Investigation of the Relationship Between Chaos Data and €/$ Exchange Rate Index Data with RQA Method

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dc.contributor.authorYalçınkaya, Hüseyin Serdar
dc.contributor.authorBaşaran, Nizamettin
dc.date.accessioned2024-11-07T10:40:18Z
dc.date.available2024-11-07T10:40:18Z
dc.date.issued2023
dc.departmentNiğde Ömer Halisdemir Üniversitesi
dc.description.abstractA time series data contains a large amount of information in itself. Chaos data and volatility data which calculated by any time series are also derivative information included in the same time series. According to these assumptions, it is very important to question the ability of chaos and volatility information to affect each other, and which information affects and which information is affected. It is very important to determine the causes of volatility, which is an important result indicator for the finance literature, and especially with this study, it was tried to determine whether the chaos data is in a causal relationship with volatility. If some of the chaos data can be identified as the cause of volatility, the detected chaos data can be used in other research as a leading indicator of volatility. The data set used in the study is the daily €/$ exchange rate index between 01.01.2005 and 10.11.2022. In the study, time series of chaos data were created with Windowed RQA method and Hatemi-J asymmetric causality analysis research was carried out between these time series and €/$ exchange rate index volatility. The findings of the study conclude that the chaos data LnRR, LnEntr and LnLAM could be used as leading indicators of the €/$ exchange rate index volatility. Copyright © 2023 by the authors.
dc.identifier.doi10.51537/chaos.1260049
dc.identifier.endpage89
dc.identifier.issn2687-4539
dc.identifier.issue2
dc.identifier.scopus2-s2.0-85169891449
dc.identifier.scopusqualityQ2
dc.identifier.startpage78
dc.identifier.trdizinid1192001
dc.identifier.urihttps://doi.org/10.51537/chaos.1260049
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1192001
dc.identifier.urihttps://hdl.handle.net/11480/11569
dc.identifier.volume5
dc.indekslendigikaynakScopus
dc.indekslendigikaynakTR-Dizin
dc.language.isoen
dc.publisherAkif AKGUL
dc.relation.ispartofChaos Theory and Applications
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241106
dc.subjectChaos theory €/$ exchange rate index
dc.subjectRecurrence quantification analysis
dc.subjectVolatility
dc.titleInvestigation of the Relationship Between Chaos Data and €/$ Exchange Rate Index Data with RQA Method
dc.typeArticle

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