Details about Mustafa Hakan Eratalay

Access statistics for papers by Mustafa Hakan Eratalay.

Last updated 2022-04-20. Update your information in the RePEc Author Service.

Short-id: per140

Working Papers

2022

1. THE IMPACT OF ESG RATINGS ON THE SYSTEMIC RISK OF EUROPEAN BLUE-CHIP FIRMS
   University of Tartu - Faculty of Economics and Business Administration Working Paper Series, Faculty of Economics and Business Administration, University of Tartu (Estonia)
   See also Journal Article in JRFM (2022)

2021

2. DEEDP DIVING INTO THE S&P 350 EUROPE INDEX NETWORK ANS ITS REACTION TO COVID-19
   University of Tartu - Faculty of Economics and Business Administration Working Paper Series, Faculty of Economics and Business Administration, University of Tartu (Estonia) View citations (1)
3. PREDICTING STOCK RETURN AND VOLATILITY WITH MACHINE LEARNING AND ECONOMETRIC MODELS: A COMPARATIVE CASE STUDY OF THE BALTIC STOCK MARKET
   University of Tartu - Faculty of Economics and Business Administration Working Paper Series, Faculty of Economics and Business Administration, University of Tartu (Estonia)

2020

4. EFFECT OF REAL ESTATE NEWS SENTIMENT ON THE STOCK RETURNS OF SWEDBANK AND SEB BANK
   University of Tartu - Faculty of Economics and Business Administration Working Paper Series, Faculty of Economics and Business Administration, University of Tartu (Estonia)

2018

5. MAPPING THE STOCKS IN MICEX: WHO IS CENTRAL TO THE MOSCOW STOCK EXCHANGE?
   University of Tartu - Faculty of Economics and Business Administration Working Paper Series, Faculty of Economics and Business Administration, University of Tartu (Estonia)
   Also in EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics (2017)
   See also Journal Article in Economics of Transition and Institutional Change (2020)

2012

6. Estimating VAR-MGARCH models in multiple steps
   Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (13)
7. Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study
   EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics
   See also Journal Article in International Econometric Review (IER) (2016)

Journal Articles

2022

1. The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms
   JRFM, 2022, 15, (4), 1-41
   See also Working Paper (2022)

2020

2. Mapping the stocks in MICEX: Who is central in the Moscow Stock Exchange?
   Economics of Transition and Institutional Change, 2020, 28, (4), 581-620 View citations (2)
   See also Working Paper (2018)

2016

3. Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study
   International Econometric Review (IER), 2016, 8, (2), 19-52
   See also Working Paper (2012)

Chapters

2022

1. Predicting Stock Returns: ARMAX versus Machine Learning
   Springer

2021

2. Financial Econometrics and Systemic Risk
   Springer View citations (2)