NONLINEAR DYNAMICS IN FINANCIAL TIME SERIES AND UNIT ROOT TESTS: CASE OF BORSA ISTANBUL SECTORAL PRICE-EARNING RATIOS

Mehmet OZCAN

Makale detayları

NONLINEAR DYNAMICS IN FINANCIAL TIME SERIES AND UNIT ROOT TESTS: CASE OF BORSA ISTANBUL SECTORAL PRICE-EARNING RATIOS

Yazarlar:

Mehmet OZCAN

Yayıncı:

PressAcademia

Dergi:

Journal of Economics Finance and Accounting 2015 Vol.2 Issue 4, pp.0-0

Belge Tipi:

Makale

Yayın Tarihi:

1/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000738981

Sıklık:

Üç Aylık

eISSN:

2148-6697

Özet:

 

Because of the variables which are falling within the scope of finance and the analysis are more reliable which are performed with high frequency series, financial time series take into special attention of empirical studies. Observed nonlinear effects on series are one of the popular subject for time series econometrics in the last years. Nonlinear dynamics are studied under two main topics in the literature which are Structural Break and Regime Switching. Structural Break is the best known nonlinear econometrics subject in Turkey. In this paper, structural break and regime switching dynamics that can be observed in time series are investigated and unin root test which are developed according to this dynamics are mentioned. At the end of the paper, price-earning ratio of Borsa Istanbul 100 Index dealt with on a sectoral basis and the nonlinear unit root tests are applied on related time series.

Makale detayları

NONLINEAR DYNAMICS IN FINANCIAL TIME SERIES AND UNIT ROOT TESTS: CASE OF BORSA ISTANBUL SECTORAL PRICE-EARNING RATIOS

Yazarlar: Mehmet OZCAN

Yayıncı: PressAcademia

Dergi: Journal of Economics Finance and Accounting 2015 Vol.2 Issue 4, pp.0-0

Belge Tipi: Makale

Yayın Tarihi: 1/2016

Belge Dili: Türkçe

Document ID (Org No.): 2000738981

Sıklık: Üç Aylık

eISSN: 2148-6697

Sayı

Yazarlar:

Mehmet OZCAN

Yayıncı:

PressAcademia

Dergi:

Journal of Economics Finance and Accounting 2015 Vol.2 Issue 4, pp.0-0

Belge Tipi:

Makale

Yayın Tarihi:

1/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000738981

Sıklık:

Üç Aylık

eISSN:

2148-6697