Amerikan Doları - Türk Lirası döviz kuru, LIBOR ve hazine bono getirisi aylık verileri kullanılarak, 1987 - 1997 arası Türkiye.ye sıcak para akımlarının önemli göstergesi olan risk primi incelenmektedir. Türk Lirasının beklenen değer kaybı, akılcı beklentiler (rational...

Türkiye’de, diğer Müslüman ülkelerde olduğu gibi, Ramazan ayı boyunca bireyler güneşin doğuşundan batışına kadar oruç tutarlar. Tıp yazınında, oruç sırasında maruz kalınan uzun süreli açlık ve susuzluğun sağlık üzerindeki etkilerini inceleyen farklı çalışmalar...

This paper investigates whether the Istanbul Stock Exchange (ISE) prices can be characterized as a random walk or mean reversion process in a non-linear framework. We employ an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root based on bootstrap...

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility and market risk of four widely traded commodities (crude oil, natural gas, gold, and silver). A broad set of the most popular linear and nonlinear GARCH-type models is used to...

This study documents the return and volatility spillover effect between the stock prices of Chinese new energy and fossil fuel companies using the asymmetric BEKK model. Based on daily samples taken from August 30, 2006 to September 11, 2012, the dynamics of new energy/fossil fuel stock...

This study employs a flexible regime-switching EGARCH model with Student-t distributed error terms to investigate whether volatility regimes and basis affect the behavior of crude oil futures returns, including the conditional mean, variance, skewness, kurtosis as well as the extent of...

This paper estimates the aggregate demand for gasoline in Senegal from 1970 to 2008. The long-term and short-term elasticities of demand with respect to gasoline prices and income are of paramount interest in this study. In Senegal, rising food prices, unemployment and shortage of electric...

This paper examines the dependence structure between European Union allowances (EUAs) and crude oil markets during the second commitment period of the European Union Emissions Trading Scheme and the implications for portfolio management. Using different copula models, our findings suggest...

The aim of this paper is to determine if OPEC acts as a cartel by testing whether the production decisions of the different countries are coordinated and if they have an influence on oil prices. Relying on cointegration and causality tests in both time series and panel settings, our findings...

This article examines the volatility forecasting abilities of three approaches: GARCH-type model that uses carbon futures prices, an implied volatility from carbon options prices, and the k-nearest neighbor model. Based on the results, we document that GARCH-type models perform better than an...