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Erişime Açık

Forecasting realized volatility of BIST indices with har-type models

Tüysüz, Şükriye

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

Erişime Açık

The effects of climate change on financial markets

There is a critical relationship between climate change and financial markets. In this study, temperature change values are used to examine the impact of climate change on agriculture, banking, investment, and insurance sectors. The study determines the relationship between temperature changes and agriculture, banking, investment, and insurance indices in BIST by regression analysis. The results show that climate change has different impacts on different sectors. While the agricultural sector is more sensitive to temperature changes, its impact on the bankingand investment sectors may be more ...Daha fazlası

Erişime Açık

Estimation of international trade

The study analyzed foreign trade volume among Turkey and 37 OECD countries, especially the sway of the logistics performance index on Turkey's foreign trade volume. In light of this, the effects of the logistic performance index in determining Turkey's foreign trade volume were analyzed by using the data of Turkey and OECD countries in the 2007-2020 period. In the study, three different models were established in which the total foreign trade volume, Turkey's exports to OECD countries, and Turkey's imports with OECD countries are dependent variables. The variables used in the models are the GD ...Daha fazlası

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