Yazar "Omay, Tolga" için listeleme
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An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration
Omay, Tolga; Yüksel, Aslı; Yüksel, Sadettin Aydın (Elsevier Science BV, 2015-03)This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence ... -
Global risk aversion and emerging market return comovements
Demirer, Rıza; Omay, Tolga; Yüksel, Aslı; Yüksel, Sadettin Aydın (Elsevier Science SA, 2018-12)Utilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a significant determinant of international equity correlations, consistently across all emerging markets ... -
A note on the examination of the fisher hypothesis by using panel co-integration tests with break
Omay, Tolga; Hasanov, Mübariz; Yüksel, Aslı; Yüksel, Aydın (Institute foe Economic Forecasting, 2016)One problem encountered when examining the Fisher hypothesis is that various policy changes and economic shocks may induce structural shifts in the long-run relation. We explore the argument that panel cointegration tests ...