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Details about Salih N. Neftci

This author is deceased (2009-04-15).

Access statistics for papers by Salih N. Neftci.

Last updated 2020-03-18. Update your information in the RePEc Author Service.

Short-id: pne212


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Working Papers

2006

  1. Renminbi Revaluation, Euro Appreciation and Chinese Markets: What Can We Learn From Data?
    Working Papers, Hong Kong Institute for Monetary Research Downloads

2004

  1. A Comparison of US and Hong Kong Cap-Floor Volatility Dynamics
    Working Papers, Hong Kong Institute for Monetary Research Downloads
  2. Swap Curve Dynamics in Hong Kong: An Interpretation
    Working Papers, Hong Kong Institute for Monetary Research Downloads

2003

  1. Puttable and Extendible Bonds; Developing Interest Rate Derivatives for Emerging Markets
    IMF Working Papers, International Monetary Fund Downloads View citations (8)

2002

  1. Disturbing Extremal Behavior of Spot Rate Dynamics
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Journal of Empirical Finance (2003)
  2. Excessive Variation in Risk Factor Correlation and Volatilities
    Computing in Economics and Finance 2002, Society for Computational Economics
    See also Journal Article in Journal of Futures Markets (2002)
  3. What Drives Swap Spreads, Credit or Liquidity?
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (6)

2001

  1. Correlation of Defauls Events Some New Tools
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

1998

  1. FX Short Positions, Balance Sheets and Financial Turbulence: An Interpretation of the Asian Financial Crisis
    SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization., Schwartz Center for Economic Policy Analysis (SCEPA), The New School Downloads View citations (10)

1990

  1. Business Cycles as nonlinear Phenomena: Characterizing Swiss and German Cycles 1965-1988
    Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie View citations (1)
  2. Statistical Analysis of Shapes in Macroeconomic Time Series: Is There a Business Cycle ?
    Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie
    See also Journal Article in Journal of Business & Economic Statistics (1993)

1986

  1. Some Evidence on the Non-Linearity of Economic Time Series: 1890-1981
    Working Papers, C.V. Starr Center for Applied Economics, New York University View citations (1)

1975

  1. A little bit of evidence on the natural rate hypothesis from the U.S
    Working Papers, Federal Reserve Bank of Minneapolis Downloads View citations (1)
    See also Journal Article in Journal of Monetary Economics (1978)

Journal Articles

2008

  1. Financial instruments to hedge commodity price risk for developing countries
    Journal of Financial Transformation, 2008, 24, 137-143 Downloads View citations (10)
  2. Swap curve dynamics across markets: Case of US dollar versus HK dollar
    Journal of International Financial Markets, Institutions and Money, 2008, 18, (1), 79-93 Downloads View citations (6)

2007

  1. WHY FINANCIAL MARKETS DO NOT USE ECONOMETRIC FORECASTING: FOREIGN EXCHANGE EXOTICS, CENTRAL BANKS AND POSITION TAKING
    Manchester School, 2007, 75, (s1), 1-20 Downloads

2003

  1. Disturbing extremal behavior of spot rate dynamics
    Journal of Empirical Finance, 2003, 10, (4), 455-477 Downloads View citations (22)
    See also Working Paper (2002)

2002

  1. Excessive variation in risk‐factor correlations and volatilities
    Journal of Futures Markets, 2002, 22, (12), 1119-1146 Downloads View citations (1)
    See also Working Paper (2002)

1993

  1. Sermaye Piyasaları
    Iktisat Isletme ve Finans, 1993, 8, (82), 5-16
  2. Statistical Analysis of Shapes in Macroeconomic Time Series: Is There a Business Cycle?
    Journal of Business & Economic Statistics, 1993, 11, (2), 215-24 View citations (2)
    See also Working Paper (1990)

1991

  1. Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of "Technical Analysis."
    The Journal of Business, 1991, 64, (4), 549-71 Downloads View citations (63)
  2. Properties and Stochastic nature of BEA's early estimates of GNP
    Journal of Economics and Business, 1991, 43, (3), 231-239 Downloads View citations (4)

1990

  1. A diagnostic check for model specification: An application to the yen-dollar exchange rate
    Economics Letters, 1990, 33, (1), 69-73 Downloads
  2. On Some Sample Path Properties of Intra-day Futures Prices
    The Review of Economics and Statistics, 1990, 72, (3), 529-36 Downloads View citations (1)

1988

  1. Extreme price movements and margin levels in futures markets
    Journal of Futures Markets, 1988, 8, (6), 639-655 Downloads View citations (6)

1986

  1. Is there a cyclical time unit?
    Carnegie-Rochester Conference Series on Public Policy, 1986, 24, (1), 11-48 Downloads View citations (1)

1984

  1. Are Economic Time Series Asymmetric over the Business Cycle?
    Journal of Political Economy, 1984, 92, (2), 307-28 Downloads View citations (382)
  2. Can chartists outperform the market? market efficiency tests for “technical analysis”
    Journal of Futures Markets, 1984, 4, (4), 465-478 Downloads View citations (5)

1982

  1. Policy-Dependent Parameters in the Presence of Optimal Learning: An Application of Kalman Filtering to the Fair and Sargent Supply-Side Equations
    The Review of Economics and Statistics, 1982, 64, (2), 296-306 Downloads View citations (5)

1981

  1. Policy Evaluation of Housing Cyclicality: A Spectral Analysis
    The Review of Economics and Statistics, 1981, 63, (3), 385-94 Downloads

1979

  1. Modeling the price side of econometric models: An analysis of the underlying hypotheses
    Journal of Econometrics, 1979, 10, (1), 71-84 Downloads

1978

  1. A Time-Series Analysis of the Real Wages-Employment Relationship
    Journal of Political Economy, 1978, 86, (2), 281-91 Downloads View citations (31)
  2. A little bit of evidence on the natural rate hypothesis from the U.S
    Journal of Monetary Economics, 1978, 4, (2), 315-319 Downloads View citations (11)
    See also Working Paper (1975)

Books

2014

  1. Principles of Financial Engineering
    Elsevier Monographs, Elsevier Downloads
    Also in Elsevier Monographs, Elsevier (2008) Downloads View citations (11)

2013

  1. An Introduction to the Mathematics of Financial Derivatives
    Elsevier Monographs, Elsevier Downloads View citations (38)
 
Page updated 2020-10-30