Uluslararası Ticaret ve Finans Bölümü Koleksiyonu
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Browsing Uluslararası Ticaret ve Finans Bölümü Koleksiyonu by Scopus Q "Q2"
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Article Citation Count: 11Bivariate Pseudo-Gompertz distribution and concomitants of its order statistics(Elsevier Science Bv, 2013) Gebizlioğlu, Ömer Lütfi; Gebizlioğlu, Ömer LütfiThis paper presents a new bivariate Pseudo-Gompertz distribution that sprouts from the classical Gompertz distribution and possesses the features of pseudo-distribution functions. In addition to some standard properties of the proposed distribution distributions of order statistics and their concomitants for samples drawn from the new distribution are obtained. The survival and hazard functions of the concomitants are shown and their values are tabled. Interpretations of the results are given in connection with risk events and risk management. (C) 2013 Elsevier B.V. All rights reserved.Article Citation Count: 3Competition in Turkish Banking: Impacts of Restructuring and the Global Financial Crisis(Wiley, 2014) Yıldırım, CananThis paper investigates the evolution of competition in the Turkish banking industry by taking into account the transformation in the sector in the aftermath of the country's financial crisis of 2000 to 2001 and the global financial crisis. The results demonstrate that the level of competition in the system did not increase despite the restructuring that was undertaken and the increased foreign bank participation. In addition the level of competition in the sector deteriorated during the global crisis. There is also some evidence that the market power of banks with different ownership characteristics varied and did not converge over time.Article Citation Count: 4Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences(Elsevier Science, 2017) Gebizlioğlu, Ömer Lütfi; Gebizlioğlu, Ömer LütfiIn this paper we study a discrete time risk model based on exchangeable dependent claim occurrences. In particular we obtain expressions for the finite time non-ruin probability and the joint distribution of the time to ruin the surplus immediately before ruin and the deficit at ruin. An illustration of the results is given and some implications of the results are provided. Comparisons are made with the corresponding results for the classical compound binomial model of independent and identically distributed claim occurrences. (C) 2016 Elsevier E.V. All rights reserved.Article Citation Count: 2Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul(Routledge Journals, 2020) Tiniç, Murat; Salih, AslihanThis paper examines the relationship between information asymmetry and stock returns in Borsa Istanbul. For all stocks that are traded in Borsa Istanbul between March 2005 and April 2017, we estimate the probability of informed trading (PIN) to proxy for information asymmetry.? Firm-level cross-sectional regressions indicate a statistically insignificant relationship between PIN estimates and future returns. Moreover, univariate and multivariate portfolio analyses assert that investors that hold stocks that have high information asymmetry do not obtain significant future returns. Consequently, our results suggest that information asymmetry proxied by PIN is a firm-specific risk and can be eliminated with portfolio diversification. Findings are robust to different factorizations in estimating PIN and free of any bias due to trade classification algorithms, boundary solutions, floating-point exceptions and symmetric?order flow shocks.Article Citation Count: 1A max–min model of random variables in bivariate random sequences(Elsevier, 2021) Gebizlioğlu, Ömer Lütfi; Gebizlioğlu, Ömer LütfiWe introduce a max–min model to bivariate random sequences and applying bivariate binomial distribution in fourfold scheme derive the distributions of associated order statistics in a new model. Some examples for special cases are presented and applications of the results in reliability analysis and actuarial sciences are discussed.Article Citation Count: 1Measurement of bivariate risks by the north-south quantile points approach(Elsevier Science, 2014) Gebizlioğlu, Ömer Lütfi; Gebizlioğlu, Ömer LütfiThis paper attempts to determine the Value at Risk (VaR) and Conditional Value at Risk (CVaR) measures for the sum of bivariate risks under dependence. The computation of these risk measures is performed by the north-south quantile points of bivariate distributions. The Farlie-Gumbel-Morgenstern (FGM) copula model is chosen to express dependence of bivariate risks. The behaviors of VaR and CVaR are examined by varying dependence parameter values of the copula model and probability levels of the risk measures. The findings are interpreted from the view point of portfolio risk management. (C) 2013 Elsevier B.V. All rights reserved.Article Citation Count: 5On concomitants of upper record statistics and survival analysis for a pseudo-Gompertz distribution(Elsevier Science, 2014) Gebizlioğlu, Ömer Lütfi; Gebizlioğlu, Ömer LütfiThis paper presents upper record statistics and their concomitants for a bivariate pseudo-Gompertz distribution about paired lifetime variables. Survival and hazard functions are derived for the distribution. The survival and hazard functions are displayed for some selected values of the parameters of concern. Interpretations are given for the potential reliability and actuarial applications of the obtained results. (C) 2013 Elsevier B.V. All rights reserved.Editorial Citation Count: 1Recent Advances in Applied and Computational Mathematics: ICACM-IAM-METU(Elsevier, 2014) Gebizlioğlu, Ömer Lütfi; Gebizlioğlu, Ömer Lütfi; Karasözen, Bülent; Uğur, Ömür; Weber, Gerhard Wilhelm[Abstract Not Available]