A Univariate Nonlinear Model of the Returns on Istanbul Stock Exchange 100 Index

Harun Öztürkler
1.768 889


Abstract Asymmetric behaviors are common in economics and finance. Since it is not possible to capture asymmetric behaviors by linear models, nonlinear models are developed in order to explain asymmetric behaviors exhibited by such time series. Findings in this study show that ISE 100 index’s behavior cannot be estimated by linear univariate models for the period after 2000. Therefore, it is our aim to construct and estimate nonlinear time series models of ISE 100 index.  The results obtained also confirm that ISE 100 index exhibits nonlinear behavior. 

Anahtar kelimeler

İMKB 100, doğrusal olmayan zaman serileri, dek değişkenli zaman serileri

Tam metin:



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