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İlalan, Deniz

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https://hdl.handle.net/20.500.12416/9350
Name Variants
Ilalan, D.
Ilalan, Deniz
Job Title
Dr. Öğr. Üyesi
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Main Affiliation
03.01. Bankacılık ve Finans
Bankacılık ve Finans
03. İktisadi ve İdari Birimler Fakültesi
01. Çankaya Üniversitesi
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Former Staff
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Sustainable Development Goals

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DECENT WORK AND ECONOMIC GROWTH
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3

GOOD HEALTH AND WELL-BEING
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15

LIFE ON LAND
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PARTNERSHIPS FOR THE GOALS
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LIFE BELOW WATER
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QUALITY EDUCATION
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SUSTAINABLE CITIES AND COMMUNITIES
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CLEAN WATER AND SANITATION
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REDUCED INEQUALITIES
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INDUSTRY, INNOVATION AND INFRASTRUCTURE
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RESPONSIBLE CONSUMPTION AND PRODUCTION
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AFFORDABLE AND CLEAN ENERGY
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PEACE, JUSTICE AND STRONG INSTITUTIONS
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Scholarly Output

16

Articles

16

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WoS Citation Count

7

Scopus Citation Count

17

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2

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WoS Citations per Publication

0.44

Scopus Citations per Publication

1.06

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6

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Central Bank Review1
Chaos, Solitons & Fractals1
Cogent Mathematics & Statistics1
Economics and Business Letters1
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Now showing 1 - 10 of 14
  • Thumbnail Image
    Article
    Citation - Scopus: 1
    How Stock Markets Become Desensitized To Terror
    (Emerald Group Publishing Ltd., 2017) Ilalan, D.
    Purpose-A widely accepted belief indicates that terror activities have negative impact on stock markets. Contrary to numerous empirical studies, the purpose of this paper is to consider this issue from another point of view in the sense that markets can become desensitized to terror. Design/methodology/approach-Here, instead of directly analyzing the existing data, the stochastic nature of the events is taken into consideration. Findings-The author compares three countries and found out that the correlation between terror and stock markets is almost nil when terror events become a commonplace. Originality/value-This paper applies mean reverting stochastic processes to terror incidents and brings out interesting results. © Emerald Publishing Limited.
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    Article
    The Impact of Fed Policy Announcements on Emerging Stock Markets: Evidence from Borsa Istanbul
    (2017) Akdoğan, Ece C.; İlalan, Deniz
    This paper aims to understand the impact of US nonfarm payroll announcements on emerging stock markets through concentrating on the Turkish Stock Exchange: BIST 100. We not only investigate the impact of each of the three components of the nonfarm payroll data for the whole period under consideration, but also look for possible differences among four sub-periods. A comparative analysis leads us to conclude that it is not the nonfarm payroll which significantly affect BIST 100, but the fact that it is regarded as an important indicator to foresee Fed’s policy actions that can alter the capital flows.
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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.
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    Article
    Citation - Scopus: 8
    A Poisson Process With Random Intensity for Modeling Financial Stability
    (Ediciones Doyma, S.L., 2016) Ilalan, D.
    Stock market crashes are hazardous for financial stability and usually modeled via Poisson processes having a predetermined fixed intensity. This study uses a more general framework by allowing the intensity to be random in order to model rare events called the “unpredictable unknowns”. Three stock indices, namely Japan Nikkei 225, US Dow Jones Industrial Average and Turkish BIST 100 are analyzed. Simulation results indicate that in stable markets, we encounter fewer unpredictable unknowns compared to unstable ones. However, it is also shown that stable markets are more prone to severe financial crises. © 2015 Asociación Española de Finanzas
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    Article
    Doğrusal Olmayan Birim Kök Testi İle Bist 100 Endeksi Üzerine Ampirik Bir Çalışma
    (2018) İlalan, Deniz
    Bu çalışmada Borsa İstanbul 100 endeksinin etkinliği sınanmaktadır. En sık kullanılandoğrusal ve yapısal kırılmalı birim kök testleri elimizdeki zaman serisinin durağan olmadığınıyani başka bir deyişle birim kökün varlığını desteklerken Kapatenios, Snell ve Shin’in geliştirmişolduğu doğrusal olmayan birim kök testi ise bunun aksini iddia etmektedir. Bu bağlamdabelirli dönemlerde doğrusal olmayan bir yapının varlığı söz konusudur. Bu bulgu araştırmacıaçısından veride gereksiz yere fark alınmasının önüne geçeceği gibi yatırımcı açısından daendeksin hareketini analiz etmede faydalı olacaktır
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    Article
    Citation - WoS: 2
    Citation - Scopus: 2
    An Alternative Mean Reversion Test for Interest Rates
    (Central Bank Republic Turkey, 2018) Ozel, Ozgur; Ilalan, Deniz
    A number of empirical studies assert that interest rates are governed by unit root processes rejecting any form of reversion to a long term mean by resorting to certain tests, among which the Augmented Dickey Fuller (ADF) is the most widely used one. In this study, we propose an alternative testing methodology that can be applied along with ADF test, in the sense that there are times where it can capture stationarity when the other fails to do so. Moreover, our test has more power than ADF test. As an application to real-data, we consider 10-year US and Turkish T-bond rates. (C) 2017 Central Bank of The Republic of Turkey. Production and hosting by Elsevier B.V.
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    Article
    Citation - WoS: 5
    Citation - Scopus: 6
    Elliott Wave Principle and the Corresponding Fractional Brownian Motion in Stock Markets: Evidence From Nikkei 225 Index
    (Pergamon-elsevier Science Ltd, 2016) Ilalan, Deniz
    This paper examines one of the vital technical analysis indicators known as the Elliott wave principle. Since these waves have a fractal nature with patterns that are not exact, we first determine the dimension of them. Our second aim is to find a linkage between Elliott wave principle and fractional Brownian motion via comparing their Hausdorff dimensions. Thirdly, we consider the Nikkei 225 index during Japan asset price bubble, which is a perfect example of an Elliott wave. (C) 2016 Elsevier Ltd. All rights reserved.
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    Article
    How Us Wages Effect Post-Socialist European Stock Markets: an Empirical Study
    (Univ Oviedo, 2018) Ilalan, Deniz
    Following the famous tapering speech of Bernanke on 2013, US non-farm payroll data became the leading indicator for the monetary policy of Fed. After midst of 2014 Fed shifted its attention to average hourly wage increases which was regarded as the determinant of inflation. As inflation is closely linked with possible increments of Fed funds rate, investors began to follow US wages more closely. We investigate the impact of US wages especially through concentrating on some Post-Socialist European stock markets. As US wages are found to Granger cause these stock exchanges, interestingly with domestic wages, a similar causation relation could not be achieved. This brings out the question whether wages are indeed an indicator for stock markets or not.
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    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.
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    Article
    Determination of the Best Simple Moving Average By Stochastic Processes
    (2017) İlalan, Deniz
    In this study, we consider one of the most popular technical indicators and try to determine the best fitting simple moving average to a given data. Here we utilize from a general mean reverting stochastic process where the mean is time dependent. We propose an identification algorithm which mainly concentrates on the normality of the residual terms after the data is demeaned from simple moving average and also provide evidence that our algorithm works quite well for determination of the “best” simple moving average.