RELATIONSHIP BETWEEN ISTANBUL STOCK MARKET AND CREDIT DEFAULT SWAP: VAR AND NARX MODEL BORSA İSTANBUL VE RİSK PRİMİ ARASINDAKİ ETKİLEŞİM: VAR VE NARX MODEL
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.
@article{2016,title={RELATIONSHIP BETWEEN ISTANBUL STOCK MARKET AND CREDIT DEFAULT SWAP: VAR AND NARX MODEL},abstractNode={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.},author={Nurdan DEĞİRMENCİ-- Hakan PABUÇCU},year={2016},journal={The Journal of Academic Social Science}}
Nurdan DEĞİRMENCİ-- Hakan PABUÇCU . 2016 . RELATIONSHIP BETWEEN ISTANBUL STOCK MARKET AND CREDIT DEFAULT SWAP: VAR AND NARX MODEL . The Journal of Academic Social Science.DOI:10.16992/ASOS.7594
Nurdan DEĞİRMENCİ-- Hakan PABUÇCU.(2016).RELATIONSHIP BETWEEN ISTANBUL STOCK MARKET AND CREDIT DEFAULT SWAP: VAR AND NARX MODEL.The Journal of Academic Social Science
Nurdan DEĞİRMENCİ-- Hakan PABUÇCU,"RELATIONSHIP BETWEEN ISTANBUL STOCK MARKET AND CREDIT DEFAULT SWAP: VAR AND NARX MODEL" , The Journal of Academic Social Science (2016)
Nurdan DEĞİRMENCİ-- Hakan PABUÇCU . 2016 . RELATIONSHIP BETWEEN ISTANBUL STOCK MARKET AND CREDIT DEFAULT SWAP: VAR AND NARX MODEL . The Journal of Academic Social Science . 2016. DOI:10.16992/ASOS.7594
Nurdan DEĞİRMENCİ-- Hakan PABUÇCU .RELATIONSHIP BETWEEN ISTANBUL STOCK MARKET AND CREDIT DEFAULT SWAP: VAR AND NARX MODEL. The Journal of Academic Social Science (2016)
Nurdan DEĞİRMENCİ-- Hakan PABUÇCU .RELATIONSHIP BETWEEN ISTANBUL STOCK MARKET AND CREDIT DEFAULT SWAP: VAR AND NARX MODEL. The Journal of Academic Social Science (2016)
Format:
Nurdan DEĞİRMENCİ-- Hakan PABUÇCU. (2016) .RELATIONSHIP BETWEEN ISTANBUL STOCK MARKET AND CREDIT DEFAULT SWAP: VAR AND NARX MODEL The Journal of Academic Social Science
Nurdan DEĞİRMENCİ-- Hakan PABUÇCU . RELATIONSHIP BETWEEN ISTANBUL STOCK MARKET AND CREDIT DEFAULT SWAP: VAR AND NARX MODEL . The Journal of Academic Social Science . 2016 doi:10.16992/ASOS.7594
Nurdan DEĞİRMENCİ-- Hakan PABUÇCU."RELATIONSHIP BETWEEN ISTANBUL STOCK MARKET AND CREDIT DEFAULT SWAP: VAR AND NARX MODEL",The Journal of Academic Social Science(2016)