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Details about Faruk Selcuk

This author is deceased (2005-02-22).

Access statistics for papers by Faruk Selcuk.

Last updated 2017-08-13. Update your information in the RePEc Author Service.

Short-id: pse79


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Working Papers

2015

  1. Informed traders' arrival in foreign exchange markets: Does geography matter?
    Post-Print, HAL
    See also Journal Article in Empirical Economics (2015)

2009

  1. Asymmetry of Information Flow Between Volatilities Across Time Scales
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (2)
    Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) Downloads View citations (1)

    See also Journal Article in Quantitative Finance (2010)
  2. Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation?
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (1)

2004

  1. Information flow between volatilities across time scales
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2001

  1. Overnight Borrowing, Interest Rates and Extreme Value Theory
    Working Papers, Department of Economics, Bilkent University Downloads View citations (1)
    See also Journal Article in European Economic Review (2006)

2000

  1. On The Macroeconomic Impact Of The August, 1999 Earthquake In Turkey: A First Assessment
    Working Papers, Economic Research Forum Downloads View citations (1)
    See also Journal Article in Applied Economics Letters (2001)

1998

  1. A Visual Goodness-of-Fit Test for Econometric Models
    Working Papers, Department of Economics, Bilkent University
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (1998)
  2. A Visual Test for Noise Filtering in Nonlinear Time Series
    Working Papers, Department of Economics, Bilkent University
  3. A Visual Test of Normality for Econometric Models
    Working Papers, Department of Economics, Bilkent University

1997

  1. A Brief Account of the Turkish Economy, 1987-1996
    Working Papers, Department of Economics, Bilkent University View citations (1)

1996

  1. Current Account and Consumption Smoothing: The Turkish Experience, 1987-1995
    Working Papers, Department of Economics, Bilkent University
  2. Seignorage and Dollarization in a High Inflation Economy: Evidence from Turkey
    Working Papers, Department of Economics, Bilkent University View citations (1)

Journal Articles

2015

  1. Informed traders’ arrival in foreign exchange markets: Does geography matter?
    Empirical Economics, 2015, 49, (4), 1431-1462 Downloads View citations (1)
    See also Working Paper (2015)

2010

  1. Asymmetry of information flow between volatilities across time scales
    Quantitative Finance, 2010, 10, (8), 895-915 Downloads View citations (21)
    See also Working Paper (2009)

2006

  1. Intraday dynamics of stock market returns and volatility
    Physica A: Statistical Mechanics and its Applications, 2006, 367, (C), 375-387 Downloads View citations (6)
  2. Overnight borrowing, interest rates and extreme value theory
    European Economic Review, 2006, 50, (3), 547-563 Downloads View citations (13)
    See also Working Paper (2001)
  3. The dynamics of a newly floating exchange rate: the Turkish case
    Applied Economics, 2006, 38, (8), 931-941 Downloads View citations (7)

2005

  1. Asymmetric stochastic volatility in emerging stock markets
    Applied Financial Economics, 2005, 15, (12), 867-874 Downloads View citations (6)
  2. Multiscale systematic risk
    Journal of International Money and Finance, 2005, 24, (1), 55-70 Downloads View citations (83)
  3. The Policy Challenge with Floating Exchange Rates: Turkey’s Recent Experience
    Open Economies Review, 2005, 16, (3), 295-312 Downloads View citations (3)

2004

  1. Extreme value theory and Value-at-Risk: Relative performance in emerging markets
    International Journal of Forecasting, 2004, 20, (2), 287-303 Downloads View citations (49)
  2. Financial earthquakes, aftershocks and scaling in emerging stock markets
    Physica A: Statistical Mechanics and its Applications, 2004, 333, (C), 306-316 Downloads View citations (7)
  3. Free float and stochastic volatility: the experience of a small open economy
    Physica A: Statistical Mechanics and its Applications, 2004, 342, (3), 693-700 Downloads View citations (2)

2003

  1. Currency substitution: new evidence from emerging economies
    Economics Letters, 2003, 78, (2), 219-224 Downloads View citations (13)
  2. High volatility, thick tails and extreme value theory in value-at-risk estimation
    Insurance: Mathematics and Economics, 2003, 33, (2), 337-356 Downloads View citations (23)

2001

  1. Differentiating intraday seasonalities through wavelet multi-scaling
    Physica A: Statistical Mechanics and its Applications, 2001, 289, (3), 543-556 Downloads View citations (42)
  2. EVIM: A Software Package for Extreme Value Analysis in MATLAB
    Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (3), 1-29 Downloads View citations (1)
  3. On the macroeconomic impact of the August 1999 earthquake in Turkey: a first assessment
    Applied Economics Letters, 2001, 8, (7), 483-488 Downloads View citations (3)
    See also Working Paper (2000)
  4. Scaling properties of foreign exchange volatility
    Physica A: Statistical Mechanics and its Applications, 2001, 289, (1), 249-266 Downloads View citations (52)
  5. Software reviews
    International Journal of Forecasting, 2001, 17, (2), 305-317 Downloads

1998

  1. A Visual Goodness-of-Fit Test for Econometric Models
    Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (3), 1-13 Downloads
    See also Working Paper (1998)

1995

  1. Faiz Hadlerinin Vade Yapısı
    Iktisat Isletme ve Finans, 1995, 10, (109), 34-41

1994

  1. Döviz Kurlarının Endekslenmesi
    Iktisat Isletme ve Finans, 1994, 9, (104), 4-9

1993

  1. Reel Döviz Kurları Üzerine
    Iktisat Isletme ve Finans, 1993, 8, (84), 9-18 View citations (3)

Books

2002

  1. Inflation and Disinflation in Turkey
    EconStor Books, ZBW - German National Library of Economics Downloads View citations (13)

2001

  1. An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
    Elsevier Monographs, Elsevier Downloads View citations (78)
 
Page updated 2017-09-24