An analysis through credit default swap, asset swap and zero-volatility spreads: Coup attempt and Bist 100 volatility
In this study, we explore the volatility structure of BIST 100 index returns through Markov Regime Switching VAR model in the domain of credit risk indicators of Turkey. Also, July 2016 coup attempt has been added to the model, to examine its impact on the volatility. According to the results, Asset...
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| Format: | Article |
| Language: | English |
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Elsevier
2019-06-01
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| Series: | Borsa Istanbul Review |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S221484501830190X |