Bankacılık ve Finans Bölümü
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Browsing Bankacılık ve Finans Bölümü by Author "19320"
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Article Citation Count: Omay, Tolga; Yuksel, Asli; Yuksel, Aydin, "An Empirical Examination Of The Generalized Fisher Effect Using Cross-Sectional Correlation Robust Tests For Panel Cointegration", Journal of International Financial Markets Institutions & Money, 35, pp. 18-29, (2015).An Empirical Examination Of The Generalized Fisher Effect Using Cross-Sectional Correlation Robust Tests For Panel Cointegration(Elsevier Science, 2015) Omay, Tolga; Yüksel, Aslı; Yüksel, Aydın; 19320This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence of cross-section dependence in the data. For the sample analyzed, we report that these new tests, but not their predecessors, provide strong support for the existence of cointegration between stock and goods prices. Moreover, further analysis cannot reject the hypothesis that the cointegration relation is linear. Finally, our Fisher coefficient estimates are in the range between 0.68 and 1.27 and give support to the generalized Fisher hypothesis. (C) 2014 Elsevier B.V. All rights reserved.Article Citation Count: Omay, Tolga (2015). "Fractional Frequency Flexible Fourier Form to approximate smooth breaks in unit root testing", Economics Letters, Vol. 134, pp. 123-126.Fractional Frequency Flexible Fourier Form to approximate smooth breaks in unit root testing(2015) Omay, Tolga; 19320In this study, a Fractional Frequency Flexible Fourier Form DF-type unit root test is proposed. The small sample properties of the proposed test are found to be better than that of the integer frequency counterpart. •Fractional Frequency Flexible Fourier Form-DF-type of unit root test is proposed.•The small sample properties of FFFFF-DF-type test are better than EL test.•FFFFF-DF-type test improves the empirical testing performance.•FFFFF-DF-type test prevents type two errors and over-filtration problems.Article Citation Count: Omay, Tolga, "Fractional frequency flexible fourier form to approximate smoothbreaks in unit root testing" Economic Letters, Vol.134, pp.123-126 (2015).Fractional frequency flexible fourier form to approximate smoothbreaks in unit root testing(Elsevier Science SA, 2015) Omay, Tolga; 19320In this study, a Fractional Frequency Flexible Fourier Form DF-type unit root test is proposed. The small sample properties of the proposed test are found to be better than that of the integer frequency counterpart.Article Citation Count: Omay, Tolga; Takay Araz, Bahar; Ilalan, D. (2013). "The effects of terrorist activities on foreign direct investment: nonlinear Evidence", Rewiew of Economics, Vol.64, No.2, pp.139-158.The effects of terrorist activities on foreign direct investment: nonlinear Evidence(2013) Omay, Tolga; Takay Araz, Bahar; Ilalan, Deniz; 19320In this study, we examine the relationship between foreign direct investment and terrorist incidents that took place in Turkey for the period from 1991:12 to 2003:12. This research contributes to the literature by checking for a possible non-linear relationship between terrorism and foreign direct investment. The data used to measure the intensity of terrorism were collected from the newspapers of Turkey, and therefore are limited to the direct signals given to the market. Empirical evidence from both linear and non-linear models confirms that terrorism has a large significant negative impact on foreign direct investment. With respect to the nonlinear model, the impact of terrorism on the foreign direct investment is more severe during periods of high terrorism when the intensity of terrorism passes the threshold level 3.725.
