Anastasiia Saltykova

National Research University Higher School of Economics

Myasnitskaya street, 20

Moscow, Moscow 119017

Russia

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Fundamental Factors Affecting The Moex Russia Index: Structural Break Detection In A Long-Term Time Series

Higher School of Economics Research Paper No. WP BRP 77/FE/2019
Number of pages: 10 Posted: 11 Oct 2019
Agata Lozinskaia and Anastasiia Saltykova
National Research University Higher School of Economics and National Research University Higher School of Economics
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Abstract:

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Russian stock market, the MOEX Russian index, fundamental factors, structural breaks, long-term time series, rolling regression, breakpoint tests