate models, which include factors, associated with all intellectual capital components and subcomponents and, what is just as important, their interrelations. Furthermore, it is vital to investigate the relationships between the values of IC components for companies. The models should be adopted for both developed and developing countries. It is also important to analyze the influence of intellectual capital in various industries separately, taking into consideration phase of economic cycle.

The paper examines how type of ownership affects the profit efficiency of Russian banks. Using bank-quarter data for selected banks in the period 2004–2015, we combine stochastic frontier analysis (SFA) methodology with an intermediary approach to assess profit efficiency. Our key findings show that foreign-owned banks are the most efficient, followed by state-owned banks and private domestic banks. We also find that the profit efficiency of foreign-owned banks was higher than that of other banks during the economically stable periods of 2004Q1 to 2008Q2 and 2014Q1 to 2015Q3, and that state-owned banks were more efficient than others in the period of financial turmoil from 2008Q3 to 2013Q4 thanks to state support. These results are robust when we consider these banks in terms of branch network diversity, risk preferences, and specialization.