Browsing by Keywords "GARCH"
Now showing items 1-12 of 12
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Avrupa Birliği kararlarının IMKB'deki hisse senetlerinin getiri oranları üzerine etkileri
(AÜ Siyasal Bilgiler Fakültesi, 2006)Türkiye'nin Avrupa Birliği ile ilişkileri özellikle Gümrük Birliği Anlaşması'ndan sonra yoğunluk kazanmıştır. 1990'lı yılların ikinci yarısından günümüze kadar geçen zamanda Türkiye ile ilgili çok sayıda Avrupa Komisyonu ... -
The day of the week effect on stock market volatility and volume: international evidence
(John Wiley & Sons Ltd., 2003)This study investigates the day of the week effect on the volatility of major stock market indexes for the period of 1988 through 2002. Using a conditional variance framework, we find that the day of the week effect is ... -
Effects of adopting inflation targeting regimes on inflation variability
(Elsevier BV, 2007)This paper investigates whether inflation-targeting programs have altered the pattern of inflation and its variability for five developed countries and four emerging economies implementing inflation-targeting programs. A ... -
The effects of different inflation risk premiums on interest rate spreads
(Elsevier BV, 2004)This paper analyzes how the different types of inflation uncertainty affect a set of interest rate spreads for the UK. Three types of inflation uncertainty - structural uncertainty, impulse uncertainty, and steady-state ... -
Effects of macroeconomic dynamics on stuck returns: case of Turkish stock exchange market
(Statistical Economic and Social Research and Training Centre for Islamic Countries, 2005)This study analyses the effects of macroeconomic dynamics on the Turkish Stock Exchange Markets by using a time varying parameter model with GARCH specification. -
Exchange rate risk and interest rate: a case study for Turkey
(Springer New York LLC, 2003)This paper examines the effect of exchange rate risk on interest rates within the uncovered interest rate parity condition for Turkey. When the interest rate is measured with the Treasury auction interest rate and the ... -
Formal GARCH performance in a computable dynamic general equilibrium framework
(Bilkent University, 1998)This study uses a Computable Dynamic General Equilibrium setting based on Brock’s (1979, 1982) intertemporal growth and asset pricing models and applies this framework as a formal test to study the out-of-sample forecast ... -
GARCH models and an application to stock return volatility with the effect of daily trading volume in Istanbul Securities Exchange
(Bilkent University, 1995)In this study, the effect of daily trading volume on stock return volatility is analyzed using the data from Istanbul Securities Exchange (ISE). Generalized Autoregressive Conditional Heteroscedasticity (GARCH) process ... -
The performance of the istanbul stock exchange during the Russian crisis
(Routledge, 2002)This paper uses a unique data set to examine the possibility of a structural change in contemporaneous volume-return relation on the Istanbul Stock Exchange (ISE) during the Russian crisis in 1998. The comparison of the ... -
The relationship between implied volatility and cryptocurrency returns
(Elsevier, 2020)We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. ... -
Three essays on monetary policy modeling : applications of inflation targeting
(Bilkent University, 2008)This dissertation is made up of three essays on modeling monetary policy in a New Keynesian framework. The first essay presents an overview of the evolution of New Keynesian view. Since most of the studies in monetary policy ... -
Two essays on the link between inflation uncertainty and interest rates and effect of foreign income on economic performance of a small-open economy
(Bilkent University, 2005)This study includes two studies on the relationship between inflation uncertainty and interest rates and examines the effects of foreign income on economic performance of a small open economy. In the literature, there ...
