Shocks, jumps, booms, and busts are typical large fluctuation markers that appear in crisis. Identifying financial crises and estimating leading indicators with strong relations during crisis periods have an essential role in the literature. This thesis examines the dynamic co-movements of leading indicators' multifractal features to identify financial crises due to large fluctuations. The detected dynamic relationships predict leading indicators with scale-by-scale analysis and make large-scale predictions better than challenger models. As a natural result of these studies, the n-dimensional wavelet coherence method is examined, an . . .d the vectorwavelet package is transferred to the R program. This thesis consists of three independent parts, and the contents of the studies are summarized below. In the first part, stock returns' co-movements with other leading indicators in crisis periods are analyzed with multiple and quadruple wavelet coherence using interest rate, exchange rate, and trade balance differences. The scale-by-scale wavelet transformation was used to predict large-scale relationships, and stock return estimation was performed. In the second part, the multifractal characteristics of sectoral default probabilities of the real sector in Turkey and Turkey sovereign CDS rates were examined by detrended fluctuation analysis. Significant dynamic connections between the Hölder exponents of the default rates and CDS during financial crisis periods have been examined. During the periods of financial crises, among the Hölder exponents, severely correlated large scales show multifractal features. Scale-by-scale wavelet transform has been used to predict large-scale relationships, and hence vector fractionally autoregressive integrated moving average forecasting provides better results than scalar models. The final part of the thesis introduces a new wavelet methodology to handle multivariate time series dynamic co-movements by extending multiple quadruple wavelet coherence methodologies. The primary motivation of our works is to measure wavelet coherence analytically for the specific dimension
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 GDP of Turkey and OECD countries, R&D inve . . .stments, population, logistics performance index, and distance between countries. Since the models have problems with autocorrelation, heteroskedasticity, and cross-section dependence, the Huber-Eicker-White estimator, which is robust to these problems, was used. When the results obtained were examined, it was concluded that the sign of the relationship between GDP and foreign trade volume of the countries in the model in which the foreign trade volume was the dependent variable was positive. The gravity model has main variables used in the studies. Among these, the variable that expresses the geographical distance between countries is among the most used. In the study, the direction of relationship with trade flows is negative. Turkey's logistics performance index positively and significantly affects foreign trade volume in the first two models. It has been observed that there is a positive relationship between the populations of OECD countries and Turkey's foreign trade volume, in line with expectations. When the study's primary purpose is evaluated, Turkey's logistics performance index has a positive and significant effect on foreign trade volume
YEDİTEPE ÜNİVERSİTESİ AKADEMİK ARŞİVİ
Yeditepe Üniversitesi, akademisyen ve lisansüstü öğrencilerinin iç ve dış paydaşlarla ürettikleri bilimsel çalışmalarını, Akademik Açık Arşivi’nde elektronik olarak yayınlayarak ülkemiz ve insanlık yararına sunar.
Yeditepe Üniversitesi Akademik Açık Arşivi’nde bulunan tüm kaynaklar, telif haklarına uygun şekilde ve açık erişim olarak yayınlanır.
Preprint (ön baskı), yayınlanmış makaleler ve diğer bilimsel belgeler Yeditepe Üniversitesi birimleri, araştırmacı adları, yayın tarihi ve anahtar kelimelere göre kategorize edilerek sunulmuştur.
Yeditepe University provides the scientific studies conducted by academicians and graduate students with internal and external partners for the benefit of our country and humanity by publishing them electronically in the Academic Open Archive. All resources in the Yeditepe University Academic Open Archive are published in accordance with copyright and open access. Preprint published articles and other scientific documents are categorised on the basis of Yeditepe University units, researcher names, publication date and keywords.
6698 sayılı Kişisel Verilerin Korunması Kanunu kapsamında yükümlülüklerimiz ve çerez politikamız hakkında bilgi sahibi olmak için alttaki bağlantıyı kullanabilirsiniz.