the presence of bubbles in the markets and its formation has been regarded by economists and they have been looking to develop methods that can be recognized by using appropriate method for the formation of bubbles. in this paper, first, the formation of bubbles is tested using the new unit root test known as phillips test (generalized sup adf test) for 50 companies in the tehran stock exchange...

Since most of the financial crisis caused by bursting bubble assets, investigation behaviors and early detection for prevention adverse economic consequences is important. This paper investigates whether multiple price bubbles exist in USDKZT exchange rate on basis a recursive right tailed Generalized Supremum Augmented Dickey Fuller Test (GSADF) developed Phillips, Shi Yu (2015), as well to de...

This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The computes test statistics supremum augmented Dickey-Fuller (SADF) Phillips, Wu, Yu (2011), generalized SADF (GSADF) Shi, (2015a,b), panel GSADF proposed by Pavlidis, Yusupova, Paya, Peel, Martínez-García, Mack, Grossman (2016); generates finite-sample cri...

Purpose The last decades have experienced increasingly integrated global political and economic dynamics ranging especially from the influence of exchange rates trade amid other sources uncertainties. purpose this study is to examine rate Brazil, Russia, India, China, South Africa (BRICS) Republic Turkey. Design/methodology/approach Given perceived dynamics, current examined BRICS countries Tur...

Bu çalışmada, Türkiye’de bölgesel sınıflandırmada Kuzeydoğu Anadolu Bölgesi olarak adlandırılan ve Erzurum, Erzincan Bayburt illerini kapsayan TRA1 bölgesi için 2013-2020 yılları arası aylık reel konut fiyat endeksi kullanılarak piyasasında balonunun oluşup oluşmadığı incelenmiştir. SADF GSADF sağ kuyruklu birim kök testlerinin kullanıldığı analiz sonucuna göre çoklu balonları gözlemlenmiştir. ...

Çalışmada, dünyada giderek finansallaşan piyasalarda, reel ekonomik faaliyetlerin daha çok ön planda olduğu katılım endeksi ve gösterge konvansiyonel endeks performansları fiyat balonları açısından karşılaştırmalı olarak analiz edilmektedir. Özellikle kriz dönemlerinde faaliyetler içerdiği varsayılan endeksler Generalized Sup-Augmented Dickey Fuller (GSADF) testi ile incelenmiştir. İlgili model...

Bu çalışmada en yüksek arza ve işlem hacmine sahip olan 10 adet kripto parada finansal balon varlığı araştırılmıştır. Bunlar; Bitcoin, Ethereum, Tether, USD Coin, BNB, Ripple, Binance USD, Cardano, Solana Dogecoin’dir. Her bir değişkenin inceleme aralığı farklılık göstermektedir. İncelemeler günlük frekanslı serilerle yapılmıştır araştırmada Genelleştirilmiş Sub-ADF (GSADF) testi kullanılmıştır...

Today, people provide information through different channels. The channels used can affect the decision-making mechanism due to asymmetric or tendencies. Especially in recent years, use social media reach quickly. Therefore, notifications made on reveal economic results. Cryptocurrencies are digital currencies intended be as currency. Unlike their traditional financial rivals, cryptocurrencies ...

For risk management and stable pricing in the cryptocurrency market, it is necessary to determine interdependence of speculative behaviour crypto assets. The correlation high volatility caused by financial assets market can lead spreading risks. study aims measure spillover effect prices market. used SADF test, generalized Dickey-Fuller test (GSADF), frequency domain causality Breitung Candelon...