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ODTÜ Gelişme Dergisi

Yıl 2000 , Cilt 27 , Sayı 1

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Makale özeti
Başlık :

A method for detecting structural breaks and an application to the turkish stock market

Yazar kurumları :
University of York, Department of Economics and Related Studies1, Bilkent University, Department of Economics2
Görüntülenme :
Özet Türkçe :

We suggest a procedure for model update, based on detection of structural breaks at unknown change-points. The procedure makes use of the SupF test introduced by Andrews (1993). We apply this procedure for modelling the common stock index returns in the İstanbul Stock Exchange for the 10 year period of 1989 - 1998. The underlying model consists simply of a mean plus noise, with occasional jumps in the level of mean at unknown time instances. The problem is the detection of this jump and the corresponding model update. We find critical values for the SupF test statistic by using the Bootstrap method. A trading rule that uses the forecasts from the suggested procedure is observed to outperform the buy-and-hold strategy.

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