Forecasting realized volatility of BIST indices with har-type models

Köksal, Emre Ahmet

In this paper, realized volatility of a selection of BIST Indices are forecasted with Heterogeneous Autoregressive Model (HAR) and its variations. For this purpose, ticks between 2001 and 2021 are used to generate 5-minute returns, which formed the basis for calculations of realized volatility and other realized measures. In the study, rolling windows are utilized for forecasting the volatility of one day ahead. These predictions are then compared to the actual realized volatilities. The study provides a thorough comparison of HAR-type models, and emphasizes the importance of underlying time s ...Daha fazlası

Preprint 2023 Yeditepe University Academic and Open Access Information System 69 Görüntülenme

Erişime Açık

Impact of IFRS-16 lease standard on financial statements of transportation and storage companies: evidence from Bist

Abdullahi, Mukhtar Farah

The International Financial Reporting Standards (IFRS) have been implemented by firms around the globe to make financial information internationally consistent and comparable. The newly established international financial reporting standard (IFRS-16, "Leases") requires recognition of certain old off-balance-sheet assets and liabilities resulting from operating leases under the International Accounting Standard 17 (IAS 17). The objective of this research aims to employ financial statement items and ratios to investigate how the new leasing standard IFRS-16 affected financial statements followin ...Daha fazlası

Preprint 2023 Yeditepe University Academic and Open Access Information System 111 Görüntülenme

Detaylı Arama

Filtreler

Koleksiyon [1]

İlgili Araştırmacılar [1]

Ambargo Durumu [1]

Tam Metin [1]

Eser Adı [2]

Yazar [Asıl] [2]

Yayın Tarihi [1]

Yazar Departmanı [3]

Yazar [KatkıdaBulunan] [1]

Yazar [KatkıdaBulunan] Kurum [2]

Konu Başlıkları [Genel] [18]

Yayın Türü [Ortam] [1]

Dil [1]

Yayıncı [1]

Erişim Hakkı [1]

Yayın Turu [Akademik] [1]

Forecasting realized volatility of BIST indices with har-type models

Köksal, Emre Ahmet

Impact of IFRS-16 lease standard on financial statements of transportation and storage companies: evidence from Bist

Abdullahi, Mukhtar Farah