Browsing by Subject "Time series econometrics"

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    Constrained nonlinear programming for volatility estimation with GARCH models
    (2003) Altay-Salih, A.; Pınar, M. Ç.; Leyffer, S.
    This paper proposes a constrained nonlinear programming view of generalized autoregressive conditional heteroskedasticity (GARCH) volatility estimation models in financial econometrics. These models are usually presented to the reader as unconstrained optimization models with recursive terms in the literature, whereas they actually fall into the domain of nonconvex nonlinear programming. Our results demonstrate that constrained nonlinear programming is a worthwhile exercise for GARCH models, especially for the bivariate and trivariate cases, as they offer a significant improvement in the quality of the solution of the optimization problem over the diagonal VECH and the BEKK representations of the multivariate GARCH model.
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    Efficiency of the Turkish stock exchange with respect to monetary variables: a cointegration analysis
    (Elsevier BV, 1996) Muradoglu, Y. G.; Metin, K.
    In this study, we test the semistrong form of the efficient market hypothesis in Turkey by using the recently developed techniques in time series econometrics, namely unit roots and cointegration. The long run relationship between stock prices and inflation is investigated by assuming the possible existence of a proxy effect. Conclusions are made as to the efficiency of the Turkish Stock Exchange and its possible implications for investors. To our knowledge, this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis of long run steady state properties together with short run dynamics.