This repo contains code and links for my papers:
- jea2020: Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?
- ceur2017: Hedging and Risk Aversion on Russian Stock Market: Strategies Based on MGARCH and MSV Models
- appec2014: Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models
- ejhse2016: Dynamic hedging considering the degree of risk aversion