Browsing Bankacılık ve Finans Bölümü YayınKoleksiyonu by Author "Özel, Özgür"

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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 ...
Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence from US T-Bond Yields

İlalan, Deniz; Özel, Özgür (Walter De Gruyter GMBH, 2019-04)

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