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Heavy tails and asymmetry of returns in the Russian stock market

  • Published:2017-09 Issue: Volume:32 Page:200-219
  • ISSN:1566-0141
  • Container-title:Emerging Markets Review
  • language:en
  • Short-container-title:Emerging Markets Review

Author:

Ankudinov Andrei,Ibragimov Rustam,Lebedev OlegORCID

Funder

Russian Science Foundation

Publisher

Elsevier BV

Subject

Economics and Econometrics,Business and International Management

Reference53 articles.

1. Global financial crisis, extreme interdependences, and contagion effects: the role of economic structure?;Aloui;J. Bank. Financ.,2011

2. Investment drivers of shareholder value creation in large publicly traded Russian companies;Ankudinov,2014

3. Stock market spread trading: Argentina and Brazil stock indexes;Batten,2014

4. Statistics of Extremes;Beirlant,2004

5. Emerging equity market volatility;Bekaert;J. Financ. Еcon.,1997

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