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Victor Lapshin

Personal Details

First Name:Victor
Middle Name:
Last Name:Lapshin
Suffix:
RePEc Short-ID:pla646
[This author has chosen not to make the email address public]

Affiliation

Faculty of Economics
National Research University Higher School of Economics (HSE)

Moscow, Russia
http://economics.hse.ru/
RePEc:edi:fehseru (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Victor Lapshin, 2021. "Immunizing a Marked-to-Model Obligation with Marked-to-Market Financial Instruments," HSE Working papers WP BRP 84/FE/2021, National Research University Higher School of Economics.
  2. Victor Lapshin & Sofia Sokhatskaya, 2018. "Choosing The Weighting Coefficients For Estimating The Term Structure From Sovereign Bonds," HSE Working papers WP BRP 73/FE/2018, National Research University Higher School of Economics.
  3. Marat Z. Kurbangaleev & Victor A. Lapshin & Zinaida V. Seleznyova, 2018. "Studying The Replicability Of Aggregate External Credit Assessments Using Public Information," HSE Working papers WP BRP 71/FE/2018, National Research University Higher School of Economics.
  4. Marat Kurbangaleev & Victor Lapshin & Sergey N. Smirnov, 2015. "Study of Consistency of Bond and CDS Quotes," HSE Working papers WP BRP 43/FE/2015, National Research University Higher School of Economics.
  5. Victor A. Lapshin & Vadim Ya. Kaushanskiy, 2014. "A Nonparametric Method For Term Structure Fitting With Automatic Smoothing," HSE Working papers WP BRP 39/FE/2014, National Research University Higher School of Economics.
  6. Victor Lapshin & Marat Kurbangaleev, 2013. "A joint non-parametric approach to the decomposition of bond yields and CDS spreads: application of Eurozone market data," HSE Working papers WP BRP 13/FE/2013, National Research University Higher School of Economics.

Articles

  1. Victor Lapshin, 2022. "Model-free nonparametric bounds for zero-coupon interest rates in bond markets without the no arbitrage principle," Applied Economics, Taylor & Francis Journals, vol. 54(2), pages 135-144, January.
  2. Mikhail Makushkin & Victor Lapshin, 2021. "Yield Curve Estimation in Illiquid Bond Markets," HSE Economic Journal, National Research University Higher School of Economics, vol. 25(2), pages 177-195.
  3. Lapshin, Victor & Sohatskaya, Sofia, 2020. "Choosing the weighting coefficients for estimating the term structure from sovereign bonds," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 635-648.
  4. Makushkin, Mikhail & Lapshin, Victor, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.
  5. Victor Lapshin, 2019. "A Nonparametric Approach to Bond Portfolio Immunization," Mathematics, MDPI, vol. 7(11), pages 1-12, November.
  6. Victor Lapshin, 2019. "A nonparametric Bayesian approach to term structure fitting," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 36(4), pages 600-615, July.
  7. Sergey Beshenov & Victor Lapshin, 2019. "Parametric Immunization of Interest Rate Risk via Term Structure Models," HSE Economic Journal, National Research University Higher School of Economics, vol. 23(1), pages 9-31.
  8. Vadim Kaushanskiy & Victor Lapshin, 2016. "A nonparametric method for term structure fitting with automatic smoothing," Applied Economics, Taylor & Francis Journals, vol. 48(58), pages 5654-5666, December.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Victor A. Lapshin & Vadim Ya. Kaushanskiy, 2014. "A Nonparametric Method For Term Structure Fitting With Automatic Smoothing," HSE Working papers WP BRP 39/FE/2014, National Research University Higher School of Economics.

    Cited by:

    1. Victor Lapshin, 2019. "A Nonparametric Approach to Bond Portfolio Immunization," Mathematics, MDPI, vol. 7(11), pages 1-12, November.

Articles

  1. Mikhail Makushkin & Victor Lapshin, 2021. "Yield Curve Estimation in Illiquid Bond Markets," HSE Economic Journal, National Research University Higher School of Economics, vol. 25(2), pages 177-195.

    Cited by:

    1. Makushkin, Mikhail & Lapshin, Victor, 2023. "Dynamic Nelson–Siegel model for market risk estimation of bonds: Practical implementation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 69, pages 5-27.

  2. Victor Lapshin, 2019. "A Nonparametric Approach to Bond Portfolio Immunization," Mathematics, MDPI, vol. 7(11), pages 1-12, November.

    Cited by:

    1. Victor Lapshin, 2021. "Immunizing a Marked-to-Model Obligation with Marked-to-Market Financial Instruments," HSE Working papers WP BRP 84/FE/2021, National Research University Higher School of Economics.
    2. Helida Nurcahayani & I Nyoman Budiantara & Ismaini Zain, 2021. "The Curve Estimation of Combined Truncated Spline and Fourier Series Estimators for Multiresponse Nonparametric Regression," Mathematics, MDPI, vol. 9(10), pages 1-22, May.

  3. Vadim Kaushanskiy & Victor Lapshin, 2016. "A nonparametric method for term structure fitting with automatic smoothing," Applied Economics, Taylor & Francis Journals, vol. 48(58), pages 5654-5666, December.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (2) 2015-01-19 2019-01-14
  2. NEP-CIS: Confederation of Independent States (1) 2019-01-14
  3. NEP-ORE: Operations Research (1) 2021-11-29

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