We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...

Investors take the advantage of disequilibrium in spot and forward exchange markets by investing in higher yield currency on a covered basis. An alternative of covered interest arbitrage is uncovered interest arbitrage (UIA) in which investors choose to remain uncovered accepting the currency...

This paper proposes the Fixed Effects Filtered (FEF) and Fixed Effects Filtered instrumental variable (FEF-IV) estimators for estimation and inference in the case of time-invariant effects in static panel data models when N is large and T is fixed. It is shown that the FEF and FEF-IV estimators...

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Bu çalışma, 1999-2006 dönemi Türkiye örneğinde bankacılık ve hisse senedi piyasası gelişmesi ile ekonomik büyüme arasındaki  ilişkiyi araştırmakta ve değerlendirmektedir. Arz-öncü (veya Schumpeterin Hipotezi)’ye karşı talep-izleyici hipotez, üç değişkenli VAR...

This paper explores the properties of pre-test strategies in estimating a linear Cliff-Ord-type spatial model when the researcher is unsure about the nature of the spatial dependence. More specifically, the paper explores the finite sample properties of the pre-test estimators introduced in...

Bu çalışmada Türkiye’nin çeyrek yıllık sanayi üretim endeksinin (1980-2006) büyüme hızını temsil edebileceğinden hareketle Türkiye’de büyüme hızının asimetrik davranışına dair kanıt bulabilmek için STAR modeli kullanılmıştır. STAR modelinin tahmin izleği...

Günümüzün rekabetçi ortamında, kredi taleplerinin değerlendirmesinde kararların hızlı ve etkin bir şekilde verilmesi bankaların en önemli hedefleri arasında yer almaktadır. Kredi taleplerinin değerlendirilmesi aşamasında etkin kararların alınması, bankaların karar...

We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance of taking care of serial correlation. We find that...

While coping with nonsphericality of the disturbances, standard GMM suffers from a blind spot for exploiting the most effective instruments when these are obtained directly from unconditional rather than conditional moment assumptions. For instance, standard GMM counteracts that exogenous...