Similar Search Results

Volatility spillovers between WTI and Brent spot crude oil prices : an analysis of granger causality in variance patterns over time

Atukeren, Erdal; Çevik, Emrah İsmail; Korkmaz, Turhan - In: Research in international business and finance 56 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013267899

Dynamic relationship between international tourism, economic growth and environmental pollution in the OECD countries : evidence from panel VAR model

Gedikli, Ayfer; Erdoğan, Seyfettin; Çevik, Emrah Ismail; … - In: Economic research 35 (2022) 1,5, pp. 5907-5923

Persistent link: https://www.econbiz.de/10014419248

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

Volatility Spillover Effect from Volatility Implied Index to Emerging Markets

Korkmaz, Turhan; Çevik, Emrah Ismail - In: Journal of BRSA Banking and Financial Markets 3 (2009) 2, pp. 87-106

This study has investigated the effect of VIX, created as an implied volatility in the US, on 15 emerging stock markets with the application of GJR-GARCH model. According to the results obtained, the emerging stock markets have leverage effect in conditional variance and emerging bad news...

Persistent link: https://www.econbiz.de/10008464865

Analyzing of Relationship among stock markets of the US, Germany and Turkey with MS-VAR Model

ÇEVIK, Emrah Ismail; ÇEVIK, Nuket Kirci; GURKAN, Serhan - In: Journal of BRSA Banking and Financial Markets 6 (2012) 1, pp. 133-155

In this study, the presence of dynamic relations among stock markets of the US, Germany and Turkey is examined by means of Markov regime switching-Vector Autoregressive (MS-VAR) model. Empirical results suggest that the MS-VAR model provides a better characterization of relation among stock...

Persistent link: https://www.econbiz.de/10010896078

VOB’da işlem gören endeks ve döviz vadeli sözleşmelerin getirilerinde uzun hafıza varlığının test edilmesi

KORKMAZ, Turhan; ERDOĞAN, Sedat; ÇEVİK, Emrah İsmail - In: Iktisat Isletme ve Finans 24 (2009) 274, pp. 7-32

Bu çalışmanın amacı, Vadeli İşlem ve Opsiyon Borsasındaki (VOB) günlük vadeli sözleşme getiri serilerini kullanarak uzun hafızanın varlığını araştırmaktır. VOB’ta işlem gören İMKB30, İMKB100 Endeksleri, ABD Doları ve Euro vadeli işlem sözleşmelerinin getirilerinde...

Persistent link: https://www.econbiz.de/10005489599