DSpace Repository

Non-linear unit root testing with arctangent trend: Simulation and applications in finance

Show simple item record

dc.contributor.author İlalan, Deniz
dc.contributor.author Özel, Özgür
dc.date.accessioned 2019-12-23T14:01:29Z
dc.date.available 2019-12-23T14:01:29Z
dc.date.issued 2018-04-18
dc.identifier.citation İlalan, Deniz; Özel, Özgür (2018). Non-linear unit root testing with arctangent trend: Simulation and applications in finance, Cogent Mathematics, 5(1). tr_TR
dc.identifier.issn 2331-1835
dc.identifier.uri http://hdl.handle.net/20.500.12416/2237
dc.description.abstract We consider arctangent as the logistic function and compute the asymptotic critical values of the related non-linear unit root test via Monte Carlo simulation. While doing so, we got inspiration from some pioneering articles and use first-order Taylor approximation. We observe that this newly proposed test exhibits higher power than some well-known linear and non-linear tests. We apply our test to some stock indexes and find out that a non-linear arctangent trend can be at stage, rather than a linear unit root process. tr_TR
dc.language.iso eng tr_TR
dc.publisher Taylor&Francis AS tr_TR
dc.relation.isversionof 10.1080/25742558.2018.1458555 tr_TR
dc.rights info:eu-repo/semantics/openAccess tr_TR
dc.subject Unit Root Test tr_TR
dc.subject Smooth Transition tr_TR
dc.subject Asymptotic Distribution tr_TR
dc.title Non-linear unit root testing with arctangent trend: Simulation and applications in finance tr_TR
dc.type article tr_TR
dc.relation.journal Cogent Mathematics tr_TR
dc.contributor.authorID 234617 tr_TR
dc.identifier.volume 5 tr_TR
dc.identifier.issue 1 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi ve idari bilimler Fakültesi, Bankacılık ve Finans Bölümü tr_TR


Files in this item

This item appears in the following Collection(s)

Show simple item record