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Application of r-vine copula method in Istanbul stock market data: A case study for the construction sector

Year 2020, Volume: 4 Issue: 2, 509 - 518, 31.12.2020

Abstract

In the stock market, the relationship between the sectorial changes can be very informative in order to predict the changes in prices of assets from each sector. In order to understand these sectorial relations, various studies have been conducted. In one of the recent studies, the construction sector in Turkey was investigated in terms of its effect in other Turkish sectors since it is one of the leading sectors in Turkey and its assets have a significant impact in stock markets. Hereby, in this study we detect the sectorial relationship of the construction sector via the Regular vine, also known as R-Vine, approach. The R-Vine copula is a specific type of copula which enables us to be flexible in the distributional assumptions of the observations while stating their joint distribution function. By this way, we can investigate the structure of the country’s financial path, i.e., network, under a graphical model.

References

  • Abegaz, F., Wit, E. (2013). Sparse time series chain graphical models for reconstructing genetic networks, Biostatistics, 14(3), 586-599. doi: ttps://doi.org/10.1093/biostatistics/kxt005
Year 2020, Volume: 4 Issue: 2, 509 - 518, 31.12.2020

Abstract

References

  • Abegaz, F., Wit, E. (2013). Sparse time series chain graphical models for reconstructing genetic networks, Biostatistics, 14(3), 586-599. doi: ttps://doi.org/10.1093/biostatistics/kxt005
There are 1 citations in total.

Details

Primary Language English
Subjects Industrial Engineering
Journal Section Research Article
Authors

Hajar Farnoudkıa This is me

Vilda Purutçuoğlu This is me

Publication Date December 31, 2020
Submission Date May 27, 2020
Acceptance Date October 18, 2020
Published in Issue Year 2020 Volume: 4 Issue: 2

Cite

APA Farnoudkıa, H., & Purutçuoğlu, V. (2020). Application of r-vine copula method in Istanbul stock market data: A case study for the construction sector. Journal of Turkish Operations Management, 4(2), 509-518.
AMA Farnoudkıa H, Purutçuoğlu V. Application of r-vine copula method in Istanbul stock market data: A case study for the construction sector. JTOM. December 2020;4(2):509-518.
Chicago Farnoudkıa, Hajar, and Vilda Purutçuoğlu. “Application of R-Vine Copula Method in Istanbul Stock Market Data: A Case Study for the Construction Sector”. Journal of Turkish Operations Management 4, no. 2 (December 2020): 509-18.
EndNote Farnoudkıa H, Purutçuoğlu V (December 1, 2020) Application of r-vine copula method in Istanbul stock market data: A case study for the construction sector. Journal of Turkish Operations Management 4 2 509–518.
IEEE H. Farnoudkıa and V. Purutçuoğlu, “Application of r-vine copula method in Istanbul stock market data: A case study for the construction sector”, JTOM, vol. 4, no. 2, pp. 509–518, 2020.
ISNAD Farnoudkıa, Hajar - Purutçuoğlu, Vilda. “Application of R-Vine Copula Method in Istanbul Stock Market Data: A Case Study for the Construction Sector”. Journal of Turkish Operations Management 4/2 (December 2020), 509-518.
JAMA Farnoudkıa H, Purutçuoğlu V. Application of r-vine copula method in Istanbul stock market data: A case study for the construction sector. JTOM. 2020;4:509–518.
MLA Farnoudkıa, Hajar and Vilda Purutçuoğlu. “Application of R-Vine Copula Method in Istanbul Stock Market Data: A Case Study for the Construction Sector”. Journal of Turkish Operations Management, vol. 4, no. 2, 2020, pp. 509-18.
Vancouver Farnoudkıa H, Purutçuoğlu V. Application of r-vine copula method in Istanbul stock market data: A case study for the construction sector. JTOM. 2020;4(2):509-18.

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