It is shown that if cell weights may be calculated from the data the chance-corrected Zegers-ten Berge coefficients for metric scales are special cases of Cohen’s weighted kappa. The corrected coefficients include Pearson’s product-moment correlation, Spearman’s rank correlation and the...

This paper investigates the weak form of market efficiency hypothesis over eleven Tunisian banks listed on the Tunisian Stock Exchange during the period July 2012 to June 2013. GARCH (1, 1) and its extension EGARCH (1,1) are developed in order to describe the sign and size of financial...

In this study, volatility of sock return behavior through a regime-Switching Asymmetric Power GARCH Model (RS-APGARCH) analyses in Istanbul Stock Exchange (ISE), Turkey, during the period of 1988-2006 and show that ISE's asymmetric response and the intensity of this response to good and/or bad...

We find that the Andrews and Ploberger’s (1996) tests have unit local power against the nearly integrated, nearly white noise process (ref. Nabeya and Perron (1994)). Therefore, compared with the stationary local alternatives, higher power is expected when testing against such process. Monte...

Finansal piyasalar ve kurumlar ekonomide fonları tasarruf sahiplerinden yatırım yapanlara aktarmada önemli rol oynarlar. Tasarruflarını finansal piyasalarda değerlendirmek isteyen yatırımcılar ise riske maruz kalırlar. Finansal piyasa değişkenliği (oynaklığı) bir portföy ya da...

The paper investigates from an empirical perspective aspects related to the occurrence of the IGARCH effect and to its impact on volatility forecasting. It reports the results of a detailed analysis of twelve samples of returns on financial indexes from major economies (Australia, Austria,...