This paper examines the dual long memory property of the Turkish stock market. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatility. The results indicate that long memory dynamics in the returns and volatility might be modeled by using...

This paper uses a three input–three output Fourier-flexible cost function specification to investigate cost efficiency, scale economies, and technological progress in the Turkish banking system over the period 1988-1998. Our findings suggest that the Turkish banking system has a significant...

This paper examines the long memory properties for closing prices of the Turkish stock index futures market using the FIGARCH(1,d,1) model with three different distributions : Normal, Student-t, and skewed Student-t. The value-at-risk (VaR) values are calculated using the estimated models. The...