This paper examines the impact of changes in interest rates on stock returns in Turkey by using wavelet analysis with Granger causality tests. By using daily closing values of the ISE 100 Index and interest rates, it is proven that starting with the 9 day time-scale effect, Granger interest...

Purpose – The purpose of this paper is to use filtered extreme-value theory (EVT) model to forecast one of the main emerging market stock returns and compare the predictive performance of this model with other conditional volatility models. Design/methodology/approach – This paper employs...

Purpose – This paper, using Turkish stock index data, set outs to present long-term memory effect using chaotic and conventional unit root tests and investigate if chaotic technique as wavelets captures long-memory better than conventional techniques. Design/methodology/approach – Haar and...

This paper examines the impact of changes in interest rates on stock returns in Turkey by using wavelet analysis with Granger causality tests. By using daily closing values of the ISE 100 Index and interest rates, it is proven that starting with the 9 day time-scale effect, Granger interest...

Purpose – The purpose of this paper is to use filtered extreme-value theory (EVT) model to forecast one of the main emerging market stock returns and compare the predictive performance of this model with other conditional volatility models. Design/methodology/approach – This paper employs...

Purpose – This research paper aims to discuss the effects of exchange rates on interest rates by using wavelet network methodology, which is a combination of wavelets and neural networks. Design/methodology/approach – The paper employs wavelet networks to analyse the relationships between...

Purpose – This research paper aims to discuss the effects of exchange rates on interest rates by using wavelet network methodology, which is a combination of wavelets and neural networks. Design/methodology/approach – The paper employs wavelet networks to analyse the relationships between...

Purpose – The purpose of this paper is to use filtered extreme‐value theory (EVT) model to forecast one of the main emerging market stock returns and compare the predictive performance of this model with other conditional volatility models. Design/methodology/approach – This paper employs...

Purpose – This paper, using Turkish stock index data, set outs to present long‐term memory effect using chaotic and conventional unit root tests and investigate if chaotic technique as wavelets captures long‐memory better than conventional techniques. Design/methodology/approach – Haar...