Search Results - "Salih, Aslihan Altay"

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

A Cross-Section of Expected Stock Returns on the Istanbul Stock Exchange by Akdeniz, Levent, Altay-Salih, Aslihan, Aydogan, Kürșat

Get full text