Abstract
Because of the variables which are falling within the scope of finance and the analysis are more reliable which are performed with high frequency series, financial time series take into special attention of empirical studies. Observed nonlinear effects on series are one of the popular subject for time series econometrics in the last years. Nonlinear dynamics are studied under two main topics in the literature which are Structural Break and Regime Switching. Structural Break is the best known nonlinear econometrics subject in Turkey. In this paper, structural break and regime switching dynamics that can be observed in time series are investigated and unin root test which are developed according to this dynamics are mentioned. At the end of the paper, price-earning ratio of Borsa Istanbul 100 Index dealt with on a sectoral basis and the nonlinear unit root tests are applied on related time series.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
