Research Interests:
In this study, in addition to Zivot-Andrews (1992), Perron (1997) and Schwarz Bayesian Criteria (SBC) approaches of the true break point estimation performances of the Kalman filter method is examined using Monte Carlo simulation... more
In this study, in addition to Zivot-Andrews (1992), Perron (1997) and Schwarz Bayesian Criteria (SBC) approaches of the true break point estimation performances of the Kalman filter method is examined using Monte Carlo simulation experiments. Our simulation results show that ...
Research Interests:
The purpose of this paper is to assess the seasonal inflation uncertainties for a big open economy, the US, for the period from January 1947 to April 2008. The paper uses EGARCH model which includes volatility in the conditional mean... more
The purpose of this paper is to assess the seasonal inflation uncertainties for a big open economy, the US, for the period from January 1947 to April 2008. The paper uses EGARCH model which includes volatility in the conditional mean equation capturing the short-term and long-term volatility forecasts and leverage effects. The results indicate that seasonal inflation uncertainty increases in January, April and September and decreases in May, June, July and August.
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In this paper we investigate the finite sample properties of several model selection criteria in case of bivariate Vector AutoRegressions (VARs) of order one and two by a simulation study, particularly focusing on the effects of the... more
In this paper we investigate the finite sample properties of several model selection criteria in case of bivariate Vector AutoRegressions (VARs) of order one and two by a simulation study, particularly focusing on the effects of the degree of cross correlation in the error terms in combination with the values of more or less extreme values of the characteristic roots of the VAR-process. The Monte Carlo experiments show that the degree of cross correlation has an influence on the model selection criteria.
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Research Interests:
Research Interests:
Research Interests:
... test rejects the hypothesis but fractional cointegration analysis confirms the hypothesis. Gul andEkinci (2006) perform the Johansen's cointegration technique and Granger causality test to investigate the relationship... more
... test rejects the hypothesis but fractional cointegration analysis confirms the hypothesis. Gul andEkinci (2006) perform the Johansen's cointegration technique and Granger causality test to investigate the relationship between nominal interest rates and inflation over the period of ...
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By Nezir KÖSE, Yeliz Yalcin and Furkan Emirmahmutoglu; Abstract: Bu çalışmada, 1991-2006 dönemini içeren üçer aylık veriler kullanılarak Türkiye turizm talep analizleri yapısal zaman. ...
Using a simultaneous equation econometric model based on yearly data between 1997 and 2006 for the Aegean Lignite Enterprise this study examines factors that affect the lignite price in Turkey. The Aegean Lignite Enterprise produces and... more
Using a simultaneous equation econometric model based on yearly data between 1997 and 2006 for the Aegean Lignite Enterprise this study examines factors that affect the lignite price in Turkey. The Aegean Lignite Enterprise produces and sells the lignite of Soma and Can and their data reflect the general Turkish situation. The results suggest that (1) lignite prices sold to the industry increase (decrease) depending on the decrease (increase) in the industrial production and (2) total electricity production and electricity price are the most important factors that potential investors and related persons have to take into consideration for the pricing of lignite in the thermal power plant market.
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Research Interests:
Research Interests:
Research Interests:
This study presents the significance of the currency crises, discusses the related literature and applies a model of economic vulnerability to Turkey during 1985Q2-2004Q2. The common approach in currency crisis literature is to focus on... more
This study presents the significance of the currency crises, discusses the related literature and applies a model of economic vulnerability to Turkey during 1985Q2-2004Q2. The common approach in currency crisis literature is to focus on the performance of ...
Research Interests:
In this paper we investigate the finite sample properties of several model selection criteria in case of bivariate Vector AutoRegressions (VARs) of order one and two by a simulation study, particularly focusing on the effects of the... more
In this paper we investigate the finite sample properties of several model selection criteria in case of bivariate Vector AutoRegressions (VARs) of order one and two by a simulation study, particularly focusing on the effects of the degree of cross correlation in the error terms in combination with the values of more or less extreme values of the characteristic roots of the VAR-process. The Monte Carlo experiments show that the degree of cross correlation has an influence on the model selection criteria.
Research Interests:
In this study, in addition to Zivot-Andrews (1992), Perron (1997) and Schwarz Bayesian Criteria (SBC) approaches of the true break point estimation performances of the Kalman filter method is examined using Monte Carlo simulation... more
In this study, in addition to Zivot-Andrews (1992), Perron (1997) and Schwarz Bayesian Criteria (SBC) approaches of the true break point estimation performances of the Kalman filter method is examined using Monte Carlo simulation experiments. Our simulation results show that ...
Research Interests:
Tel: +90 312 212 68 53-1123 Email: furkan @gazi.edu.tr Tel: +90 312 212 68 53-1226 Email: nezir @gazi.edu.tr Tel: +90 312 212 68 53-1102 Email: yyeliz @gazi.edu.tr ... Yapısal kırılma zamanının içsel olarak belirlenmesi durumunda... more
Tel: +90 312 212 68 53-1123 Email: furkan @gazi.edu.tr Tel: +90 312 212 68 53-1226 Email: nezir @gazi.edu.tr Tel: +90 312 212 68 53-1102 Email: yyeliz @gazi.edu.tr ... Yapısal kırılma zamanının içsel olarak belirlenmesi durumunda geliştirilen birim kök testlerinde, ...
Research Interests:
The purpose of this paper is to assess the seasonal inflation uncertainties for a big open economy, the US, for the period from January 1947 to April 2008. The paper uses EGARCH model which includes volatility in the conditional mean... more
The purpose of this paper is to assess the seasonal inflation uncertainties for a big open economy, the US, for the period from January 1947 to April 2008. The paper uses EGARCH model which includes volatility in the conditional mean equation capturing the short-term and long-term volatility forecasts and leverage effects. The results indicate that seasonal inflation uncertainty increases in January, April and September and decreases in May, June, July and August.