Browsing by Subject "Block recursive VAR"

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    Effect of S&P500's return on emerging markets: Turkish experience
    (Routledge, 2005) Berument, Hakan; Ince, O.
    This study assesses the effect of S&P500 return on the Istanbul Stock Exchange within a dynamic framework. In order to capture the effect, a block recursive VAR model is built, allowing that S&P500 affects the ISE returns with its current and lag values but not vice versa. The estimates from daily data suggest that returns on S&P500 affect ISE return positively up to four days.