Non-Linear Unit Root Testing With Arctangent Trend: Simulation and Applications in Finance
| dc.contributor.author | Ozel, Ozgur | |
| dc.contributor.author | Ilalan, Deniz | |
| dc.contributor.authorID | 234617 | tr_TR |
| dc.contributor.other | 01. Çankaya Üniversitesi | |
| dc.contributor.other | 03.01. Bankacılık ve Finans | |
| dc.contributor.other | 03. İktisadi ve İdari Birimler Fakültesi | |
| dc.date.accessioned | 2019-12-23T14:01:29Z | |
| dc.date.accessioned | 2025-09-18T16:06:47Z | |
| dc.date.available | 2019-12-23T14:01:29Z | |
| dc.date.available | 2025-09-18T16:06:47Z | |
| dc.date.issued | 2018 | |
| dc.description | Ilalan, Deniz/0000-0002-0905-2304 | en_US |
| dc.description.abstract | 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. | en_US |
| dc.description.publishedMonth | 4 | |
| dc.identifier.citation | İlalan, Deniz; Özel, Özgür (2018). Non-linear unit root testing with arctangent trend: Simulation and applications in finance, Cogent Mathematics, 5(1). | en_US |
| dc.identifier.doi | 10.1080/25742558.2018.1458555 | |
| dc.identifier.issn | 2574-2558 | |
| dc.identifier.uri | https://doi.org/10.1080/25742558.2018.1458555 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12416/14587 | |
| dc.language.iso | en | en_US |
| dc.publisher | Taylor & Francis As | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Unit Root Test | en_US |
| dc.subject | Smooth Transition | en_US |
| dc.subject | Asymptotic Distribution | en_US |
| dc.title | Non-Linear Unit Root Testing With Arctangent Trend: Simulation and Applications in Finance | en_US |
| dc.title | Non-linear unit root testing with arctangent trend: Simulation and applications in finance | tr_TR |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | Ilalan, Deniz/0000-0002-0905-2304 | |
| gdc.author.institutional | İlalan, Deniz | |
| gdc.author.wosid | Ilalan, Deniz/E-6399-2018 | |
| gdc.description.department | Çankaya University | en_US |
| gdc.description.departmenttemp | [Ilalan, Deniz] Cankaya Univ, Ankara, Turkey; [Ozel, Ozgur] Cent Bank Republ Turkey, Ankara, Turkey | en_US |
| gdc.description.issue | 1 | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| gdc.description.volume | 5 | en_US |
| gdc.description.woscitationindex | Emerging Sources Citation Index | |
| gdc.identifier.openalex | W2794988066 | |
| gdc.identifier.wos | WOS:000430413900001 | |
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| gdc.opencitations.count | 0 | |
| gdc.plumx.mendeley | 1 | |
| gdc.wos.citedcount | 0 | |
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