Search Results - "Salih, Aslıhan"

Expected gain–loss pricing and hedging of contingent claims in incomplete markets by linear programming by Pınar, Mustafa Ç., Salih, Aslıhan, Camcı, Ahmet

“…We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a “ λ gain–loss…”
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Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX by Onan, Mustafa, Salih, Aslihan, Yasar, Burze

“…•We examine changes in implied volatility skew of S&P 500 index options and VIX.•We analyze impact of macroeconomic announcements in a high-frequency…”
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Stretching the success in reward-based crowdfunding by Yasar, Burze, Sevilay Yılmaz, Işıl, Hatipoğlu, Nurullah, Salih, Aslıhan

“…•We empirically investigate the effects of initially-set stretch goals and communication openness on crowdfunding performance.•Projects with initially-set…”
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Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul by Tiniç, Murat, Salih, Aslıhan

“…This paper examines the relationship between information asymmetry and stock returns in Borsa Istanbul. For all stocks that are traded in Borsa Istanbul…”
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Foreign Equity Trading and Average Stock-return Volatility by Umutlu, Mehmet, Akdeniz, Levent, Altay-Salih, Aslihan

“…We examine whether there is a relationship between foreign equity trading and average total volatility, measured as the value‐weighted average of stock‐return…”
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Aggregate volatility expectations and threshold CAPM by Arısoy, Yakup Eser, Altay-Salih, Aslıhan, Akdeniz, Levent

“…•We model asset prices in which betas change due to uncertainty about volatility.•We use the range of VIX index to proxy uncertainty about aggregate…”
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Is volatility risk priced in the securities market? Evidence from S&P 500 index options by Arisoy, Yakup Eser, Salih, Aslihan, Akdeniz, Levent

“…The authors examine whether volatility risk is a priced risk factor in securities returns. Zero‐beta at‐the‐money straddle returns of the S&P 500 index are…”
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Institutions and the book-to-market effect: The role of investment horizon by Iqbal, Muhammad Sabeeh, Salih, Aslihan, Akdeniz, Levent

“…In this study, we investigate the differential contribution of institutions with different investment horizons in the book-to-market effect. We find that…”
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The Price Impact of Same- and Opposing-Direction Herding by Institutions with Different Investment Horizons by Iqbal, Muhammad Sabeeh, Salih, Aslihan, Akdeniz, Levent

“…This paper examines the price impact of the herding behaviour of short- and long-horizon institutional investors. We categorize the institutional herding as…”
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Are stock prices too volatile to be justified by the dividend discount model? by Akdeniz, Levent, Salih, Aslıhan Altay, Ok, Süleyman Tuluğ

“…This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on…”
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The degree of financial liberalization and aggregated stock-return volatility in emerging markets by Umutlu, Mehmet, Akdeniz, Levent, Altay-Salih, Aslihan

“…In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the…”
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Do Time-Varying Betas Help in Asset Pricing? Evidence from Borsa Istanbul by Yayvak, Berk, Akdeniz, Levent, Altay-Salih, Aslihan

“…We investigate the time variation in the market risk of industry portfolios of Borsa Istanbul with respect to changes in economic conditions by employing the…”
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On the performance of West’s bubble test: A simulation approach by Yuksel, Aydin, Akdeniz, Levent, Altay-Salih, Aslihan

“…In this research we examine the ability of West’s bubble test [1] in detecting speculative bubbles using Brock’s (1982) [2] intertemporal general equilibrium…”
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Optimal multi-period consumption and investment with short-sale constraints by Arisoy, Yakup Eser, Altay-Salih, Aslihan, Pinar, Mustafa Ç

“…•We examine agents’ consumption-investment problem under short-sale constraints.•Agents hold short-lived options written on aggregate consumption at each…”
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Exploring exchange rate returns at different time horizons by Nekhili, Ramzi, Altay-Salih, Aslihan, Gençay, Ramazan

“…This paper explores and compares the empirical distribution of the US dollar–deutsche mark exchange rate returns with well-known continuous-times processes at…”
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Constrained Nonlinear Programming for Volatility Estimation with GARCH Models by Altay-Salih, Aslihan, Pinar, Mustafa Ç., Leyffer, Sven

“…This paper proposes a constrained nonlinear programming view of generalized autoregressive conditional heteroskedasticity (GARCH) volatility estimation models…”
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Constrained nonlinear programming for volatility estimation with GARCH models by ALTAY-SALIH, Ashhan, PINAR, Mustafa C, LEYFFER, Sven

“…This paper proposes a constrained nonlinear programming view of generalized autoregressive conditional heteroskedasticity (GARCH) volatility estimation models…”
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A Behavioral Approach To Efficient Portfolio Formation by Gulnur Muradoglu, Yaz, Altay-Salih, Aslihan, Mercan, Muhammet

“…This paper investigates the portfolio performance of subjective forecasts given in different forms. In constructing the efficient frontier, we base the…”
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Performance of the efficient frontier in an emerging market setting by Altay-Salih, Aslihan, Muradoglu, Gülnur, Mercan, Muhammet

“…This study applies the Markowitz analysis to the Istanbul Stock Exchange and empirically investigates the performance of this tool in an emerging market…”
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Issues in the use of implied volatility by Salih, Aslihan Altay

“…Futures and options markets offer various economic functions. Futures markets have been shown to offer price discovery, asset management and risk management…”
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