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ROBUST REGRESYONLARIN TAHMİNCİLER ÜZERİNDEKİ ETKİLERİNİN ANALİZİ VE KLASİK YÖNTEMLERLE KARŞILAŞTIRILMASI

Journal Name:

  • İstanbul Üniversitesi İktisat Fakültesi Mecmuası

Publication Year:

  • 2007

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
The beta coefficients were calculated by taking the ratios of monthly and weekly yields of 32 firms in process in retailing and food sectors of ISE. In order to do this, the two alternative methods; the ordinary least square and the least median square methods were used. Consequently, it is determined that monthly data has less deviation according to weekly data and in some stocks risk signals that are obtained from OLS and LMS changed direction. Besides, there have been differences in results that are obtained from weekly and monthly frequency.
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Abstract (Original Language): 
İMKB'deperakende ve gıda sektöründe işlem gören 32 şirketin değerlerindeki aylık ve haftalık değişim oranları baz alınarak beta katsayıları hesaplanmıştır. Bunun için alternatif iki yöntem olan en küçük kareler ve en küçük ortanca kareler yöntemleri kullanılmıştır. Sonuç olarak aylık veriler haftalık verilere göre daha az sapmaya sahip olduğu ve bazı hisse senetlerinde EKK ve KOK'dan elde edilen risk sinyallerinin yön değiştirdiği belirlenmiştir. Ayrıca haftalık ve aylık frekanslara göre elde edilen sonuçlarda da farklılıklar oluşmuştur.
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  • 2
15-26
  • Turkish

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