Atıf İçin Kopyala
BERUMENT M. H., ŞAHİN A.
JOURNAL OF APPLIED ECONOMICS, cilt.13, sa.1, ss.39-65, 2010 (SSCI)
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Yayın Türü:
Makale / Tam Makale
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Cilt numarası:
13
Sayı:
1
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Basım Tarihi:
2010
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Doi Numarası:
10.1016/s1514-0326(10)60003-7
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Dergi Adı:
JOURNAL OF APPLIED ECONOMICS
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Derginin Tarandığı İndeksler:
Social Sciences Citation Index (SSCI), Scopus
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Sayfa Sayıları:
ss.39-65
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Anahtar Kelimeler:
inflation volatility, seasonality, EGARCH, INTEREST-RATES, UNITED-KINGDOM, UNCERTAINTY, COUNTRIES, OUTPUT, INDEXATION, VARIANCE, REGIMES, IMPACT, LINK
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Ankara Hacı Bayram Veli Üniversitesi Adresli:
Hayır
Özet
This paper assesses the presence of seasonal volatility in price indexes where a similar type of pattern has been reported in asset prices in financial markets. The empirical evidence from Turkey for the monthly period from 1987:01 to 2007:05 suggests the presence of seasonality in the conditional variance of inflation. Thus, inferences for the models that do not account for the seasonality in the conditional variance will be misleading.