Detecting unknown change points for heteroskedastic data

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dc.authorid0000-0002-6749-9809
dc.authorid0000-0002-5131-577X
dc.contributor.authorBaşçı, Sıdıka
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.otherYönetim Bilimleri Fakültesi, İktisat Bölümü
dc.date.accessioned2024-04-19T13:57:36Z
dc.date.available2024-04-19T13:57:36Z
dc.date.issued2023
dc.departmentİHÜ, Yönetim Bilimleri Fakültesi, İktisat Bölümü
dc.description.abstractThere are several tests to detect structural change at unknown change points. The Andrews Sup F test (1993) is the most powerful, but it requires the assumption of homoskedasticity. Ahmed et al. (2017) introduced the Sup MZ test, which relaxes this assumption and tests for changes in both the coefficients of regression and variance simultaneously. In this study, we propose a model update procedure that uses the Sup MZ test to detect structural changes at unknown change points. We apply this procedure to model the weekly returns of the Istanbul Stock Exchange's common stock index (BIST 100) for a 21-year period (2003-2023). Our model consists simply a mean plus noise, with occasional jumps in the level of mean or variance at unknown times. The goal is to detect these jumps and update the model accordingly. We also suggest a trading rule that uses the forecasts from our procedure and compare it to the buy-and-hold strategy.
dc.identifier.citationBaşçı, S. ve Khan, Asad I. (2023). Detecting unknown change points for heteroskedastic data. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, 24(2), 81-98. https://doi.org/10.24889/ifede.1300907
dc.identifier.doi10.24889/ifede.1300907
dc.identifier.endpage98
dc.identifier.issn1303-0027
dc.identifier.issue2
dc.identifier.startpage81
dc.identifier.trdizinid1215993
dc.identifier.urihttps://doi.org/10.24889/ifede.1300907
dc.identifier.urihttps://hdl.handle.net/20.500.12154/2810
dc.identifier.volume24
dc.indekslendigikaynakTR-Dizin
dc.institutionauthorKhan, Asad ul Islam
dc.institutionauthorid0000-0002-5131-577X
dc.language.isoen
dc.publisherDokuz Eylül Üniversitesi
dc.relation.ispartofDokuz Eylül Üniversitesi İşletme Fakültesi Dergisi
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectStructual Change
dc.subjectUnknwn Change Points
dc.subjectSup MZ Test
dc.subjectIstanbul Stock Exchange
dc.subjectForecast
dc.titleDetecting unknown change points for heteroskedastic data
dc.title.alternativeHeteroskedastik verilerde bilinmeyen değişim noktalarının tespit edilmesi
dc.typeArticle
dspace.entity.typePublication
relation.isAuthorOfPublication5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isAuthorOfPublication.latestForDiscovery5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isOrgUnitOfPublication9d1809d1-3541-41aa-94ed-639736b7e16f
relation.isOrgUnitOfPublication.latestForDiscovery9d1809d1-3541-41aa-94ed-639736b7e16f

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