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Metal Vadeli Ýþlem Piyasalarý ve Doðrusal Olmayan Dinamikleri

Author

Listed:
  • Ayben KOY

    (Ýstanbul Ticaret Üniversitesi, Ýþletme Fakültesi, Ýstanbul.)

  • Güldenur ÇETÝN

    (Ýstanbul Ticaret Üniversitesi, Ýþletme Fakültesi, Ýstanbul.)

Abstract

Bu çalýþmanýn temel amacý, metal vadeli iþlem fiyatlarýnýn daralma ve geniþleme dönemlerini Markov Rejim Deðiþim Otoregresif Modellerini kullanarak analiz etmektir. Çalýþmada, durasyon ve olasýlýklarýn tespiti ile yatýrýmcýlara aldýklarý kararlarda bilgi vermek de amaçlanmýþtýr. Bir Markov Rejim Deðiþim modelinde rejimler veya durumlar arasýndaki geçiþ mekanizmasý, birinci dereceden Markov süreci izleyen, gözlemlenemeyen bir durum deðiþkeni tarafýndan kontrol edilmektedir. Böylece, metal vadeli iþlem piyasalarýnýn kendilerinin veya baþka iliþkili deðiþkenlerin geçmiþ durum yapýsýna baðlý olarak hareket edip etmediði araþtýrýlmýþtýr. Kullanýlan veri seti 04.01.2010 – 31.12.2015 dönemindeki Altýn (1541 gün), Gümüþ (1868 gün), Bakýr (1868 gün), Paladyum (1559 gün) ve Platin (1863 gün) Vadeli Ýþlem Sözleþmelerinin günlük kapanýþ fiyatlarýndan oluþmaktadýr.

Suggested Citation

  • Ayben KOY & Güldenur ÇETÝN, 2016. "Metal Vadeli Ýþlem Piyasalarý ve Doðrusal Olmayan Dinamikleri," Isletme ve Iktisat Calismalari Dergisi, Econjournals, vol. 4(4), pages 165-176.
    • Handle: RePEc:eco:journ4:2016-04-05
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    Keywords

    Metal Vadeli Ýþlem Sözleþmeleri; Doðrusal olmama; Markov Rejim Deðiþim Otoregresif Modeli.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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