Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics

Introduction.- Exploratory Classification of Time-Series.- Predicting the tail behaviour of financial time series exchange/Johannesburg stock exchange closing banking indices - Extreme value theory approach.- Financial Econometrics and Systemic Risk.- Monetary Policy Shocks, Financial Heterogeneity and Corporate Dynamic Investment Activity: Financial Heterogeneity and Corporate Dynamic Investment Activity.- Oil Price Scenarios: Its Economic and Fiscal Impacts on the Kuwait Economy.- Exchange Rate Sensitivity of Firm Value: Evidence from Non-Financial Firms Listed on Borsa Istanbul.- Limited Dependent Variables (Logit and Probit Models) and An Application on BIST-100: Logit and Probit Models.- Vector Autoregressive Model: Model and Analysis.-Construction of the Monetary Conditions Index with TVP-VAR Model: Empirical Evidences for Turkish Economy.- Monetary Policy Regimes, Fiscal Implications, and Policy Interactions among Developing Economies.- The impacts of transportation sector and unemployment on economic growth: Evidence from asymmetric causality.- ARCH Models and An Application on Exchange Rate Volatility: ARCH&GARCH MODELS.- Using CoGARCH Filtered Volatility in Modelling within ARDL Framework.- Performance of MS-GARCH Models: Bayesian MCMC based estimation.- Volatility Spillovers Between Oil Prices and BIST (Borsa Istanbul) Dividend Indexes: Oil Prices and Dividend Indexes.- Volatility Spillovers Between Oil Prices and BIST (Borsa Istanbul) Dividend Indexes: Oil Prices and Dividend Indexes.- Panel Data Analysis.- An Amalgamation of big data analytics with tweet feeds for Stock Market Trend Anticipating Systems- A Review: Big data analytics with tweet feeds for Stock Market Trend Anticipating Systems.- Capital Structure Adjustment Speed: Evidence from Borsa Istanbul Sub-Sectors.

 

Burcu Adiguzel Mercangöz is an expert on quantitative methods and an Associate Professor at the Faculty of Transportation and Logistics, Istanbul University (Turkey). Her research focuses on econometrics, operations research, statistics, management, quantitative methods, mathematics and numerical analysis.