Econometrics Models of the Financial Markets

Student: Dorzhiev Ochir

Educational Programme: Applied Economics (Master)

Year of Graduation: 2016

This paper represents comparison results of financial models parameters, which obtained by robust estimation methods and OLS. As a result of research the following conclusions have been obtained. In case of CAPM, quantile regression and M - estimator are more suitable than other considered methods. In the case of Nelson - Siegel model, Least Trimmed Method is the most suitable.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses