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Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Daniil Vilkul
Prediction of Russian Sovereign Bonds ReturnsPrediction of Russian Sovereign Bonds Returns
Financial Engineering
(Master’s programme)
8
2018
During the economic and financial crisis all over the world, the sovereign bond spreads widened dramatically for both emerging and developing countries, which stimulated the overwhelming majority of researchers to analyze this phenomena. However, most of existing studies currently dedicated to the sovereign bonds returns predictability mostly in the Eurozone markets, which trying to increase their economics after long-term consequences of the world crisis. Nevertheless, the most important question in this field now is not only to predict the returns, but also to examine the short-run and long-run factors which may influence the sovereign bonds returns. Specifically, in the given master thesis the Russian market will be considered along with the main determinants, which will have significant impact on the model. The hypothesis of the work is that the forecasting model with the high level of accuracy for the sovereign bonds returns may be constructed and successfully used.

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