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İMKB Piyasasındaki Volatilitenin Ve Asimetrik Fiyat Hareketlerinin Modellenmesi Ve Öngörülmesi : GARCH Uygulaması (Modelling and Forecasting of Volatility and Asymmetrical Price Mo...
Mazibas, Murat - 2017
Turkish Abstract: Çalışmada, İMKB 100 endeksinin 1995-2004 dönemine ait günlük ve haftalık verileri kullanılarak, finansal verilerde sıkça rastlanan volatilite kümelenmesi, asimetrik fiyat hareketleri, kaldıraç etkisi ve kalın kuyruk özellikleri araştırılmış, volatiliteyi...
Persistent link: https://www.econbiz.de/10012951155
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IMKB Piyasalarındaki Volatilitenin Modellenmesi ve Öngörülmesi : Asimetrik GARCH Modelleri Ile Bir Uygulama (Modeling and Forecasting Volatility in Istanbul Stock Exchange Markets:...
Mazibas, Murat - 2017
Turkish Abstract: Çalışmada, 15 adet simetrik ve asimetrik GARCH modeli ile İMKB Bileşik, Mali, Hizmet ve Sınai endekslerindeki volatilite modellenerek, örneklem dışı öngörülerde bulunulmakta ve öngörülerin güvenilirliği ele alınmaktadır. Bu amaçla öncelikle 1997-2004...
Persistent link: https://www.econbiz.de/10012951259
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Uluslararası Kıymetli Metal Piyasalarının Rejim Dinamikleri (Regime Dynamics of International Precious Metal Markets)
Koy, Ayben - 2017
2016 and includes daily closed prices of gold, silver, palladium and platinum. Research results have evidence that the …
Persistent link: https://www.econbiz.de/10012953554
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Metal Vadeli İşlem Piyasaları ve Doğrusal Olmayan Dinamikleri (Metals Futures Market and the Nonlinear Dynamics)
Koy, Ayben - 2017
daily closed prices of Gold Futures (1541 days), Silver Futures (1868 days), Copper Futures (1868 days), Palladium Futures …
Persistent link: https://www.econbiz.de/10012953556
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Cointegration Relations between Turkish and International Equity Markets and Portfolio Choices
Korkmaz, Turhan; Çevik, Emrah Ismail - In: Journal of BRSA Banking and Financial Markets 2 (2008) 1, pp. 59-84
In this study monthly equity index values of twenty two emerging and twelve developed markets are used for the determination of cointegration relations developed by Johansen. The results of cointegration analysis show that Turkish stock market is cointegrated with seven developed and five...
Persistent link: https://www.econbiz.de/10008464861
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Near Discoveries and Half Punishments Against Cartels Can Be Self Defeating
Dalkir, Serdar - 2019
Persistent link: https://www.econbiz.de/10012889586
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Türkiye’de Döviz Kuru Volatilitelerinin Modellenmesi (Modelling Exchange Rate Volatilities in Turkey)
Kayral, Ihsan Erdem - 2016
Turkish Abstract: Bu çalışmada Dolar ve Euro kurlarının 2002-2015 döneminde günlük getirileri kullanılarak döviz kuru volatiliteleri için en uygun modeller belirlenmiş ve söz konusu volatilitelerin döviz kuru getirileri ile olan nedensellikleri araştırılmıştır....
Persistent link: https://www.econbiz.de/10012977724
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Koşullu Değişen Varyans Modelleri Ile Türkiye Altın Piyasası Endeksi Volatilitelerinin Tahmin Edilmesi (Estimating the Volatility of Turkey's Gold Market Index with Conditional Het...
Kayral, Ihsan Erdem - 2017
appropriate autoregressive conditional heteroskedasticity model is researched in Turkey's gold market index. In the scope of study …, daily closing prices data of gold market index between the date of 07.27.1995-07.27.2016 are used. The most appropriate … model for gold market index volatility is EGARCH (1,1). There is no leverage effect in this model, but positive shocks are …
Persistent link: https://www.econbiz.de/10012949297
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Operasyonel Riskin Olculmesi Ve Stokastik Modellenmesi (Operational Risk Measurement and Stochastic Modelling)
Mazibas, Murat - 2017
operational risk measurement still in progress both in Turkey and in the world. In this research, it is attempted to develop a …
Persistent link: https://www.econbiz.de/10012951253