Browsing by Author "Altay-Salih, A."
Now showing items 1-13 of 13
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Aggregate volatility expectations and threshold CAPM
Arisoy, Y. E.; Altay-Salih, A.; Akdeniz, L. (Elsevier Inc., 2015)We propose a volatility-based capital asset pricing model (V-CAPM) in which asset betas change discretely with respect to changes in investors' expectations regarding near-term aggregate volatility. Using a novel measure ... -
A behavioral approach to efficient portfolio formation
Muradoglu, Y. G.; Altay-Salih, A.; Mercan, M. (Routledge, 2005)This paper investigates the portfolio performance of subjective forecasts given in different forms. In constructing the efficient frontier, we base the expectation formation processes on subjective forecasts and human ... -
Constrained nonlinear programming for volatility estimation with GARCH models
Altay-Salih, A.; Pınar, M. Ç.; Leyffer, S. (2003)This paper proposes a constrained nonlinear programming view of generalized autoregressive conditional heteroskedasticity (GARCH) volatility estimation models in financial econometrics. These models are usually presented ... -
A cross-section of expected stock returns on the Istanbul stock exchange
Akdeniz, L.; Altay-Salih, A.; Aydogan, K. (Routledge, 2000) -
The degree of financial liberalization and aggregated stock-return volatility in emerging markets
Umutlu, M.; Akdeniz, L.; Altay-Salih, A. (Elsevier, 2010)In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels ... -
Do time-varying betas help in asset pricing? evidence from borsa Istanbul
Yayvak, B.; Akdeniz, L.; Altay-Salih, A. (Routledge, 2015)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 threshold CAPM. The threshold CAPM defines beta as a function ... -
Does ADR listing affect the dynamics of volatility in emerging markets?
Umutlu, M.; Altay-Salih, A.; Akdeniz, L. (Univerzita Karlova v Praze, 2010)This paper analyzes the time-series variation in the return volatility of non-US stocks from emerging markets that are cross-listed on US exchanges. Unlike previous studies in the cross-listing literature, return volatility ... -
Exploring exchange rate returns at different time horizons
Nekhili, R.; Altay-Salih, A.; Gençay, R. (Elsevier, 2002)The performance of the well-known stochastic processes used for the empirical distribution of the exchange rate returns at different time scales was discussed. The parameters of the candidate processes at different time ... -
Foreign equity trading and average stock-return volatility
Umutlu, M.; Akdeniz, L.; Altay-Salih, A. (Wiley-Blackwell Publishing, 2013)We examine whether there is a relationship between foreign equity trading and average total volatility, measured as the value-weighted average of stock-return variance in the Istanbul Stock Exchange. We employ foreign ... -
On the performance of West's bubble test: a simulation approach
Yuksel, A.; Akdeniz, L.; Altay-Salih, A. (Elsevier, 2010-12-01)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 model of asset pricing as the basis for a simulation study. In ... -
Optimal multi-period consumption and investment with short-sale constraints
Arısoy, Y. E.; Altay-Salih, A.; Pınar, M. Ç. (Elsevier, 2014-03)This article examines agents’ consumption-investment problem in a multi-period pure exchange economy where agents are constrained with the short-sale of state-dependent risky contingent claims. In equilibrum, agents hold ... -
Performance of the efficient frontier in an emerging market setting
Altay-Salih, A.; Muradoglu, G.; Mercan, M. (Routledge, 2002)This study applies the Markowitz analysis to the Istanbul Stock Exchange and empirically investigates the performance of this tool in an emerging market setting. The results show that during the early years of establishment ... -
Time-varying betas help in asset pricing: the threshold CAPM
Akdeniz, L.; Altay-Salih, A.; Caner, M. (Walter de Gruyter GmbH, 2003)Although there is a consensus about time variation in market betas, it is not clear how this variation should be captured. Several researchers continue to analyze different versions of the conditional CAPM. However, Ghysels ...