income growth process, domestic inflation and real interest structure for the case of Turkish economy. Our estimation results … employing some contemporaneous estimation techniques of unrestricted dynamic vector autoregression (VAR) models reveal that …

the structural vector autoregression methodology, the estimation results reveal that the ‘push’ factors based on the …

compared to that of GMV portfolios constructed by sample covariance and constant correlation methods in terms of reduced … volatility. Also, the performance of GMV portfolios are tested against that of equally weighted and cap weighted portfolios …

of equity market co-movements, the Dynamic Conditional Correlation (DCC) model is engaged. Results suggest that in the …

In this paper we examine the linkages of government bond yield spreads (BYS) between Euro zone countries over the …

Two volatility forecasting evaluation measures are considered; the squared one-day-ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … standardized with its volatility. The statistical properties of the forecast errors point the standardized version as a more …

Two volatility forecasting evaluation measures are considered; the squared one-day-ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … standardized with its volatility. The statistical properties of the forecast errors point the standardized version as a more …