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Öğe A general model for financial crises: An application to eurozone crisis(Elsevier, 2020) Yener, Haluk; Soybilgen, Baris; Stengos, ThanasisWe provide a mathematical framework to spot the non-resilient periods of an economy and understand the reason why an economy becomes non-resilient. Our non-resilience indicator spots the distressful periods of sixteen European economies successfully over the course of almost thirty years. To understand why these economies became non-resilient, we solve a problem related to survival analysis and establish an analytic relationship between the leverage level of an economy and its macro fundamentals. We apply our approach to the same group of countries and show with a vector autoregressive model why certain indebted European economies still struggle years after the crisis.Öğe Analysis of the seeds of the debt crisis in Europe(Routledge Journals, Taylor & Francis Ltd, 2017) Yener, Haluk; Stengos, Thanasis; Yazgan, M. EgeThis paper presents an analysis of the seeds of the recent debt crisis that occurred in the Eurozone area using a variant of Fleming and Stein [2004. Stochastic Optimal Control, International Finance and Debt. Journal of Banking and Finance, 28: 979-996] model. This model has two risk drivers arising from uncertainties in the return on capital and the effective rate of return on net foreign assets. Given the risk drivers, we model the net worth value process of an economy under a stochastic setting and show that opening to the rest of the world by pursuing the growth maximizing leverage strategy is better than remaining closed, as that strategy enhances the growth of the net worth process. Second, we provide an extra condition to show when the excessive leverage poses a threat to the sustainable growth of an economy. In this way, we improve the model introduced by Fleming and Stein as a signal of possible debt crises. Finally, we conduct an econometric analysis for the group of countries considered under this study, and show that there is a long-run relationship between the capital stock and the total external debt justifying the use of the structural model we employ.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 Maximizing survival, growth and goal reaching under borrowing constraints(Routledge Journals, Taylor & Francis Ltd, 2015) Yener, HalukIn this paper, we consider the survival, growth and goal reaching maximization problems treated in Browne [Math. Oper. Res., 1997, 22, 468-493] and solve them in a market constrained due to borrowing prohibition. To solve the problems, we first construct an auxiliary market introduced by Cvitanic and Karatzas [Ann. Appl. Probab., 1992, 2, 767-818] and then apply the dynamic programming approach. Via our solutions, an alternative approach is introduced in order to solve the problems defined under an auxiliary market.Öğe Minimizing the lifetime ruin under borrowing and short-selling constraints(Taylor & Francis Ltd, 2014) Yener, HalukIn this paper, the optimal investment strategies for minimizing the probability of lifetime ruin under borrowing and short-selling constraints are found. The investment portfolio consists of multiple risky investments and a riskless investment. The investor withdraws money from the portfolio at a constant rate proportional to the portfolio value. In order to find the results, an auxiliary market is constructed, and the techniques of stochastic optimal control are used. Via this method, we show how the application of stochastic optimal control is possible for minimizing the probability of lifetime ruin problem defined under an auxiliary market.Öğe Pairs trading with wavelet transform(Routledge Journals, Taylor & Francis Ltd, 2023) Eroglu, Burak Alparslan; Yener, Haluk; Yigit, TanerWe show that applying the wavelet transform to S & P 500 constituents' prices generates a substantial increase in the returns of the pairs-trading strategy. Pairs trading strategy is based on finding prices that move together, but if there is shared noise in the asset prices, the co-movement, on which one base the trades, might be caused by this common noise. We show that wavelet transform filters away the noise, leading to more profitable trades. The most notable change occurs in the parameter estimation stage, which forms the weights of the assets in the pairs portfolio. Without filtering, the parameters estimated in the training period lose relevance in the trading period. However, when prices are filtered from common noise, the parameters maintain relevance much longer and result in more profitable trades. Particularly, we show that more precise parameter estimation is reflected on a more stationary and conservative spread, meaning more mean reversion in opened pairs trades. We also show that wavelet filtering the prices reduces the downside risk of the trades considerably.Öğe Proportional reinsurance and investment in multiple risky assets under borrowing constraint(Taylor & Francis Ltd, 2020) Yener, HalukIn this paper, we consider the ruin probability minimization of an insurance company that buys proportional reinsurance and invests in markets where borrowing is constrained. We use a diffusion approximation model for the surplus process of this company and assume that the company invests its surplus into a riskless and multiple risk assets that are modeled as geometric Brownian motions. To find the results, we introduce an auxiliary market parametrized with fictitious processes to relax the borrowing constraint and apply the techniques of stochastic optimal control. In this way, we find the optimal proportional reinsurance and investment strategy of an insurance company investing into multiple risky assets to minimize its ruin probability under the borrowing constraint. Furthermore, from our solutions, we show how our results connect to economic survival analysis and how investment and reinsurance strategies are related.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 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.
