Now showing items 1-17 of 17

    • Continuous time counterpart of vector auto regression of term structure dynamics with jump diffusion processes 

      Aksu, Gülşah (Bilkent University, 2010)
      The understanding of bond yields is important for several reasons such as forecasting, monetary and debt policies, derivative pricing and investment decisions. The existence of a huge literature on this subject is a clue ...
    • Currency crises theory : third generation models 

      Koç, Emre (Bilkent University, 2009)
      This thesis investigates third generation currency crisis literature and concludes that the 2001 Turkish currency crisis can be labeled as a third generation type crisis, despite having unique characteristics. According ...
    • Determination of periodically collapsing rational bubbles 

      Kuş, Savaş (Bilkent University, 2006)
      Since Evans’ criticism of conventional unit root and cointegration tests in case of periodically collapsing rational bubbles, a number of new approaches have been suggested. In this paper, we propose a new testing strategy ...
    • Distortion risk measures and allocation methodologies 

      Kurtulan, Ali Burak (Bilkent University, 2009)
      This study reviews the commonly used risk measures and allocation methodologies for risk capital. The method proposed by Tsanakas (2004) about dynamic capital allocation with distortion risk measures analyzed and for the ...
    • European financial integration : measurement bond and stock markets 

      Erden, Burak (Bilkent University, 2009)
      The emergence of European Economic and Monetary Union (EMU) has given a large momentum to financial integration in Europe. After the introduction of the Euro(€) on 1 January 1999, all of the remaining exchange rate risk ...
    • The impact of uncertainty on investment : overview 

      Yılmaz, Erdal (Bilkent University, 2009)
      Common consensus in the real option literature is that there is a negative relationship between uncertainty and investment. One of the explanations can be stated that the increased in uncertainty leads to move up the ...
    • Improving inference in integration and cointegration tests 

      Eroğlu, Burak Alparslan (Bilkent University, 2016-05)
      In this thesis, I address three di erent problems in unit root and cointegration models and I propose new methods to improve inference in testing procedures for these models. Two of these problems are related to unit ...
    • Joint test for structural model specification 

      Yüksel, Serkan (Bilkent University, 2006)
      Aim of this thesis is to propose a test statistic that can test for true structural model in time series. Main concern of the thesis is to suggest a test statistic, which has joint null of unit root and no structural ...
    • Measurement of financial integration : theory review and a new approach to Euler test 

      Er, Hakan (Bilkent University, 2009)
      An extension of the Euler test in which the real interest rate differential is explained by the growth rate of real consumption of the domestic and the foreign country, and new proxies developed to measure real interest ...
    • Model for valuating decentralized energy production 

      Cider, Muammer (Bilkent University, 2008)
      The purpose of this thesis is to assess decentralized production technologies in an economical framework. Throughout the thesis, technological aspects such as smart metering or connectivity issues are ignored. All ...
    • Nonstationary factor model applications of Elastic Net 

      Konak, Deniz (Bilkent University, 2013)
      In this thesis, we adopted Elastic Net estimators for selecting true number of factors in factor models with stationary and nonstationary factors. Elastic Net is a member of shrinkage estimators family. As a member of ...
    • Performance analysis of single structural break test with an empirical study on efficient market hypothesis" 

      Yıldız, İzzet (Bilkent University, 2005)
      In this thesis, performance of the single structural break tests is examined. Since it has proved superiority of Sequential F test on other single break tests, it is chosen as single break test. Monte Carlo simulation ...
    • Real estate and mortgage crisis : a study on the United States 

      Karataş, Bilge (Bilkent University, 2009)
      Like every asset price boom, the US Real Estate Boom expanded the economy until the burst occurred. Although the existence of an “irrational” boom was apparent, it has been questioned whether the increase suggested a ...
    • Spurious regression problem in Kalman Filter estimation of time varying parameter models 

      Eroğlu, Burak Alparslan (Bilkent University, 2010)
      This thesis provides a simulation based study on Kalman Filter estimation of time varying parameter models when nonstationary series are included in regression equation. In this study, we have performed several simulations ...
    • A survey of multivariate GARCH models 

      Taş, Mustafa Anıl (Bilkent University, 2008)
      This paper reviews the recent developments in the multivariate GARCH literature. Most common multivariate GARCH models and their properties are briefly presented.
    • A theoretical overview of the first and second generation models of currency crises 

      Özbuğday, Fatih Cemil (Bilkent University, 2009)
      This study reckons a comprehensive and holistic overview of first and second generation models of currency crises. The main characteristics and assumptions of these models are portrayed and the motives behind these models ...
    • Volatility costs of inflation targeting : analysis of nine inflation targeting countries 

      Doğan, Gönül (Bilkent University, 2004)
      This thesis tries to investigate the impact of inflation targeting as a monetary policy on the volatility of output and inflation, interest rate, exchange rate, and money growth in the nine countries that adopted inflation ...