Çalışmada, pandemi sürecinin ve özellikle vaka sayılarındaki değişimlerin döviz kurları küresel riskin yerel borsa getirilerine etki ediş sürecine yansımalarının incelenmesi amaçlanmıştır. Bu amaçla kuru VIX endeksine ek olarak aktif vakalar yeni vakaların Türkiye'deki BİST100 hisse senedi endeksi üzerindeki etkileri araştırılmıştır. GARCH, GJR, TGARCH doğrusal olmayan GARCH modellerinden elde ...

This paper shows the effects of COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among commodities relying a mixed-frequency approach that exploits information from number weekly deaths related to in United States. The takes advantage MIxing-Data Sampling (MIDAS) methods. compare our results those obtained by employing two well-known models do not account for...

The analysis and prediction of systemic financial risks in the US during COVID-19 pandemic is great significance to stability markets even world. This paper aims predict risk before by using copula–GJR–GARCH models with component expected shortfall (CES), also identify systemically important institutions (SIFIs) for two comparative periods. empirical results show that overall increased after ou...

We reveal the macroeconomic determinants of dynamic correlations between three global asset markets: equities, real estate, and commodities. Conditional equicorrelations, computed by GJR-GARCH-DECO model, are explained macro-financial proxies economic policy financial uncertainty, credit conditions, activity, business consumer confidence, geopolitical risk. Our results suggest that elevated cro...