In this paper we address efficiency of eight transition stock markets, namely, Bulgarian, Chinese, Czech, Hungarian, Polish, Romanian, Russian and Slovakian stock markets by testing whether the price series of these markets contain unit root. For this purpose we employ the nonlinear unit root...

In this study, a bi-variate Generalized Autoregressive Conditional Heteroscedasticty model is used in order to investigate the Granger causality relationships between output growth, inflation rate and their uncertainties. Our test results show that the existence of Granger-causality is observed...

In this paper, we have investigated the effects of Asia 97 crisis on Malaysian stock exchange market by using a nonlinear approach which gives a detailed analysis with respect to linear counterparts. Specifically, we are using generalized impulse response function (GIRF) in order to see the...

This paper investigates the macroeconomic effects of terror by using a novel data set from Turkey for the period of 1987:1 to 2004:4. This research contributes to the literature by controlling for the possible non-linear and endogenous relationship between political conflict and economic...

Recent developments in time series analysis allow proper modelling of nonlinearities in economic and financial variables. A growing body of research was dedicated to investigation of potential nonlinearities in conditional mean of many economic and financial variables, mainly concentrating in...

By using a very novel dataset from Turkish SMEs, this paper investigates the effects of agglomeration economies on productive and allocative efficiency. After controlling for unobserved heterogeneity at the time level, our empirical results from ordered panel probit models provide evidence that...

Several attempts have been made in the literature to analyze the detrimental effects of terrorist activities on the stock market. However, in neither of these studies the effects of terrorist activities on stock returns are investigated through employing nonlinear models in spite of the fact...

In this study, we re-examine the PPP hypothesis in the light of the new developments in the unit root testing literature. The recent theoretical findings have pointed out that the real exchange rate series exhibit asymmetric nonlinear behavior. A unit root test applied to analyze the PPP...