This study examines the impact of volatility shifts on volatility persistence for three major sector indices of Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional...

The purpose of this study is to investigate the impacts of crude oil price variations on the Turkish stock market returns. We have employed vector autoregression (VAR) model using daily observations of Brent crude oil prices and Istanbul Stock Exchange National Index (ISE-100) returns for the...

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...