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Risk Spillover Effects between Russian and Foreign Capital Markets

Student: Makushkin Mikhail

Supervisor: Victor A Lapshin

Faculty: Faculty of World Economy and International Affairs

Educational Programme: World Economy (Bachelor)

Final Grade: 10

Year of Graduation: 2020

The article examines cross dependencies in risks of Russian and foreign stock markets. Bivariate quan-tile autoregression VAR for VaR is used to achieve this goal. It is shown that Russia is a net receiver of external risk. Tail dependencies between markets tend to increase in turbulent times. Information about them helps to better predict market risks. However, for business use less sophisticated risk models are recommended. The results might be applied for risk-management purposes.

Full text (added May 11, 2020)

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