Bankacılık ve Finans Bölümü Yayın Koleksiyonu

Permanent URI for this collectionhttps://hdl.handle.net/20.500.12416/400

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Author: search.filters.author.Ilalan, DenizScopus Q: search.filters.scopusQuartile.Q2

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  • Article
    Unit Root Testing in the Presence of Mean Reverting Jumps: Evidence From US T-Bond Yields
    (Walter de Gruyter GmbH, 2019) Ilalan, Deniz; Ozel, Ozgur
    Mean reversion of financial data, especially interest rates is often tested by linear unit root tests. However, there are times where linear unit root test results can be misleading especially when mean reverting jump formations are at stage. Considering this framework, we provide a new unit root testing methodology and compute its asymptotic critical values via Monte Carlo simulation. Moreover, we numerically compare the power of this generalized mean reversion test with the pioneering linear unit root test in the literature namely the Augmented Dickey Fuller (ADF) test. We deduce that our test is a refinement of ADF test with a higher power. Weapply our findings to US 10-year Treasury bond yields. We aim to shed light to the discussion among researchers whether interest rates can sometimes revert to a long-term constant mean or not from an unorthodox point of view.
  • Article
    The effects of terrorist activities on foreign direct investment: nonlinear Evidence
    (2013) Omay, Tolga; Takay Araz, Bahar; Ilalan, Deniz
    In 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.