MERT URAL
(Dokuz Eylül Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü, İzmir, Türkiye)
ERHAN DEMİRELİ
(Dokuz Eylül Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İzmir, Türkiye)
Yıl: 2015Cilt: 11Sayı: 2ISSN: 1306-2174 / 1306-3553Sayfa Aralığı: 171 - 182İngilizce

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APGARCH MODELING OF CDS RETURNS
Bu çalışmada, beş ülkenin kredi temerrüt takası (CDS) getirilerinde (Brezilya, Rusya, Çin, Güney Afrika ve Türkiye) farklı hata dağılımlarına bağlı olarak oynaklık yapılarını belirlemek üzere Ding, Granger and Engle (1993) tarafından ileri sürülen Genelleştirilmiş Asimetrik Üslü ARCH (APGARCH) modelinin uygulanabilirliği araştırılmıştır. Söz konusu ülkelerin 27 Ocak 2003 – 4 Kasım 2014 dönemine ait günlük CDS getirileri analiz edilmiştir. Çalışmanın bulguları, piyasalarda yaşanan gelişmelere karşı asimetrik etkilerin varlığında, finansal zaman serilerindeki çarpıklık ve basıklık özelliklerini birlikte ele alan çarpık Student-t dağılımlı APGARCH(1,1) modelinin tercih edilmesi gerektiği yönündedir.
Sosyal > Tarih
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