Open access peer-reviewed Edited Volume

Linear and Non-Linear Financial Econometrics -Theory and Practice

Mehmet Kenan Terzioğlu

Trakya University


Factor Models Time Series Models Advanced Econometric Models Forecasting/Model Evaluation Risk Metrics Option Portfolios Scenario Analysis Capital Allocation Portfolio Mapping Extreme Value Theory Artificial Neural Networks Genetic Algorithm

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About the book

Financial markets, which do not get stuck only in theoretical structure and develop in practice, play an important role in the sustainable growth of the economy. The starting point of the financial models is the uncertainty faced by investors that includes the uncertainty in the behavior and thus the uncertainty in market prices. Therefore, the existence of the financial economy is based on uncertainty. The structure and effect of fluctuations are determined by using econometrics theory in the modeling and estimation process of uncertainties in financial models. Development of econometrics that makes use of data, statistical inference methods and structural or descriptive modeling to solve economic problems has been paralleled by increasing variety and complexity of financial products. Efforts to measure fluctuations in terms of time, dimension and turning/breaking points in the context of financial developments and the desire to have the best return in financial market practices with the minimum loss can be counted as some of the reasons why econometrics theory develops from linear to non-linear models. Financial market mechanisms can be better explained by the development of models in the domains of martingales and non-linear time series, the use of parametric and non-parametric estimation methods, the use of diffusion equations, and an approximation for pricing and derivatives. This book aims to outline the econometrics models readily applicable to financial markets using linear and non-linear approaches such as GARCH-type models, Markov Switching, Threshold Models, Hybrid Models,State Space Models, Artifical Neural Networks, Genetic Algorithms, Big Data, Forecasting and Model Evaluation, Value at Risk and Other Risk Metrics, Option Portfolios, Scenario Analysis, Stress Testing, Capital Allocation, Portfolio Mapping, Extreme Value Theory and others.

Publishing process

Book initiated and editor appointed

Date completed: October 1st 2019

Applications to edit the book are assessed and a suitable editor is selected, at which point the process begins.

Chapter proposals submitted and reviewed

Deadline for chapter proposals: April 1st 2020

Potential authors submit chapter proposals ready for review by the academic editor and our publishing review team.

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Approved chapters written in full and submitted

Deadline for full chapters: May 31st 2020

Once approved by the academic editor and publishing review team, chapters are written and submitted according to pre-agreed parameters

Full chapters peer reviewed

Review results due: August 19th 2020

Full chapter manuscripts are screened for plagiarism and undergo a Main Editor Peer Review. Results are sent to authors within 30 days of submission, with suggestions for rounds of revisions.

Book compiled, published and promoted

Expected publication date: October 18th 2020

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About the editor

Mehmet Kenan Terzioğlu

Trakya University

After graduating from Hacettepe University Statistics Department in 2005, he got his MSc. degree in Actuarial Sciences from Actuarial Sciences Department of Hacettepe University, Faculty of Science in 2008. Between 2008-2009, he studied at Tilburg University, Netherlands, Department of Econometrics and Operations. In 2016, he got his Ph.D. degree in Econometrics from Department of Econometrics at Gazi University, Faculty of Economics and Administrative Sciences. After working in Hacettepe University Department of Actuarial Sciences between 2006 and 2008 as a Research Assistant, he worked as Risk Analyst Assistant (Assistant Specialist) in Ziraat Bank Risk Management Department in 2008. Between 2009 and 2016 he worked as a Research Assistant at the Department of Econometrics at Gazi University. He worked as an Assistant Professor between 2016-2017. Since 2018, he has been working as an Associate Professor in the Department of Econometrics at the Faculty of Economics and Administrative Sciences of Trakya University.

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As an Author Service Manager my responsibilities include monitoring and facilitating all publishing activities for authors and editors. From chapter submission and review, to approval and revision, copyediting and design, until final publication, I work closely with authors and editors to ensure a simple and easy publishing process. I maintain constant and effective communication with authors, editors and reviewers, which allows for a level of personal support that enables contributors to fully commit and concentrate on the chapters they are writing, editing, or reviewing. I assist authors in the preparation of their full chapter submissions and track important deadlines and ensure they are met. I help to coordinate internal processes such as linguistic review, and monitor the technical aspects of the process. As an ASM I am also involved in the acquisition of editors. Whether that be identifying an exceptional author and proposing an editorship collaboration, or contacting researchers who would like the opportunity to work with IntechOpen, I establish and help manage author and editor acquisition and contact.

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