Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management
作者: Richard D.F. HarrisC.Coskun Küçüközmen
作者单位: 1School of Business and Economics, Streatham Court, University of Exeter, Exeter EX4 4PU, UK
2Central Bank of the Republic of Turkey, Head Office, 06100 Ulus, Ankara, Turkey
刊名: European Journal of Operational Research, 2001, Vol.134 (3), pp.481-492
来源数据库: Elsevier Journal
DOI: 10.1016/S0377-2217(00)00265-4
关键词: Risk managementConditional return distributionNonlinear dependenceValue-at-riskIstanbul Stock Exchange
原始语种摘要: Abstract(#br)This paper investigates the dynamic behaviour of daily aggregate returns of one of Europe's largest and fastest growing emerging equity markets, the Istanbul Stock Exchange (ISE). It is found that ISE returns exhibit significant linear and nonlinear dependence. We investigate the nature and source of the nonlinear dependence and find that it is due primarily to linear dependence in the conditional variance of returns, rather than nonlinear dependence in the conditional mean. We analyse the implications of our findings for financial risk management. We show that by exploiting the nonlinear dependence in ISE returns, the average capital required to cover against unexpected portfolio losses can be considerably reduced. In contrast, exploiting the linear dependence in ISE returns...
全文获取路径: Elsevier  (合作)
影响因子:2.038 (2012)