Özellikle 1990’lı yıllarda, dünya finans sisteminde sıkça yaşanan ekonomik istikrarsızlıklar ve krizlerin ardından, bankalarda risk yönetimi konusunda uluslararası standartların belirlenmesi ve denetimde etkinliğin artırılması amacıyla, Basel Sermaye Yeterliliği Uzlaşısı...

The purpose of this study is to examine the dual long memory properties for five stock market returns by using joint ARFIMA-FIGARCH model and structural break test in context of weak form efficient market hypothesis. The models are estimated by using daily closing prices for S&P500, FTSE100,...

In this paper the alternative value-at-risk (VaR) and expected shortfall (ES) analysis were made according to different error distribution assumptions by using stock market daily return series of Turkey (ISE100), United Kingdom (FTSE100), Japan (NIKKEI225) and France (CAC40). The backtesting...