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Browsing Bankacılık ve Finans Bölümü YayınKoleksiyonu by Author "234617"

Browsing Bankacılık ve Finans Bölümü YayınKoleksiyonu by Author "234617"

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  • An alternative mean reversion test for interest rates 
    İlalan, Deniz; Özel, Özgür (Central Bank Republic Turkey, 2018-03)
    A number of empirical studies assert that interest rates are governed by unit root processes rejecting any form of reversion to a long term mean by resorting to certain tests, among which the Augmented Dickey Fuller (ADF) ...
  • Non-linear unit root testing with arctangent trend: Simulation and applications in finance 
    İlalan, Deniz; Özel, Özgür (Taylor&Francis AS, 2018-04-18)
    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 ...