Investigation of Credit Default Swaps using Detrended Fluctuation Analysis which is an Econophysical Technique

Nurbanu Bursa () and Hüseyin Tatlidä°l ()
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Nurbanu Bursa: Hacettepe Ãœniversitesi
Hüseyin Tatlidä°l: Hacettepe Ãœniversitesi

Eurasian Eononometrics, Statistics and Emprical Economics Journal, 2015, vol. 2, issue 2, 25-33

Abstract: This paper investigates the econophysics concept and Detrended Fluctuation Analysis (DFA) which known as an econophysics technique and is used to determine the presence or absence of long-term dependency in time series. Besides, as an application for this econophysics method, statistical behaviour of Turkey? s five-year credit default swap data (CDS) from 2001 to 2014 is analyzed. Thus, at first time, dependency structure of CDS series is investigated by means of this paper. According to obtained results, it can be say, daily Turkey? s CDS series has persistent long-term dependency. This means that whenever the time series have been up in the last period, it is more likely that it will continue to be up or vice versa.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eas:econst:v:2:y:2015:i:2:p:25-33

DOI: 10.17740/eas.stat.2015�V2�03

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