Psychological Dominance, Market Dominance and Their Impacts on Price Stability in Turkey

Bildirici, Melike; Parasiz, İlker; Ersin, Özgür Ömer; Aykaç, Elçin

doi:10.2139/ssrn.2143580

Cited by 4 publications

(3 citation statements)

References 37 publications

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“…[2] and [21] conducted studies and expressed the following procedure about the SETAR models and parameter estimations, which we will explain.…”

Section: Self-excited Autoregressive Models (Setar)mentioning

confidence: 99%

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SETAR (Self-exciting Threshold Autoregressive) Non-linear Currency Modelling in EUR/USD, EUR/TRY and USD/TRY Parities

Firat¹

2017

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In economies that are open to foreign markets the numerical value of the currencies as a macroeconomic variable is of great importance especially when the mutual dependency among the economies is concerned. When it is considered in terms of political economy, the targeted level of the currencies have vital importance especially in economies that have the characteristics of export-driven growth and in economies that struggle not to disrupt the picture in macroeconomic design. When it is considered that each time series has a structure that is sensitive to its own internal dynamics (sometimes these dynamics are expressed as the time series components), these dynamics provide us with coordinates for estimations and may eliminate the compulsory dependency on the outsourced variables at a serious level. This is exactly what has been done in this study. First of all, the non-linear time series analyses are examined in terms of linearity tests, and the linearity tests are applied for all parties and for different time periods. Then, the SETAR Modelling, which is the title of the study, has been applied in order to explain the non-linear pattern in detail. The SETAR Modelling process and other definitions statistical analyses of this model have been applied in relevant parities for separate time periods. The SETAR model, which is one of the TAR Group modeling, shows a better performance than many other linear and non-linear modeling. In this study, the secondary purpose is to express that the SETAR model performance is superior to the other models by considering the observation values of the parities.

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“…[2] and [21] conducted studies and expressed the following procedure about the SETAR models and parameter estimations, which we will explain.…”

Section: Self-excited Autoregressive Models (Setar)mentioning

confidence: 99%

“…Tsay explained this estimation procedure both in his own study in 1989 and in the study about the assets volatility he conducted with [2]. The modelling steps in the study of Tsay (1989) were presented as follows;…”

Section: Tsay's Approachmentioning

confidence: 99%

SETAR (Self-exciting Threshold Autoregressive) Non-linear Currency Modelling in EUR/USD, EUR/TRY and USD/TRY Parities

Firat¹

2017

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“…The probability of any observation being in any state is called the ergodic probability. The ergodic probabilities for a two-state model are given as (Bildirici et al, 2010):…”

Section: Markov Switching Autoregressive Modelmentioning

confidence: 99%

Modelling Nonlinear Dynamics of Oil Futures Market

Koy

2017

ERFIN

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Due to the fact that oil prices had a falling outlook after the global crisis, modeling oil market prices has been a topic of interest among researchers. The goals of this study are to investigate the recession or growth periods of oil futures markets using Markov switching autoregressive models, and to analyze the models' durations and probabilities to provide information to the investors who invest in these markets. The study findings indicate that oil prices have a nonlinear pattern with three regimes. The model that best describes the oil futures markets is MSIH(3)-AR(0) with three regimes.

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The Role of Consumer Confidence as a Leading Indicator on Stock Returns: A Markov Switching Approach

Koy

Akkaya

2017

SSRN Journal

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Psychological Dominance, Market Dominance and Their Impacts on Price Stability in Turkey

Cited by 4 publications

References 37 publications

SETAR (Self-exciting Threshold Autoregressive) Non-linear Currency Modelling in EUR/USD, EUR/TRY and USD/TRY Parities

SETAR (Self-exciting Threshold Autoregressive) Non-linear Currency Modelling in EUR/USD, EUR/TRY and USD/TRY Parities

Modelling Nonlinear Dynamics of Oil Futures Market

The Role of Consumer Confidence as a Leading Indicator on Stock Returns: A Markov Switching Approach

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