Sahin, Hasan; Genç, Ismail H. - In: Journal of BRSA Banking and Financial Markets 3 (2009) 2, pp. 107-119
bank overnight interest rate. The date set covers the period from 1990:01 to 2008:07. We use the generalized method of … GMM a robust estimation method comparing to maximum likelihood. Estimation results reveal that Cox Ingersoll Ross square … heteroscedastic variances. In the study, we also analyze if the policy changes of Central Bank of Turkey had any effects on the …