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Bankacılık ve Finans Bölümü

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Browsing Bankacılık ve Finans Bölümü by Journal "Cogent Mathematics"

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    Citation Count: İlalan, Deniz; Özel, Özgür (2018). Non-linear unit root testing with arctangent trend: Simulation and applications in finance, Cogent Mathematics, 5(1).
    Non-linear unit root testing with arctangent trend: Simulation and applications in finance
    (Taylor&Francis AS, 2018) İlalan, Deniz; Özel, Özgür; 234617
    We consider arctangent as the logistic function and compute the asymptotic critical values of the related non-linear unit root test via Monte Carlo simulation. While doing so, we got inspiration from some pioneering articles and use first-order Taylor approximation. We observe that this newly proposed test exhibits higher power than some well-known linear and non-linear tests. We apply our test to some stock indexes and find out that a non-linear arctangent trend can be at stage, rather than a linear unit root process.