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Now showing items 1-5 of 5
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Analyzing the forecast performance of S&P 500 Index Options implied volatility
(Bilkent University, 2012)This study examines the comparative performance of the call and put implied volatility (IV) of at-the-money European-style SPX Index Options on the S&P 500 Price Index as a precursor to the ex-post realized volatility. ... -
Common risk factors in the returns of stocks trading in the İstanbul Stock Exchange
(Bilkent University, 2011)This study investigates the stocks trading in the Istanbul Stock Exchange for the years between 1997 and 2010 in an attempt to determine the common risk factors that capture the variation in stock returns. Time-series ... -
Impacts of short selling restrictions on stocks traded at Borsa İstanbul
(Bilkent University, 2014)This study investigates impacts of short sale restrictions, particularly uptick rule which was repealed at 02.01.2014, on returns of stocks traded at Borsa Istanbul between January 2012 and March 2014. Firstly, time-series ... -
Predictable dynamics in implied volatility smirk slope : evidence from the S&P 500 options
(Bilkent University, 2012)This study aims to investigate whether there are predictable patterns in the dynamics of implied volatility smirk slopes extracted from the intraday market prices of S&P 500 index options. I compare forecasts obtained ... -
Testing the effects of oral interventions on the covariance of exchange rates in a state-of-the-art computational environment
(Bilkent University, 2009)In the last decade, both Federal Reserve System (FED) and European Central Bank (ECB) abandoned direct market interventions and relied on communication as their main policy tool to affect exchange rates. This paper ...
