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BORSA İSTANBUL VE RİSK PRİMİ ARASINDAKİ ETKİLEŞİM: VAR VE NARX MODEL

2016

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Asos Journal

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Abstract:

Bu çalışmada, risk primini temsil eden Kredi Temerrüt Riski (CDS) ile Borsa İstanbul (BIST) arasındaki etkileşim ve geleceğe dönük güçlü tahminler yapabilmek için uygun sinir ağı modelleri araştırılacaktır. Çalışma kapsamında Türkiye’ye ait 5 yıllık CDS primleri 2010–2015 dönemleri arasında günlük olarak alınmış ve aynı döneme ait menkul kıymet borsa endeksi kapanış değeri (BIST100) ile karşılaştırılmıştır. Çalışmada yöntem olarak Vektör otoregresif (VAR) analizi, Granger Nedensellik analizi ve Yapay sinir ağı tabanlı, doğrusal olmayan otoregresif (NARX) modeller kullanılarak veriler analiz edilmeye çalışılmıştır. Çalışmada Granger nedensellik testi, hisse senedi fiyatları ve kredi temerrüt riski arasında çift yönlü bir nedensellik ilişkisi olduğunu göstermiştir. NARX model ise 〖MSE〗_Test=0,00059 hata oranı ile çok güçlü bir tahmin modeli olarak belirlenmiştir.

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Relationship Between Istanbul Stock Market and Credit Default Swap: Var and Narx Model

2016

Journal:

Asos Journal

Author:

DOI:

10.16992/ASOS.7594

Abstract:

We aim in this study, to investigate the relationship between Credit Default Swap (CDS)-Borsa Istanbul (BIST) and Artificial Neural Network (ANN) models to make a strong forecast for the future. For this purpose, collect daily data belong to Turkey that are CDS and BIST100 index for 5 years from 2010 to 2015. To analyses the dataset used VAR, Granger causality and ANN (NARX) model. As a result investigate the double way granger causality relationship between CDS-BIST. After determined the VAR Granger causality way, estimated NARX model. NARX model estimated and determined the very strong model to forecast with 〖MSE〗_Test=0,00059.

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Asos Journal

Field : Eğitim Bilimleri; Filoloji; Güzel Sanatlar; Hukuk; İlahiyat; Sosyal, Beşeri ve İdari Bilimler; Spor Bilimleri

Journal Type : Uluslararası

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Article : 5.146

Cite : 10.041

2023 Impact : 0.075

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BORSA İSTANBUL VE RİSK PRİMİ ARASINDAKİ ETKİLEŞİM: VAR VE NARX MODEL

2016

Journal:

Asos Journal

Author:

DOI:

10.16992/ASOS.7594

Abstract:

Keywords:

Relationship Between Istanbul Stock Market and Credit Default Swap: Var and Narx Model

2016

Journal:

Asos Journal

Author:

DOI:

10.16992/ASOS.7594

Abstract:

Keywords:

Citation Owners

Attention!
To view citations of publications, you must access Sobiad from a Member University Network. You can contact the Library and Documentation Department for our institution to become a member of Sobiad.

Off-Campus Access
If you are affiliated with a Sobiad Subscriber organization, you can use Login Panel for external access. You can easily sign up and log in with your corporate e-mail address.

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Mendeley

Endnote

BORSA İSTANBUL VE RİSK PRİMİ ARASINDAKİ ETKİLEŞİM: VAR VE NARX MODEL

2016

Journal:

Asos Journal

Author:

DOI:

10.16992/ASOS.7594

Abstract:

Keywords:

Relationship Between Istanbul Stock Market and Credit Default Swap: Var and Narx Model

2016

Journal:

Asos Journal

Author:

DOI:

10.16992/ASOS.7594

Abstract:

Keywords:

Citation Owners

Attention! To view citations of publications, you must access Sobiad from a Member University Network. You can contact the Library and Documentation Department for our institution to become a member of Sobiad.

Off-Campus AccessIf you are affiliated with a Sobiad Subscriber organization, you can use Login Panel for external access. You can easily sign up and log in with your corporate e-mail address.

Similar Articles

Asos Journal

Metrics

Attention!
To view citations of publications, you must access Sobiad from a Member University Network. You can contact the Library and Documentation Department for our institution to become a member of Sobiad.

Off-Campus Access
If you are affiliated with a Sobiad Subscriber organization, you can use Login Panel for external access. You can easily sign up and log in with your corporate e-mail address.