{"id":2300,"date":"2013-04-22T22:14:53","date_gmt":"2013-04-22T19:14:53","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=2300"},"modified":"2013-04-22T22:14:53","modified_gmt":"2013-04-22T19:14:53","slug":"kesirli-butunlesme-parametresi-tahmini-ve-turkiyedeki-baslica-finansal-zaman-serilerine-bir-uygulama","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/kesirli-butunlesme-parametresi-tahmini-ve-turkiyedeki-baslica-finansal-zaman-serilerine-bir-uygulama","title":{"rendered":"Kesirli B\u00fct\u00fcnle\u015fme Parametresi Tahmini ve T\u00fcrkiye\u2019deki Ba\u015fl\u0131ca Finansal Zaman Serilerine Bir Uygulama"},"content":{"rendered":"\n\n<\/colgroup>\n\n\n\n\n\n\n\n
Makale Bilgileri<\/b><\/span><\/span><\/td>\n<\/tr>\n
Dergi:<\/b><\/span><\/span>\u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi
\nMakalenin Ba\u015fl\u0131\u011f\u0131:<\/b><\/span><\/span> Kesirli B\u00fct\u00fcnle\u015fme Parametresi Tahmini ve T\u00fcrkiye\u2019deki Ba\u015fl\u0131ca Finansal Zaman Serilerine Bir Uygulama
\nYazar(lar):<\/b><\/span><\/span> Mehmet Pekkaya
\nCilt:<\/b><\/span><\/span>4
\nSay\u0131:<\/b><\/span><\/span>2
\nY\u0131l:<\/b><\/span><\/span>2013
\nSayfa:<\/b><\/span><\/span> 91-107
\nISSN:<\/b><\/span><\/span>1309-2448<\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/span><\/td>\n<\/tr>\n
\u00d6zet<\/b><\/span><\/span><\/td>\n<\/tr>\n
\n

Bu \u00e7al\u0131\u015fmada, T\u00fcrkiye\u2019deki \u0130MKB100 endeksi, faiz oran\u0131 ve d\u00f6viz sepeti gibi finansal verilerin 2002-2012 aras\u0131 ayl\u0131k getiri serileri kullan\u0131larak, son 60 aya ait d\u00f6nemlerdeki b\u00fct\u00fcnle\u015fme dereceleri tahmin edilmi\u015ftir. Analiz sonu\u00e7lar\u0131na g\u00f6re, t\u00fcm serilerde, ABD kaynakl\u0131 k\u00fcreselle\u015fen mortgage krizinin etkisinde olan 2008-2009 aras\u0131ndaki 24 ayl\u0131k d\u00f6neme ait FI dereceleri, sonraki 36 ayl\u0131k d\u00f6nemdeki FI derecelerinin ortalamas\u0131 ve istatistiksel olarak anlaml\u0131l\u0131klar\u0131 belirgin art\u0131\u015f kaydetmi\u015ftir. FI derecelerindeki bu iyile\u015fmeye ra\u011fmen, \u0130MKB100 Endeksinin FI derecesinin ortalamas\u0131, son 36 ayl\u0131k d\u00f6neminde de d\u00fc\u015f\u00fck de\u011ferde ve anlaml\u0131l\u0131k d\u00fczeyi bak\u0131m\u0131ndan zay\u0131f kalm\u0131\u015ft\u0131r. \u0130MKB100 ve faiz oran\u0131 serileri, FI de\u011feri tahminlerinin anlaml\u0131l\u0131klar\u0131 zay\u0131f da olsa bazen uzun haf\u0131za \u00f6zelli\u011fine sahiptir. B\u00f6ylece, faiz oran\u0131 ve \u00f6zellikle \u0130MKB serisinin \u00e7o\u011fu d\u00f6nem k\u0131sa zaman dinamiklerine g\u00f6re davrand\u0131\u011f\u0131n\u0131 kabul etmek yanl\u0131\u015f olmaz. Ancak, bu d\u00f6nemdeki d\u00f6viz kuru ise -0,23117 b\u00fct\u00fcnle\u015fme derecesi ile belirgin orta haf\u0131za \u00f6zelli\u011fi ta\u015f\u0131maktad\u0131r.<\/span><\/p>\n<\/td>\n<\/tr>\n

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Anahtar Kelimeler:<\/b><\/span><\/span> Kesirli b\u00fct\u00fcnle\u015fme, FI parametresi, finansal zaman serileri.<\/span><\/p>\n<\/td>\n<\/tr>\n

JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/b><\/span><\/span> C10, C22, C58, G10<\/span><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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Makale Bilgileri Dergi:\u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi Makalenin Ba\u015fl\u0131\u011f\u0131: Kesirli B\u00fct\u00fcnle\u015fme Parametresi Tahmini ve T\u00fcrkiye\u2019deki Ba\u015fl\u0131ca Finansal Zaman Serilerine Bir Uygulama Yazar(lar): Mehmet Pekkaya Cilt:4 Say\u0131:2 Y\u0131l:2013 Sayfa: 91-107 ISSN:1309-2448 \u00d6zet Bu \u00e7al\u0131\u015fmada, T\u00fcrkiye\u2019deki \u0130MKB100 endeksi, faiz oran\u0131 ve d\u00f6viz sepeti gibi finansal verilerin 2002-2012 aras\u0131 ayl\u0131k getiri serileri kullan\u0131larak, son 60 aya ait d\u00f6nemlerdeki […]<\/p>\n

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