BİST 100 ve Seçilmiş Ülke Endeksleri Arasındaki Volatilite Yayılım Etkisi: Diyagonal VECH GARCH Modeli / The Effect of Volatility Spillover Between BIST 100 and Selected Country Indices: Diagonal VECH GARCH Model

Autor: Esra Demirel

Publikováno v: Uluslararası Ekonomi, İşletme ve Politika Dergisi, Vol 7, Iss 1, Pp 104-117 (2023)

Bu çalışmada BİST 100 ile gelişmiş dünya ülkelerinden seçilen altı endeks arasındaki volatilite yayılım etkisi 4 Ocak 2016 ve 9 Haziran 2021 tarihleri arasındaki günlük endeks kapanış verileri kullanılarak araştırılmıştır. D�

Externí odkaz: https://doaj.org/article/3ba82cb546e049afa9ff137b50f9cfa6

The Interaction of Major Crypto-assets, Clean Energy, and Technology Indices in Diversified Portfolios

Autor: Caner Ozdurak, Alican Umut, Tugba Ozay

Publikováno v: International Journal of Energy Economics and Policy, Vol 12, Iss 2 (2022)

Cryptocurrencies have gained high interest from media, regulatory authorities, and both retailer and institutional investors especially in the COVID-19 pandemic followed by a tremendous academic interest. Classification of cryptos as an asset is one

Externí odkaz: https://doaj.org/article/1bc1a0532b6d42fa8ee996dfac59dde4

Spillovers from the Slowdown in China on Financial and Energy Markets: An Application of VAR–VECH–TARCH Models

Autor: Caner Özdurak, Veysel Ulusoy

Publikováno v: International Journal of Financial Studies, Vol 8, Iss 3, p 52 (2020)

The 2008 global financial crisis provides us with a wide range of study fields on cross-asset contagion mechanisms in the US financial markets. After a decade of the so-called subprime crisis, the impact of market news on asset volatilities increased

Externí odkaz: https://doaj.org/article/4ce4b25193054071821e9a4e6ae4ab18

Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices

Autor: Degiannakis, Stavros, Kiohos, Apostolos

Publikováno v: Journal of Economic Studies, 2014, Vol. 41, Issue 2, pp. 216-232.

Externí odkaz: http://www.emeraldinsight.com/doi/10.1108/JES-06-2012-0082

Dolar ve Euro kurları ile BİST 100 endeksi getiri oynaklığının modellemesi ve yayılımı: GARCH ve MGARCH modelleri ile bir uygulama

Autor: ALTUN, Özlem, TOPALOĞLU, Emre Esat

Publikováno v: Volume: 4, Issue: 2 125-133
Ardahan Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
Ardahan University Journal of the Faculty of Economics and Administrative Sciences

In this study, the volatility modeling of the USD-EURO exchange rates and the BIST 100 index return series and to reveal the volatility spillover between them is analyzed. The data were considered weekly for the period 2000-2019. Volatility structure

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=tubitakulakb::c9c4e965629f5a5a58fb79d0fa3d4891
https://dergipark.org.tr/tr/pub/aruiibfdergisi/issue/73708/1172633