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Publications

by members of

St. Petersburg Institute for Economics and Mathematics
Russian Academy of Sciences (RAS)
St. Petersburg, Russia

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2020

  1. Jonathan Benchimol & Sergey Ivashchenko, 2020. "Switching Volatility in a Nonlinear Open Economy," Globalization Institute Working Papers 386, Federal Reserve Bank of Dallas, revised 28 May 2020.
  2. Aleksandr Alekseev & Mikhail Sokolov, 2020. "How to Measure the Average Rate of Change?," EUSP Department of Economics Working Paper Series 2020/01, European University at St. Petersburg, Department of Economics.

2018

  1. Sergey Ivashchenko & Semih Emre Cekin & Kevin Kotze & Rangan Gupta, 2018. "Forecasting with second-order approximations and Markov-switching DSGE models," School of Economics Macroeconomic Discussion Paper Series 2018-10, School of Economics, University of Cape Town.

2016

  1. Sergey Ivashchenko & Rangan Gupta, 2016. "Near-Rational Expectations: How Far are Surveys from Rationality?," Working Papers 201655, University of Pretoria, Department of Economics.
  2. Sergey Ivashchenko & Rangan Gupta, 2016. "Forecasting using a Nonlinear DSGE Model," Working Papers 201659, University of Pretoria, Department of Economics.
  3. Sergey Ivashchenko, 2016. "Estimation and filtering of nonlinear MS-DSGE models," HSE Working papers WP BRP 136/EC/2016, National Research University Higher School of Economics.
  4. Aleksandr Alekseev & Mikhail Sokolov, 2016. "Portfolio Return Relative to a Benchmark," EUSP Department of Economics Working Paper Series 2016/04, European University at St. Petersburg, Department of Economics.
  5. Yuri Balagula, 2016. "Fractal Characterization of Long Memory in Electricity Prices," EUSP Department of Economics Working Paper Series 2016/03, European University at St. Petersburg, Department of Economics.

2015

  1. Sergey Ivashchenko, 2015. "A 5-sector DSGE Model of Russia," EUSP Department of Economics Working Paper Series 2015/01, European University at St. Petersburg, Department of Economics.

2014

  1. Sergey, Ivashchenko, 2014. "Estimating nonlinear DSGE models with moments based methods," Dynare Working Papers 32, CEPREMAP.
  2. Sergey Ivashchenko, 2014. "Forecasting in a Non-Linear DSGE Model," EUSP Department of Economics Working Paper Series 2014/02, European University at St. Petersburg, Department of Economics.

2013

  1. Sergey Ivashchenko, 2013. "Dynamic Stochastic General Equilibrium Model with Banks and Endogenous Defaults of Firms," EUSP Department of Economics Working Paper Series 2013/02, European University at St. Petersburg, Department of Economics.
  2. Aleksandr Alekseev & Mikhail Sokolov, 2013. "A Theory of Average Growth Rate Indices," EUSP Department of Economics Working Paper Series 2013/05, European University at St. Petersburg, Department of Economics.
  3. Arin Aguirre, Francisco Javier & Katsev, Ilya, 2013. "A monotonic core concept for convex games: The SD-prenucleolus," IKERLANAK Ikerlanak;2013-69, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
  4. Arin Aguirre, Francisco Javier & Katsev, Ilya, 2013. "The coincidence of the kernel and nucleolus of a convex game: an alternative proof," IKERLANAK Ikerlanak;2013-67, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.

2011

  1. Sergey Ivashchenko, 2011. "DSGE Model Estimation on Base of Second Order Approximation," EUSP Department of Economics Working Paper Series 2011/07, European University at St. Petersburg, Department of Economics.
  2. Aleksandr Alekseev & Mikhail Sokolov, 2011. "A Note on Indices of Return," EUSP Department of Economics Working Paper Series 2011/02, European University at St. Petersburg, Department of Economics, revised 21 Feb 2011.
  3. Yuri Balagula & Yulia Abakumova, 2011. "Long Memory in the Oil Market: A Spectral Approach," EUSP Department of Economics Working Paper Series 2011/01, European University at St. Petersburg, Department of Economics, revised 13 Jan 2011.
  4. Elena Yanovskaya, 2011. "Excess Values for Cooperative Games with Transferable Utilities and Double Consistent Allocation Methods," HSE Working papers WP BRP 10/EC/2011, National Research University Higher School of Economics.

2008

  1. Vera Kipyatkova, 2008. "Asymptotics of Equilibrium Paths in an Endogenous Growth Model with Concave Consumption Function," EUSP Department of Economics Working Paper Series 2008/03, European University at St. Petersburg, Department of Economics, revised Dec 2008.

Journal articles

2020

  1. Balagula, Yuri, 2020. "Forecasting daily spot prices in the Russian electricity market with the ARFIMA model," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 57, pages 89-101.

2019

  1. Sergey M. Ivashchenko, 2019. "DSGE Models: Problem of Trends," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 127006, Russia, issue 2, pages 81-95, April.

2018

  1. Sergey Ivashchenko & Rangan Gupta, 2018. "Forecasting using a Nonlinear DSGE Model," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 7(2), pages 73-98.

2017

  1. Sergey Ivashchenko & Rangan Gupta, 2017. "Near-Rational Expectations: How Far are Surveys from Rationality?," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 60(1), pages 1-27.

2016

  1. Aleksandr G. Alekseev & Mikhail V. Sokolov, 2016. "Benchmark-based evaluation of portfolio performance: a characterization," Annals of Finance, Springer, vol. 12(3), pages 409-440, December.

2015

  1. Ivashchenko Sergey, 2015. "China Estimating Nonlinear DSGE Models with Moments Based Methods," Frontiers of Economics in China, Higher Education Press, vol. 10(1), pages 38-55, March.

2014

  1. Sergey Ivashchenko, 2014. "DSGE Model Estimation on the Basis of Second-Order Approximation," Computational Economics, Springer;Society for Computational Economics, vol. 43(1), pages 71-82, January.
  2. Alexeev, Alexander G. & Sokolov, Mikhail V., 2014. "A theory of average growth rate indices," Mathematical Social Sciences, Elsevier, vol. 71(C), pages 101-115.

2013

  1. Ivashchenko, S., 2013. "Dynamic Stochastic General Equilibrium Model with Banks and Endogenous Defaults of Firms," Journal of the New Economic Association, New Economic Association, vol. 19(3), pages 27-50.
  2. Katsev, Ilya & Yanovskaya, Elena, 2013. "The prenucleolus for games with restricted cooperation," Mathematical Social Sciences, Elsevier, vol. 66(1), pages 56-65.

2011

  1. Mikhail Sokolov, 2011. "Interval scalability of rank-dependent utility," Theory and Decision, Springer, vol. 70(3), pages 255-282, March.
  2. Sokolov, Mikhail V., 2011. "On scale-invariant parametric families of functions," Journal of Mathematical Economics, Elsevier, vol. 47(4-5), pages 500-507.
  3. René Brink & Ilya Katsev & Gerard Laan, 2011. "Axiomatizations of two types of Shapley values for games on union closed systems," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 47(1), pages 175-188, May.
  4. Driessen, Theo S.H. & Fragnelli, Vito & Katsev, Ilya V. & Khmelnitskaya, Anna B., 2011. "On 1-convexity and nucleolus of co-insurance games," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 217-225, March.
  5. René Brink & Ilya Katsev & Gerard Laan, 2011. "A polynomial time algorithm for computing the nucleolus for a class of disjunctive games with a permission structure," International Journal of Game Theory, Springer;Game Theory Society, vol. 40(3), pages 591-616, August.

2010

  1. van den Brink, René & Katsev, Ilya & van der Laan, Gerard, 2010. "An algorithm for computing the nucleolus of disjunctive non-negative additive games with an acyclic permission structure," European Journal of Operational Research, Elsevier, vol. 207(2), pages 817-826, December.

2008

  1. Hovanov, Nikolai V. & Kolari, James W. & Sokolov, Mikhail V., 2008. "Deriving weights from general pairwise comparison matrices," Mathematical Social Sciences, Elsevier, vol. 55(2), pages 205-220, March.
  2. Ariel M. Viale & James W. Kolari & Nikolai V. Hovanov & Mikhail V. Sokolov, 2008. "Computing and testing a stable common currency for Mercosur countries," Journal of Applied Economics, Universidad del CEMA, vol. 11, pages 193-220, May.

2007

  1. Hovanov, Nikolai V. & Kolari, James W. & Sokolov, Mikhail V., 2007. "Synthetic money," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 161-168.

2004

  1. Hovanov, Nikolai V. & Kolari, James W. & Sokolov, Mikhail V., 2004. "Computing currency invariant indices with an application to minimum variance currency baskets," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1481-1504, June.
  2. Elena Yanovskaya, 2004. "Consistent and covariant solutions for TU games," International Journal of Game Theory, Springer;Game Theory Society, vol. 32(4), pages 485-500, August.

2002

  1. Theo Driessen & Elena Yanovskaya, 2002. "Note On linear consistency of anonymous values for TU-games," International Journal of Game Theory, Springer;Game Theory Society, vol. 30(4), pages 601-609.

2001

  1. Naumova, Natalia & Yanovskaya, Elena, 2001. "Nash social welfare orderings," Mathematical Social Sciences, Elsevier, vol. 42(3), pages 203-231, November.

1996

  1. Korbut, A. A. & Yanovskaya, E. B., 1996. "IN MEMORIAM: N. N. Vorob'ev (1925-1995)," Games and Economic Behavior, Elsevier, vol. 12(2), pages 283-285, February.

1994

  1. Yanovskaya, Elena B., 1994. "Correspondence between social choice functions and solutions of cooperative games," Mathematical Social Sciences, Elsevier, vol. 27(2), pages 217-234, April.

1991

  1. Yanovskaya, Ye., 1991. "Social choice problems with fixed sets of alternatives," Mathematical Social Sciences, Elsevier, vol. 21(2), pages 129-152, April.

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