Çankaya GCRIS Standart veritabanının içerik oluşturulması ve kurulumu Research Ecosystems (https://www.researchecosystems.com) tarafından devam etmektedir. Bu süreçte gördüğünüz verilerde eksikler olabilir.
 

Non-linear unit root testing with arctangent trend: Simulation and applications in finance

Thumbnail Image

Date

2018

Authors

İlalan, Deniz
Özel, Özgür

Journal Title

Journal ISSN

Volume Title

Publisher

Taylor&Francis AS

Open Access Color

OpenAIRE Downloads

OpenAIRE Views

Research Projects

Organizational Units

Journal Issue

Events

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.

Description

Keywords

Unit Root Test, Smooth Transition, Asymptotic Distribution

Turkish CoHE Thesis Center URL

Fields of Science

Citation

İlalan, Deniz; Özel, Özgür (2018). Non-linear unit root testing with arctangent trend: Simulation and applications in finance, Cogent Mathematics, 5(1).

WoS Q

Scopus Q

Source

Cogent Mathematics

Volume

5

Issue

1

Start Page

End Page