Details about Atilla Cifter

Access statistics for papers by Atilla Cifter.

Last updated 2024-09-07. Update your information in the RePEc Author Service.

Short-id: pci27

Working Papers

2007

1. Estimating the Effects of Interest Rates on Share Prices Using Multi-scale Causality Test in Emerging Markets: Evidence from Turkey
   MPRA Paper, University Library of Munich, Germany View citations (2)
2. Filtered Extreme Value Theory for Value-At-Risk Estimation
   MPRA Paper, University Library of Munich, Germany View citations (13)
3. Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets
   MPRA Paper, University Library of Munich, Germany View citations (6)
4. Monetary Transmission Mechanism in the New Economy: Evidence from Turkey (1997-2006)
   MPRA Paper, University Library of Munich, Germany View citations (4)
   See also Journal Article The Monetary Transmission Mechanism in the New Economy: Evidence from Turkey (1997-2006), South East European Journal of Economics and Business, Sciendo (2007) View citations (5) (2007)
5. Multi-scale Causality between Energy Consumption and GNP in Emerging Markets: Evidence from Turkey
   MPRA Paper, University Library of Munich, Germany View citations (21)
6. Multiscale Systematic Risk: An Application on ISE-30
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article Multiscale Systematic Risk: an Application on the ISE-30, Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul (2008) (2008)
7. Nonlinear Combination of Financial Forecast with Genetic Algorithm
   MPRA Paper, University Library of Munich, Germany View citations (2)
8. Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas
   MPRA Paper, University Library of Munich, Germany View citations (8)
9. The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets
   MPRA Paper, University Library of Munich, Germany View citations (2)
10. The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey, Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency (2007) View citations (3) (2007)

2006

11. The Effect of Scale on Productivity of Turkish Banks in the Post-Crises Period: An Application of Data Envelopment Analysis
    MPRA Paper, University Library of Munich, Germany View citations (2)

Journal Articles

2021

1. Oil Prices and Stock Returns in the MENA Countries: A Firm-level Data Analysis
   Emerging Markets Finance and Trade, 2021, 57, (15), 4350-4360
2. Portfolio value-at-risk with two-sided Weibull distribution: Evidence from cryptocurrency markets
   Finance Research Letters, 2021, 38, (C) View citations (7)

2017

3. Turkish tourism, exchange rates and income
   Tourism Economics, 2017, 23, (1), 66-77 View citations (3)

2015

4. Bank concentration and non-performing loans in Central and Eastern European countries
   Journal of Business Economics and Management, 2015, 16, (1), 117-137 View citations (7)
5. Stock Returns, Inflation, and Real Activity in Developing Countries: A Markov-Switching Approach
   Panoeconomicus, 2015, 62, (1), 55-76

2014

6. Exchange rate exposure at the firm and industry levels: Evidence from Turkey
   Economic Modelling, 2014, 43, (C), 426-434 View citations (13)

2013

7. Gender differences in macroeconomic expectations: evidence from Turkey
   Quality & Quantity: International Journal of Methodology, 2013, 47, (3), 1793-1801

2012

8. Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa
   Journal for Economic Forecasting, 2012, (2), 127-142 View citations (1)

2011

9. Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets
   Physica A: Statistical Mechanics and its Applications, 2011, 390, (12), 2356-2367 View citations (20)

2010

10. A wavelet network model for analysing exchange rate effects on interest rates
    Journal of Economic Studies, 2010, 37, (4), 405-418 View citations (3)
11. Filtered extreme‐value theory for value‐at‐risk estimation: evidence from Turkey
    Journal of Risk Finance, 2010, 11, (2), 164-179 View citations (3)

2009

12. Analysis of sectoral credit default cycle dependency with wavelet networks: Evidence from Turkey
    Economic Modelling, 2009, 26, (6), 1382-1388 View citations (22)

2008

13. Estimating the Effects of Interest Rates on Share Prices in Turkey Using a Multi-Scale Causality Test
    Review of Middle East Economics and Finance, 2008, 4, (2), 68-79 View citations (8)
14. Modeling long‐term memory effect in stock prices
    Studies in Economics and Finance, 2008, 25, (1), 38-48 View citations (4)
15. Multiscale Systematic Risk: an Application on the ISE-30
    Istanbul Stock Exchange Review, 2008, 10, (38), 1-24
    See also Working Paper Multiscale Systematic Risk: An Application on ISE-30, MPRA Paper (2007) View citations (2) (2007)

2007

16. Estimating Portfolio Risk with Conditional Joe-Clayton Copula: An Empirical Analysis with Asian Equity Markets
    The IUP Journal of Financial Economics, 2007, V, (3), 28-41
17. Hisse senedi getirilerinde global ve yerel faiz oranı riski: Kısmi çokdeğişkenli GARCH modeliyle İstanbul Menkul Kıymetler Borsası üzerine bir çalışma
    Iktisat Isletme ve Finans, 2007, 22, (254), 47-60
18. The Monetary Transmission Mechanism in the New Economy: Evidence from Turkey (1997-2006)
    South East European Journal of Economics and Business, 2007, 2, (1), 15-24 View citations (5)
    See also Working Paper Monetary Transmission Mechanism in the New Economy: Evidence from Turkey (1997-2006), MPRA Paper (2007) View citations (4) (2007)
19. The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey
    Journal of BRSA Banking and Financial Markets, 2007, 1, (1), 7-34 View citations (3)
    See also Working Paper The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey, MPRA Paper (2007) View citations (3) (2007)