Yuri Trifonov
- Postgraduate Student:Faculty of Economic Sciences / Department of Applied Economics
- Yuri Trifonov has been at HSE University since 2020.
Postgraduate Studies
1st year of study
Approved topic of thesis: Relaxing Distributional Assumptions and Accounting for the Asymmetry Effect in Generalized Autoregressive Conditional Heteroskedasticity Models
Academic Supervisor: Potanin, Bogdan
Courses (2022/2023)
Econometrics (Advanced Level I) (Master’s programme; Faculty of Economic Sciences; field of study "38.04.08. Финансы и кредит", field of study "38.04.08. Финансы и кредит", field of study "38.04.08. Финансы и кредит", field of study "38.04.08. Финансы и кредит", field of study "38.04.01. Экономика", field of study "38.04.01. Экономика", field of study "38.04.01. Экономика"; 1 year, 1, 2 module)Eng
Econometrics (Advanced Level II) (Master’s programme; Faculty of Economic Sciences; field of study "38.04.01. Экономика", field of study "38.04.01. Экономика", field of study "38.04.01. Экономика"; 1 year, 3, 4 module)Eng
Publications6
- Article Juri Trifonov, Potanin B. GARCH-M model with an asymmetric risk premium: Distinguishing between ‘good’ and ‘bad’ volatility periods // International Review of Financial Analysis. 2024. Vol. 91. Article 102941. doi
- Article Трифонов Ю. С. Моделирование премии за риск на российском фондовом рынке с учетом эффекта асимметрии // Прикладная эконометрика. 2023. Т. 71. С. 5-19. doi
- Preprint Juri Trifonov, Potanin B. GARCH-M Model With an Asymmetric Risk Premium: Distinguishing Between ‘Good’ and ‘Bad’ Volatility Periods / SSRN. Series "Working Papers". 2022.
- Article Juri Trifonov, Bogdan Potanin. Semi-nonparametric Generalized Autoregressive Conditional Heteroscedasticity Model with Application to Bitcoin Volatility Estimation // HSE Economic Journal. 2022. Vol. 26. No. 4. P. 623-646. doi
- Article Трифонов Ю. С., Потанин Б. С. Многомерная асимметричная GARCH-модель с динамической корреляционной матрицей // Финансы: теория и практика. 2022. Т. 26. № 2. С. 204-218. doi
- Article Потанин Б. С., Трифонов Ю. С. Влияние ожиданий инвесторов на цену нефти // Прикладная эконометрика. 2021. Т. 63. С. 76-90. doi
Conferences
- 2022IX Международная конференция «Modern Econometric Tools and Applications – META2022» (Нижний Новгород). Presentation: GARCH-M model with an asymmetric risk premium: distinguishing between ''good'' and ''bad'' volatility periods
2nd International Conference on Econometrics and Business Analytics (iCEBA) (Erevan & Dilijan). Presentation: GARCH-M model with an asymmetric risk premium: distinguishing between ''good'' and ''bad'' volatility periods
- 2021VIII International Conference "Modern Econometric Tools and Applications – META2021" (Нижний Новгород). Presentation: Semi-nonparametric multivariate GARCH model with dynamic correlation matrix
- 3-й семинар "Прикладная эконометрика" в рамках XXII Апрельская международная научная конференция НИУ ВШЭ по проблемам развития экономики и общества (Москва). Presentation: Influence of Investors’ Expectations on Oil Price Fluctuations