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

A Poisson process with random intensity for modeling financial stability

Simple item page
dc.contributor.authorİlalan, Deniz
dc.date.accessioned2022-03-04T12:22:41Z
dc.date.available2022-03-04T12:22:41Z
dc.date.issued2016
dc.departmentÇankaya Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümüen_US
dc.description.abstractStock 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 Finanzasen_US
dc.identifier.citationİlalan, Deniz (2016). "A Poisson process with random intensity for modeling financial stability", Spanish Review of Financial Economics, Vol. 14, No. 2, pp. 43-50.en_US
dc.identifier.doi10.1016/j.srfe.2015.10.001
dc.identifier.endpage50en_US
dc.identifier.issn2173-1268
dc.identifier.issue2en_US
dc.identifier.startpage43en_US
dc.identifier.urihttp://hdl.handle.net/20.500.12416/5076
dc.identifier.volume14en_US
dc.language.isoenen_US
dc.relation.ispartofSpanish Review of Financial Economicsen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectFinancial Stabilityen_US
dc.subjectPoisson Processen_US
dc.subjectRandom Intensityen_US
dc.subjectUnpredictable Unknownen_US
dc.titleA Poisson process with random intensity for modeling financial stabilitytr_TR
dc.titleA Poisson Process With Random Intensity for Modeling Financial Stabilityen_US
dc.typeArticleen_US
dspace.entity.typePublication

Files

License bundle

Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Bankacılık ve Finans Bölümü YayınKoleksiyonu