Browsing by Author "Khan, Asad ul Islam"
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On the ranks of tests having null of cointegration: a Monte Carlo comparison
Isac, Nicoleta; Dobrin, Cosmin; Hussan, Mehmood; Khan, Asad ul Islam; Marin, Alina-Andreea (Research Center Public Adm & Public Service, 2020)The null of cointegration tests for testing the existence of cointegration are available in literature in great diversity. The selection of a particular test from all these available tests is the crucial problem and often ... -
The probabilities of type I and II error of null of cointegration tests: A Monte Carlo comparison
Aysan, Ahmet Faruk; Güney, İbrahim; Isac, Nicoleta; Khan, Asad ul Islam (Public Library of Science, 2022)This paper evaluates the performance of eight tests with null hypothesis of cointegration on basis of probabilities of type I and II errors using Monte Carlo simulations. This study uses a variety of 132 different data ... -
Threat of İntervention in Cryptocurrency Market: West Side Story of Bitcoin and Ripple
Aysan, Ahmet Faruk; Khan, Asad ul Islam; Isac, Nicoleta; Drammeh, Ousman; Özcan, Rasim (Bucharest University of Economic Studies, 2023)This study examines the impact of intervention threats on the price and volume volatility of Bitcoin and XRP. Using the Threshold or GJR-GARCH model, we analyse the relationship between news shocks (representing ...
