GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS

GENERALIZED ASYMMETRIC POWER ARCH MODELING OF NATIONAL STOCK MARKET RETURNS

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Uygulamalı çalışmalar finansal varlık getirilerinin şişman kuyruk (leptokurtosis) özelliği sergilediklerini ve genellikle oynaklık kümelenmesi ve asimetrik yapı ile nitelendirildiklerini göstermiştir. Bu çalışmada, sekiz ülkenin ulusal borsa endeks getirilerinde (Nasdaq100, DAX, Nikkei225, Strait Ti...

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Bibliographic Details
Main Author:	Mert Ural
Format:	Article
Language:	English
Published:	Selcuk University Press 2009-12-01
Series:	Sosyal Ekonomik Araştırmalar Dergisi
Subjects:	apgarch skewed student-t distribution stock market returns çarpık student-t dağılımı borsa endeks getirileri
Online Access:	https://dergipark.org.tr/tr/download/article-file/289231
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