Details about Yakup Eser ARISOY
Access statistics for papers by Yakup Eser ARISOY.
Last updated 2018-08-20. Update your information in the RePEc Author Service.
Short-id: par202
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Working Papers
2017
- Can Exposure to Tail Risk Explain Size, Book-to-Market, and Idiosyncratic Volatility Anomalies?
CEPN Working Papers, HAL
- Volatility of Aggregate Volatility and Hedge Fund Returns
Post-Print, HAL View citations (32)
Also in Post-Print, HAL (2015) View citations (14) CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2015) View citations (14) CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2015) View citations (13)
See also Journal Article in Journal of Financial Economics (2017)
2016
- Does Aggregate Uncertainty Explain Size and Value Anomalies?
Post-Print, HAL
See also Journal Article in Applied Economics (2017)
- Option-Implied Volatility Measures and Stock Return Predictability
Post-Print, HAL View citations (5)
2015
- Aggregate Volatility Expectations and Threshold CAPM
Post-Print, HAL View citations (3)
See also Journal Article in The North American Journal of Economics and Finance (2015)
2014
- Aggregate Volatility and Market Jump Risk: An Option-Based Explanation to Size and Value Premia
Post-Print, HAL View citations (3)
See also Journal Article in Journal of Futures Markets (2014)
- Optimal Multi-Period Consumption and Investment with Short-Sale Constraints
Post-Print, HAL
See also Journal Article in Finance Research Letters (2014)
2010
- Volatility risk and the value premium: evidence from the french stock market
Post-Print, HAL View citations (9)
See also Journal Article in Journal of Banking & Finance (2010)
2007
- Is volatility risk priced in the securities market ? Evidence from S&P 500 index options
Post-Print, HAL View citations (4)
See also Journal Article in Journal of Futures Markets (2007)
Journal Articles
2017
- Does aggregate uncertainty explain size and value anomalies?
Applied Economics, 2017, 49, (32), 3214-3230 View citations (1)
See also Working Paper (2016)
- Volatility of aggregate volatility and hedge fund returns
Journal of Financial Economics, 2017, 125, (3), 491-510 View citations (32)
See also Working Paper (2017)
2015
- Aggregate volatility expectations and threshold CAPM
The North American Journal of Economics and Finance, 2015, 34, (C), 231-253 View citations (2)
See also Working Paper (2015)
2014
- Aggregate Volatility and Market Jump Risk: An Option‐Based Explanation to Size and Value Premia
Journal of Futures Markets, 2014, 34, (1), 34-55 View citations (3)
See also Working Paper (2014)
- Optimal multi-period consumption and investment with short-sale constraints
Finance Research Letters, 2014, 11, (1), 16-24 
See also Working Paper (2014)
2010
- Volatility risk and the value premium: Evidence from the French stock market
Journal of Banking & Finance, 2010, 34, (5), 975-983 View citations (11)
See also Working Paper (2010)
2007
- Is volatility risk priced in the securities market? Evidence from S&P 500 index options
Journal of Futures Markets, 2007, 27, (7), 617-642 View citations (3)
See also Working Paper (2007)
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