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Details about Mustafa Hakan Eratalay

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Homepage:http://sites.google.com/site/hakaneratalay/
Workplace:Majandusteaduskond (Faculty of Economics and Business Administration), Tartu Ülikool (University of Tartu), (more information at EDIRC)

Access statistics for papers by Mustafa Hakan Eratalay.

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

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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) Downloads View citations (8)
    See also Journal Article The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms, JRFM, MDPI (2022) Downloads View citations (8) (2022)

2021

  1. 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) Downloads View citations (1)
  2. 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) Downloads

2020

  1. 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) Downloads

2018

  1. 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) Downloads
    Also in EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics (2017) Downloads

    See also Journal Article Mapping the stocks in MICEX: Who is central in the Moscow Stock Exchange?, Economics of Transition and Institutional Change, John Wiley & Sons (2020) Downloads View citations (4) (2020)

2012

  1. Estimating VAR-MGARCH models in multiple steps
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (11)
  2. 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 Downloads
    See also Journal Article Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study, International Econometric Review (IER), Econometric Research Association (2016) Downloads View citations (1) (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 Downloads View citations (8)
    See also Working Paper 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 (2022) Downloads View citations (8) (2022)

2020

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

2016

  1. Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study
    International Econometric Review (IER), 2016, 8, (2), 19-52 Downloads View citations (1)
    See also Working Paper Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study, EUSP Department of Economics Working Paper Series (2012) Downloads (2012)

Chapters

2022

  1. Predicting Stock Returns: ARMAX versus Machine Learning
    Springer View citations (1)

2021

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