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Alternative Approaches for Estimating Value at Risk

Ural, Mert - In: Journal of BRSA Banking and Financial Markets 3 (2009) 2, pp. 63-86

In this paper the alternative value-at-risk (VaR) and expected shortfall (ES) analysis were made according to different error distribution assumptions by using stock market daily return series of Turkey (ISE100), United Kingdom (FTSE100), Japan (NIKKEI225) and France (CAC40). The backtesting...

Persistent link: https://www.econbiz.de/10008464850

İMKB Piyasasındaki Volatilitenin Ve Asimetrik Fiyat Hareketlerinin Modellenmesi Ve Öngörülmesi : GARCH Uygulaması (Modelling and Forecasting of Volatility and Asymmetrical Price Mo...

Mazibas, Murat - 2017

English Abstract: In this paper, we investigate the existence of volatility clustering, asymmetric price movements … the volatility, we use ARCH-type models based on varying variance on a daily and weekly basis. In addition to ARCH and … the evaluation of the forecast performance of the models. By comparing the volatility forecasts of the models with the …

Persistent link: https://www.econbiz.de/10012951155

IMKB Piyasalarındaki Volatilitenin Modellenmesi ve Öngörülmesi : Asimetrik GARCH Modelleri Ile Bir Uygulama (Modeling and Forecasting Volatility in Istanbul Stock Exchange Markets:...

Mazibas, Murat - 2017

GARCH models for daily, weekly and monthly volatility in composite, financial, services and industry indices of Istanbul … Stock Exchange (ISE). Some properties of financial data namely volatility clustering, asymmetrical price movements, leverage … volatility along with classical GARCH model, EGARCH, GJR-GARCH, Asymmetrical PARCH and Asymmetrical CGARCH models have been …

Persistent link: https://www.econbiz.de/10012951259

Bolgesel Kalkinmada Kamu Yatirimlarinin Rolu: Kuramsal Bir Degerlendirme

PIRILI, Menevis UZBAY - In: Ege Academic Review 11 (2011) 2, pp. 309-324

Bu calismanin amaci, kamu yatirimlari ve iktisadi kalkinma iliskisinin teorik arka planini olusturmaktir. Bu amacla, kamu sermayesi ve iktisadi kalkinmaya iliskin gerek kuramsal gerekse ampirik literatur incelenerek, konunun 1950 lerden gunumuze degin uzanan yol haritasi olusturulmaya...

Persistent link: https://www.econbiz.de/10009147123

Turkiye’de Kamu Harcamalarýinin Ekonomik Buyume ve Yatirimlar Uzerine Etkilerinin Analizi (1980–2005)

Altay, N. Oguzhan; Altin, Onur - In: Ege Academic Review 8 (2008) 1, pp. 267-285

Iki sektorlu uretim fonksiyonundan hareketle kurulan modeller ile Turkiye’de toplam kamu harcamalarinin ekonomik buyume ve toplam yatirimlar uzerindeki etkileri bu calismada arastirilmistir. Kamu harcamalarinin toplam yatirimlar uzerindeki etkileri dislama etkisini ortaya koymaya yoneliktir....

Persistent link: https://www.econbiz.de/10008867687

İstanbul, Ankara ve İzmir Konut Fiyat Değişimlerini Etkileyen Faktörlerin Araştırılması (Research of the Factors Affecting Istanbul, Ankara and Izmir Housing Price Changes)...

Kayral, Ihsan Erdem - 2017

Turkish Abstract: Bu çalışmada Türkiye'nin nüfus açısından en büyük üç şehrinin konut fiyatlarındaki değişimleri etkileyen faktörler incelenmiştir. Bu kapsamda Ocak 2010 – Ağustos 2016 döneminde İstanbul, Ankara ve İzmir'in hedonik konut fiyat endeksindeki değişimleri...

Persistent link: https://www.econbiz.de/10012950997

An Empirical Analysis of Short Term Interest Rate Models for Turkey

Sahin, Hasan; Genç, Ismail H. - In: Journal of BRSA Banking and Financial Markets 3 (2009) 2, pp. 107-119

volatility of interest rates play a crucial role in pricing financial instruments. In this empirical study, we try to investigate … interest rate process. We find that the volatility of the interest rate is not affected by policy change. However, the level of …

Persistent link: https://www.econbiz.de/10008464863

Yapisal Kirilma Altinda Para Talebinin Istikrari: Türkiye Örnegi

Catik, Nazif - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2006

(This paper is in Turkish) This study investigates the stability of the relationship between demand for real money, real income, and interest rates in Turkey using quarterly data for the period from 1988:I to 2005: IV. According to conventional stability tests the demand for money is subject to...

Persistent link: https://www.econbiz.de/10005730912

Hi̇sse Senedi̇ Geti̇ri̇ Modelleri̇nde Hatalar (Errors in Equity Return Models)

Karabay,PhD, Alper - 2019

Turkish Abstract: Bu çalışmada, hisse senedi getiri modellerinde yapılan hatalara dikkat çekmek ve sonraki çalışmalarda bu hataların tekrarlanmasını önlemek amaçlanmıştır. Hisse senedi getirilerini veya fiyatlarını açıklamayı amaçlayan modelleri öneren çalışmalar...

Persistent link: https://www.econbiz.de/10012868075

Inflation Targeting and Inflation Forecasting in Turkey (Türkiye’de Enflasyon Hedeflemesi ve Enflasyonun Öngörüsü)

Ugurlu, Erginbay - 2019

English Abstract: The Reserve Bank of New Zealand was the first central bank that adopted formal Inflation Targeting in 1990, then others followed it. During the years 2002-2006, Central Bank of the Republic of Turkey (CBRT) has implemented Implicit Inflation Targeting and at the beginning of...

Persistent link: https://www.econbiz.de/10012859928