Elena Dukhovnaya

affiliation not provided to SSRN

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Scholarly Papers (1)

1.

Short Selling in Russia: Main Regulations and Empirical Evidence from Medium- and Long-Term Portfolio Strategies

HANDBOOK OF SHORT SELLING, pp. 387-400, Elsevier, 2012
Posted: 16 Nov 2011
Moscow School of Economics, Moscow State University, National Research University Higher School of Economics, affiliation not provided to SSRN and affiliation not provided to SSRN

Abstract:

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Extreme events frequency, Federal Financial Markets Service, Generalized Pareto distribution, Kurtosis, Long–short trading strategy, Maximum annual drawdown, Sharpe ratio, Skewness, Volatility