Research and Codes

Working Papers and Work in Progress:

1.  Eroğlu, B. A. and Yiğit, T. (2023). Nonparametric Seasonal Cointegration Tests.

Selected Publications:

1.  Eroğlu, B.A., İkizlerli, D. & Ülkü, N. (2024).  A mixed-frequency VAR application to studying joint dynamics of foreign investor trading and stock market returns. Empirical Economics, Fortcoming. https://doi.org/10.1007/s00181-023-02541-4

2. Eroğlu, B. A., Yener, H. & Yiğit, T. (2023). Pairs Trading with Wavelet Transform. Quantitative Finance, 23 (7-8), 1129-1154. Working Paper Online Appendix Empirical Analysis Codes Practical Implementation Codes

3.  Göğebakan K. Ç. & Eroğlu, B. A. (2023). Bounded unit root processes with nonstationary volatility. Communications in Statistics - Simulation and Computation. 52 (4) 1245-1263. Working Paper 

4.  Gög̃ebakan, K. Ç., & Eroğlu, B. A. (2022). Non-parametric seasonal unit root tests under periodic non-stationary volatility. Computational Statistics, 37(5), 2581-2636. Working Paper Online Appendix

5.  Eroğlu, B. A., Miller, I. J. & Yiğit, T. (2022). Time-Varying Cointegration and the Kalman Filter. Econometric Reviews, 41(1), 1-21 Working Paper Data and Codes

6.  Demir, İ, Eroğlu, B. A. & Yıldırım-Karaman. S. (2022). Heterogeneous Effects of Unconventional Monetary Policy on the Bond Yields across the Euro Area. Journal of Money, Credit and Banking, 54 (5), 1425-1457. Working Paper MATLAB and Stata Codes

7.  Eroğlu B. A. & Pehlivan, A. Ö. (2022). Regulated seasonal unit root process. Studies in Nonlinear Dynamics & Econometrics, 26 (3), 361-385 Working Paper MATLAB Codes

8.  Eroğlu, B. A. & Yıldırım, S. (2021). On the performance of the variance ratio unit root tests with flexible Fourier form. Journal of Applied Statistics, 48, 2560-2579. Working Paper

9.  Eroğlu, B. A. (2019). Wavelet variance ratio cointegration test and wavestrapping. Journal of Multivariate Analysis. Volume 171, Pages 298-319. Working Paper MATLAB Codes

10.  Eroğlu, B. A., Göğebakan, K. Ç., & Trokić, M., (2018). Powerful nonparametric seasonal unit root tests. Economics Letters, Volume 167, Pages 75-80. Working Paper

11.  Eroğlu, B. A., Gençay, R., Yazgan, M. E. (2017). How Successful Are Wavelets in Detecting Jumps? Entropy, 19, no. 12: 638. Working Paper

12.  Eroğlu, B. A. & Yiğit, T. (2016). A nonparametric unit root test under nonstationary volatility. Economics Letters, Volume 140, Pages 6-10 Working Paper

Other Publications:

1. Yener, H and Eroğlu, B. A (2022).  Borsa İstanbul 100 Endeksi için Dinamik Riske Maruz Değer ve Beklenen Kayip Analizi. Pamukkale University Journal of Social Sciences Institute(50), 71-86.

2.  Eroğlu, B. A.İkizlerli, D. and Yener, H. (2021). Reexamination of the BIST 100 Stock Price Volatility with Heterogeneous Autoregressive Realized Volatility Models. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 25(2), 457-476.

3.  Eroğlu, B. A., Yener, H. (2021). Estimation of the Value-at-Risk and Expected Shortfall with Long Memory GAS models. Global Agenda in Social Sciences, Global Studies Vol. 8, IJOPEC Publication Limited, Ed:Şiriner İsmail, Aydın Murat, p. 377,

4.  Eroğlu, B. A, Özmen, M. İ. and Soybilgen, B. (2020). Predicting USRecessions Using Long-run Fluctuations of the Yield Spread: A Wavelet Approach. Academic Studies in Social, Human and Administrative Sciences , Gece Kitaplığı, Ed:Babacan Hasan, p. 503

5.  Soybilgen, B., & Eroğlu, B. A. (2019). Time-varying Taylor rule estimation for Turkey with flexible least square method. Boğaziçi Journal Review of Social, Economic and Administrative Studies, 33(2), 122-139. 

6.  Eroğlu, B. A., & Soybilgen, B. (2018). On the performance of wavelet based unit root tests. Journal of Risk and Financial Management, 11(3), 47. Open Acces

7. Eroğlu, B. A., & Karaman, S. Y. (2018). Responses of the term structure of interest rates and asset prices to monetary policy shocks: Evidence from Turkey. METU Studies in Development, 45(2), 117-158.