Influence of Macroeconomic Factors on the Return of Russian Stock Exchange Indices
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DOI: 10.31107/2075-1990-2019-4-75-87
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References listed on IDEAS
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More about this item
Keywords
Russia; MOEX index; return; PCA; Russian financial market; macroeconomic factors; dimensionality reduction;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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