türk bankacılık sstemnde aktf pasf yönetm ve pyasa rsk
türk bankacılık sstemnde aktf pasf yönetm ve pyasa rsk
türk bankacılık sstemnde aktf pasf yönetm ve pyasa rsk
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
KAYNAKÇA<br />
Alexander, C. , Market Models: Financial Data Application, 2001<br />
Amemiya, T. Advanced Econometrics, Harvard Uni<strong>ve</strong>rsity Press, 1985.<br />
Türkiye Bankalar Birliği, Yapısal Faiz Oranı Riski Modelleri Çalışma Grubu Raporu,<br />
Mart 2006<br />
185<br />
Basel II: International Con<strong>ve</strong>rgence of Capital Measurement and Capital Standards: a<br />
Revised Framework, Basel Committee Publications, June 2004<br />
BIS, "O<strong>ve</strong>rviev/ of the Amendment to the Capital Accord to Incorporate Market<br />
Risk", Ocak 1996<br />
Bollerslev, T. (1986), "Generalized Autoregressi<strong>ve</strong> Conditional Heteroscedasticity,"<br />
Journal of Econometrics<br />
Bollerslev, T., R. Engle <strong>ve</strong> J.M. Wooldridge (1988), A Capital Asset Pricing<br />
Cox, John.C, J.E. Ingersoll, <strong>ve</strong> S.A. Ross (1985),"A Theory of The Term<br />
Structure of Interest Rates", Econometrica<br />
Cüneyt SEZGİN, Yasemin TÜZÜN, “Dünyada <strong>ve</strong> Türkiye'de Piyasa Riski Yönetimi”,<br />
Acti<strong>ve</strong>, (1999)<br />
Engle, R. F. (1982), "Autoregressi<strong>ve</strong> conditional heteroscedasticity with estimates of the<br />
varianceof United Kingdom in‡ation," Econometrica<br />
Engle, R. F. (2002)," Dynamic Conditional Correlation- A Simple Class of Multivariate<br />
GARCH Models," Journal of Business and Economic Statistics, forthcoming.
Change language