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State Debt Policy and Bonds Market Behaviour


Author Info

  • Barinov Vitaly
  • Pervozvanskaya Tatyana
  • Pervozvansky Anatoly
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    The authors examine the main factors determining state bond market yield dynamics and estimate the statistical characteristics of short-term transactions. Analysis of return time-series has shown that there exists an essential autocorrelation. Various forecasting schemes are tested, and predictors based on non-Gaussian distributions proved to be most effective. The decision algorithms have included a solution to the modified optimal portfolio problem, where the forecasts were used as expected returns and the covariance matrix was estimated via the forecasting errors. The authors show that these decision rules could effectively be applied in the Russian state bond market

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    Bibliographic Info

    Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number 99-05e.

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    Length: 54 pages
    Date of creation: 22 Jun 1999
    Date of revision:
    Handle: RePEc:eer:wpalle:99-05e

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    Postal: EERC Research Network, Russia and CIS, 1, Mazepy Str., suite 202, Kyiv, 01010 Ukraine
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    Postal: EERC Research Network, Russia and CIS, 1, Mazepy Str., suite 202, Kyiv, 01010 Ukraine

    Related research

    Keywords: state debt; short-term state bonds; portfolio theory; returnforecasting; decision rules; risk premia; performance evaluation;

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