Publicação
Economic evolution of Turkish stock market: a regime switching approach
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Rodrigues, Paulo Manuel Marques | |
| dc.contributor.author | Elvanlioglu, Can | |
| dc.date.accessioned | 2021-08-18T09:49:13Z | |
| dc.date.available | 2021-08-18T09:49:13Z | |
| dc.date.issued | 2021-01-13 | |
| dc.date.submitted | 2021-01-06 | |
| dc.description.abstract | This work project compares simple linear predictive regressions and regime switching predictive regression, to analyse time varying predictability of the stock returns in XU100 index. The approach is to compare regression statistics in-sample and to compare error statistics and predictive graphs out-of-sample. Findings reveal that employing predictive regime switching models reflect arbitrage opportunities better than predictive linear models in-sample. Out-of-sample analysis, however, provide no evidence for high predictive power for either predictive linear models or regime switching models. | pt_PT |
| dc.identifier.tid | 202740501 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10362/122670 | |
| dc.language.iso | eng | pt_PT |
| dc.relation | Nova School of Business and Economics | |
| dc.subject | Stock returns | pt_PT |
| dc.subject | Predictability | pt_PT |
| dc.subject | Regime switching models | pt_PT |
| dc.subject | Time varying predictability | pt_PT |
| dc.title | Economic evolution of Turkish stock market: a regime switching approach | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| oaire.awardNumber | UID/ECO/00124/2013 | |
| oaire.awardTitle | Nova School of Business and Economics | |
| oaire.awardURI | info:eu-repo/grantAgreement/FCT/6817 - DCRRNI ID/UID%2FECO%2F00124%2F2013/PT | |
| oaire.fundingStream | 6817 - DCRRNI ID | |
| project.funder.identifier | http://doi.org/10.13039/501100001871 | |
| project.funder.name | Fundação para a Ciência e a Tecnologia | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| relation.isProjectOfPublication | 644a3f4f-817b-4d0d-aba6-f98cdca28bc7 | |
| relation.isProjectOfPublication.latestForDiscovery | 644a3f4f-817b-4d0d-aba6-f98cdca28bc7 | |
| thesis.degree.name | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | pt_PT |
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