TY - GEN
T1 - Türkiye borsasi endeks getiri ve mutlak getiri serilerinde uzun-dönem baǧimlilik analizi
AU - Bektaş, Cengiz
AU - Baykut, Süleyman
AU - Akgül, Tayfun
PY - 2007
Y1 - 2007
N2 - This study analyzes the long-term dependence in daily index "Return" and "Absolute Return" series of ISE National-All, National-100, National-30 and additionally 17 sectoral indices of Turkish stock market. Long-term dependence can be measured by a single Hurst (H) or relatedly the fractional differencing parameter (d). The data are analyzed by using four different parameter estimation methods namely Wavelet Based Estimation Method, Periodogram Based Estimation Method, Kettani-Gubner Methods for SOSS processes and FARIMA (0, d, 0) processes. For the return series; long-term dependence is not observed in ISE National-All, National-100 and National-30 data. Long-term dependence is also not found in 13 of 17 sectoral index return series. Remaining 4 sectoral indices namely XFINK, XTRZM, XTEKS and XYORT are found long-term dependent. For the absolute return series; long-term dependence is found in all of the index data.
AB - This study analyzes the long-term dependence in daily index "Return" and "Absolute Return" series of ISE National-All, National-100, National-30 and additionally 17 sectoral indices of Turkish stock market. Long-term dependence can be measured by a single Hurst (H) or relatedly the fractional differencing parameter (d). The data are analyzed by using four different parameter estimation methods namely Wavelet Based Estimation Method, Periodogram Based Estimation Method, Kettani-Gubner Methods for SOSS processes and FARIMA (0, d, 0) processes. For the return series; long-term dependence is not observed in ISE National-All, National-100 and National-30 data. Long-term dependence is also not found in 13 of 17 sectoral index return series. Remaining 4 sectoral indices namely XFINK, XTRZM, XTEKS and XYORT are found long-term dependent. For the absolute return series; long-term dependence is found in all of the index data.
UR - http://www.scopus.com/inward/record.url?scp=50249129258&partnerID=8YFLogxK
U2 - 10.1109/SIU.2007.4298853
DO - 10.1109/SIU.2007.4298853
M3 - Konferans katkısı
AN - SCOPUS:50249129258
SN - 1424407192
SN - 9781424407194
T3 - 2007 IEEE 15th Signal Processing and Communications Applications, SIU
BT - 2007 IEEE 15th Signal Processing and Communications Applications, SIU
T2 - 2007 IEEE 15th Signal Processing and Communications Applications, SIU
Y2 - 11 June 2007 through 13 June 2007
ER -