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Öğe BORSA İSTANBUL 100 ENDEKSİ İÇİN DİNAMİK RİSKE MARUZ DEĞER VE BEKLENEN KAYIP ANALİZİ(2022) Yener, Haluk; Eroğlu, Burak AlparslanBu çalışmada, BIST 100 endeks getirileri için, önemli finansal risk ölçütlerinden dinamik riske maruz değer ve beklenen kayıp tahmini ve öngörüsü yapılmıştır. Öngörü modeli olarak genelleştirilmiş özyenilemeli skor, ARMA-GARCH ve yuvarlanan pencere tabanlı tahmin modelleri kullanılmıştır. Ayrıca, farklı frekanslarda hesaplanan getiri serileri kullanılarak, farklı frekanslarda risk ölçütleri Nisan 2016 ve Şubat 2019 tarihleri arası için elde edilmiştir. Çalışmanın temel bulguları, 1) Yapılan örneklem dışı analizde genelleştirilmiş özyenilemeli skor tabanlı yöntemlerin daha verimli olduğu ve 2) Risk ölçütlerinin örneklem sonuna doğru dalgalanması azalırken seviyelerinin yavaş bir şekilde arttığı olgularıyla özetlenebilir.Öğe How Successful Are Wavelets in Detecting Jumps?(MDPI AG, 2017-12) Eroğlu, Burak Alparslan; Gencay, Ramazan; Yazgan, EgeWe evaluate the performances of wavelet jump detection tests by using simulated high-frequency data, in which jumps and some other non-standard features are present. Wavelet-based jump detection tests have a clear advantage over the alternatives, as they are capable of stating the exact timing and number of jumps. The results indicate that, in addition to those advantages, these detection tests also preserve desirable power and size properties even in non-standard data environments, whereas their alternatives fail to sustain their desirable properties beyond standard data features.Öğe Mevsimsel Birim Kök ve Esbütünlesme Modellerinde Yeni Yaklasımlar(2020) Eroğlu, Burak AlparslanBu projede mevsimsel zaman serileri konusunda üç farklı çalısma sunduk. Bu çalısmaların ortak noktasını bütünlesme konusu olusturdu. Birinci ve üçüncü çalısmalarda tek degiskenli mevsimsel zaman serilerinde bütünlesme konusunu ele aldık. Bu zaman serilerinde bütünlesmeyi incelemek için birim kök testlerine yogunlastık. Birinci çalısmamızda yeni bir mevsimsel zaman serisi süreci öne sürüp, bu zaman serileri için birim kök testleri olusturduk. Üçüncü çalısmamızda ise mevsimsel zaman serilerinde dogrusal olmama ve yapısal kırılma durumlarını Esnek Fourier fonksiyonları yardımıyla inceledik. Ikinci çalısmamız, diger çalısmalarımızdan farklı olarak çok degiskenli mevsimsel süreçleri inceledik. Bu süreçler için yeni, parametrik olmayan esgüdüm (esbütünlesme) testleri öne sürüp, bu testlerin limit ve küçük örnek uzay özelliklerini gösterdik. Bu üç çalısmamızda hem teorik çıkarımlara hem de simülasyon yardımıyla küçük örnek uzay özelliklerine yer verdik.Öğe Non-parametric seasonal unit root tests under periodic non-stationary volatility(Springer Science and Business Media Deutschland GmbH, 2022-11) Eroğlu, Burak AlparslanAbstract: This paper presents a new non-parametric seasonal unit root testing framework that is robust to periodic non-stationary volatility in innovation variance by making an extension to the fractional seasonal variance ratio unit root tests of Eroğlu et al. (Econ Lett 167:75–80, 2018). The setup allows for both periodic heteroskedasticity structure of Burridge and Taylar (J Econ 104(1):91–117, 2001) and non-stationary volatility structure of Cavaliere and Taylor (Econ Theory 24(1):43-71, 2008). We show that the limiting null distributions of the variance ratio tests depend on nuisance parameters derived from the underlying volatility process. Monte Carlo simulations show that the standard variance ratio tests can be substantially oversized in the presence of such effects. Consequently, we propose wild bootstrap implementations of the variance ratio tests. Wild bootstrap resampling schemes are shown to deliver asymptotically pivotal inference. The simulation evidence depicts that the proposed bootstrap tests perform well in practice and essentially correct the size problems observed in the standard fractional seasonal variance ratio tests, even under extreme patterns of heteroskedasticity. © 2022, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.Öğe On the Performance of Wavelet Based Unit Root Tests(MDPI, 2018-09) Eroğlu, Burak Alparslan; Soybilgen, BarışIn this paper, we apply the wavelet methods in the popular Augmented Dickey-Fuller and M types of unit root tests. Moreover, we provide an extensive comparison of the wavelet based unit root tests which also includes the recent contributions in the literature. Moreover, we derive the asymptotic properties of the wavelet based unit root tests under generalized least squares detrending mechanism. We demonstrate that the wavelet based M tests exhibit better size performance even in problematic cases such as the presence of negative moving average innovations. However, the power performances of the wavelet based unit root tests are quite similar to each other.Öğe Powerful nonparametric seasonal unit root tests(ELSEVIER SCIENCE SA, 2018-06) Eroğlu, Burak AlparslanThis paper introduces a powerful nonparametric testing procedure for seasonal unit roots by utilizing the fractional integration operator. Different from the well-known seasonal unit root tests of Hylleberg et al. (1990), the proposed tests do not require any parametric specifications. (C) 2018 Elsevier B.V. All rights reserved.Öğe Reexamination of the BIST 100 stock price volatility with heterogeneous autoregressive realized volatility models(Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 2021) Eroğlu, Burak Alparslan; İkizlerli, Deniz; Yener, HalukABSTRACT: In this study, we employ the heterogeneous autoregressive model framework on the (half) daily returns of the BIST 100 index between the years 2016 and 2019. This framework helps us understand the short, medium, and long-term patterns of the volatility dynamics for the return series. Notably, we analyze how leverage effect and jumps in the return series affect the realized volatility of the BIST 100 index. For the analysis, we employ sixteen models, and the results from these models show that there is a leverage effect, albeit small. The effect of jumps is significant and is present either in the short-term or long-term, depending on the type of model utilized for the analysis. We also detect a diurnal effect at the session level, implying that the realized volatility of the BIST 100 index is lower in the morning sessions.Öğe Reexamination of the BIST 100 Stock Price Volatility with Heterogeneous Autoregressive Realized Volatility Models(2021) Yener, Haluk; İkizlerli, Deniz; Eroğlu, Burak AlparslanIn this study, we employ the heterogeneous autoregressive model framework on the(half) daily returns of the BIST 100 index between the years 2016 and 2019. This framework helpsus understand the short, medium, and long-term patterns of the volatility dynamics for the returnseries. Notably, we analyze how leverage effect and jumps in the return series affect the realizedvolatility of the BIST 100 index. For the analysis, we employ sixteen models, and the results fromthese models show that there is a leverage effect, albeit small. The effect of jumps is significantand is present either in the short-term or long-term, depending on the type of model utilized forthe analysis. We also detect a diurnal effect at the session level, implying that the realized volatilityof the BIST 100 index is lower in the morning sessions.Öğe Responses of the term structure of interest rates and asset prices to monetary policy shocks: Evidence from Turkey(2018) Karaman, Seçil Yıldırım; Eroğlu, Burak AlparslanThis paper investigates the impact of the policy decisions by the Central Bank of the Republic of Turkey (CBRT) and Federal Reserve (Fed) on the asset prices and the term structure of interest rates in Turkey between 2010 and 2016 using Vector Autoregression (VAR) framework, heteroscedasticity based identification (HBI) and daily data. What is particular about this period is that the CBRT added financial stability to its objectives in addition to price stability and adopted a new monetary policy mix that entailed the joint use of multiple policy tools. For identification, we rely on the assumption that monetary policy shocks are heteroscedastic. Our results show that expansionary monetary policy shocks by the CBRT made the yield curve steeper in the sample period which implies that focusing on multiple objectives weakened the control of the CBRT over the long-term interest rates.Öğe The impact of US Monetary Policy Announcements on Equity Prices: Evidence from Borsa Istanbul(2020-09-28) İkizlerli, Deniz; Yener, Haluk; Eroğlu, Burak AlparslanThis study examines the effect of FOMC's (Federal Open Market Committee) announcements on the volatility of stock returns in the Borsa Istanbul (BIST) from January 4, 2000 to May 31, 2019. We find that FOMC's news increases the market level of volatility on announcement days but cannot find any evidence that it had a destabilizing effect on the Turkish stock market over our observation period. We also look at the effect of FOMC's news on the return volatility of the BIST100 index over different states of the stock market and find that FOMC's announcement days give a lift to conditional volatility both in bull periods and bear periods, but find no evidence of destabilizing impact. On the contrary, both positive announcement and negative announcement shocks in bull periods are found to depress volatility on consecutive days. In other words, FOMC's announcements in bull periods have a stabilizing effect on equity prices rather than a destabilizing in the BIST100 index.Öğe The Impact of US Monetary Policy Announcements on EquityPrices: Evidence from Borsa Istanbul(2020) İkizlerli, Deniz; Yener, Haluk; Eroğlu, Burak AlparslanThis study examines the effect of FOMC's (Federal Open Market Committee) announcements on the volatility of stock returns in the Borsa Istanbul (BIST) from January 4, 2000 to May 31, 2019. We find that FOMC's news increases the market level of volatility on announcement days but cannot find any evidence that it had a destabilizing effect on the Turkish stock market over our observation period. We also look at the effect of FOMC's news on the return volatility of the BIST100 index over different states of the stock market and find that FOMC's announcement days give a lift to conditional volatility both in bull periods and bear periods, but find no evidence of destabilizing impact. On the contrary, both positive announcement and negative announcement shocks in bull periods are found to depress volatility on consecutive days. In other words, FOMC's announcements in bull periods have a stabilizing effect on equity prices rather than a destabilizing in the BIST100 index.Öğe Time-varying cointegration and the Kalman filter(Bellwether Publishing, Ltd., 2020) Eroğlu, Burak AlparslanWe show that time-varying parameter state-space models estimated using the Kalman filter are particularly vulnerable to the problem of spurious regression, because the integrated error is transferred to the estimated state equation. We offer a simple yet effective methodology to reliably recover the instability in cointegrating vectors. In the process, the proposed methodology successfully distinguishes between the cases of no cointegration, fixed cointegration, and time-varying cointegration. We apply these proposed tests to elucidate the relationship between concentrations of greenhouse gases and global temperatures, an important relationship to both climate scientists and economists.Öğe Time-varying taylor rule estimation for Turkey with flexible least square method [Esnek en küçük kareler metodu ile Türkiye için zaman içinde de?işen taylor kurali kestirimi](Bogazici Universitesi, 2019) Soybilgen, Barış; Eroğlu, Burak AlparslanIn this study, we estimate a time-varying Taylor rule for evaluating the policy reaction function of the Central Bank of the Republic of Turkey (CBRT). Even though the Turkish economy has been continuously evolving in the last 15 years, previous studies that analyze the monetary policy rule of the CBRT mainly use time-invariant monetary policy functions. We propose a flexible two-stage least square regression to deal with both instability and endogeneity problems in the monetary policy functions. By analyzing the period between 2006 and 2019, we clearly show that the monetary policy function of the CBRT changes over time, and using a time-invariant monetary policy rule model would yield misleading results.
