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VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ

Yıl 2021, Cilt: 13 Sayı: 24, 86 - 110, 31.01.2021
https://doi.org/10.14784/marufacd.879194

Öz

Bu çalışmada Dolar-TL kurunun finansal riskinin yönetiminde kullanılacak modellerin performansı üzerinde volatilitedeki çoklu yapısal kırılmaların olası etkileri incelenmiştir. Finansal risk yönetim modelleri olarak volatilite öngörü (volatlity forecasting) modelleri ile piyasa riski ölçüm modelleri esas alınmıştır. Volatilitedeki çoklu yapısal kırılmaların tespitinde ICSS algoritması ile Bai ve Perron (1998, 2003) testinden yararlanılmıştır. Zamanla değişen volatilite değerleri ise FIGARCH modeli ile tahmin edilmiştir. Çalışma bulguları, Dolar-TL kurunun volatilitesinin çoklu yapısal kırılmalar içerdiği fakat bu yapısal kırılmaların dikkate alınmasının risk yönetim modellerinin performansını artırmadığı sonucuna işaret etmektedir.

Kaynakça

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Toplam 44 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Önder Büberkökü

Yayımlanma Tarihi 31 Ocak 2021
Gönderilme Tarihi 26 Mart 2020
Yayımlandığı Sayı Yıl 2021 Cilt: 13 Sayı: 24

Kaynak Göster

APA Büberkökü, Ö. (2021). VOLATİLİTEDEKİ ÇOKLU YAPISAL KIRILMALARIN FİNANSAL RİSK YÖNETİMİ AÇISINDAN ÖNEMİNİN İNCELENMESİ. Finansal Araştırmalar Ve Çalışmalar Dergisi, 13(24), 86-110. https://doi.org/10.14784/marufacd.879194