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WoS İndeksli Yayınlar Koleksiyonu

Permanent URI for this collectionhttps://hdl.handle.net/20.500.14901/698

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Browsing WoS İndeksli Yayınlar Koleksiyonu by Institution Author "Bekar, Engin"

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    Article
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    Beta-T Models for Exchange Rate Volatility Modelling: An Evaluation on the US Dollar / Turkish Lira Exchange Rate
    (Sosyoekonomi Soc, 2023) Bekar, Engin
    To compare different risk measurement methods, in this study, the US Dollar, which is important in terms of being one of the most preferred investment instruments in Turkey and being a reserve currency, is under review. First, EGARCH (1,1) and GJR-GARCH (1,1) models were estimated using the return data based on the US Dollar / Turkish Lira exchange rate for the 2005 -2021 period. Then, the "Beta-t-EGARCH and Its Variants", which have been introduced in recent years, fit well with the characteristics of the exchange rate series and, most importantly, are robust to extreme values and jumps in volatility have been estimated with the expectation of being able to calculate the exchange rate risk more accurately. As a result, it was determined that the model that best met the purpose of the study was the "Two-Component Beta-Skew-t-EGARCH Model with Leverage". The study is important because it draws attention to the effect of extreme values and fluctuations in the Turkish foreign exchange market volatility.
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    Investigation of Serial Dependence Asymmetry and Time Irreversibility in Stock Market Returns of MIST Countries Using the Quantile Periodogram
    (Ege Univ, Fac. Economics & Admin Sciences, 2023) Bekar, Engin
    The stock market indices of the countries are indicators that provide information about the countries' economies and financial stability. The aim of the study is to determine the similarities and differences in the stock market index return behaviors for Mexico, Indonesia, South Korea and Turkiye, which constitute the MIST country group. For this purpose, the spectral density kernel estimator "Quantile Periodogram" was used. The reason why this estimator is preferred is that it allows the investigation of serial dependence at different quantiles-frequencies and it is robust to outliers frequently encountered in return series, heavy-tailed distribution and changes in the distribution at high moments. The asymmetry of the serial dependence in different quantiles-frequencies and time-irreversibility which gives information about whether the financial series behavior is predictable or not, were analyzed with the quantile periodogram. According to the findings, Turkiye is the most preferred country by financial investors among MIST countries, while Mexico is the least preferred. Secondly, it is seen that the long-term behavior predictability of the returns has increased. This means that returns are more stable in the long run. When the findings are evaluated collectively, it is concluded that MIST countries are attractive for long-term financial investment.