Details about Salih N. Neftci

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

Access statistics for papers by Salih N. Neftci.

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Short-id: pne212

Working Papers

2012

1. Next Generation System-Wide Liquidity Stress Testing
   IMF Working Papers, International Monetary Fund View citations (21)

2008

2. Financial Instruments to Hedge Commodity Price Risk for Developing Countries
   IMF Working Papers, International Monetary Fund View citations (12)
   See also Journal Article Financial instruments to hedge commodity price risk for developing countries, Journal of Financial Transformation, Capco Institute (2008) View citations (11) (2008)

2006

3. Pricing and Hedging of Contingent Credit Lines
   IMF Working Papers, International Monetary Fund View citations (5)
4. Renminbi Revaluation, Euro Appreciation and Chinese Markets: What Can We Learn From Data?
   Working Papers, Hong Kong Institute for Monetary Research

2004

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

2003

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

2002

8. Disturbing Extremal Behavior of Spot Rate Dynamics
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
   See also Journal Article Disturbing extremal behavior of spot rate dynamics, Journal of Empirical Finance, Elsevier (2003) View citations (25) (2003)
9. Excessive Variation in Risk Factor Correlation and Volatilities
   Computing in Economics and Finance 2002, Society for Computational Economics
   See also Journal Article Excessive variation in risk‐factor correlations and volatilities, Journal of Futures Markets, John Wiley & Sons, Ltd. (2002) View citations (1) (2002)
10. What Drives Swap Spreads, Credit or Liquidity?
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (7)

2001

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

1998

12. FX Short Positions, Balance Sheets and Financial Turbulence: An Interpretation of the Asian Financial Crisis
    SCEPA working paper series., Schwartz Center for Economic Policy Analysis (SCEPA), The New School View citations (11)

1990

13. 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 (2)
14. 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 Statistical Analysis of Shapes in Macroeconomic Time Series: Is There a Business Cycle?, Journal of Business & Economic Statistics, American Statistical Association (1993) View citations (2) (1993)

1986

15. 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

16. A little bit of evidence on the natural rate hypothesis from the U.S
    Working Papers, Federal Reserve Bank of Minneapolis View citations (1)
    See also Journal Article A little bit of evidence on the natural rate hypothesis from the U.S, Journal of Monetary Economics, Elsevier (1978) View citations (13) (1978)

Journal Articles

2008

1. Financial instruments to hedge commodity price risk for developing countries
   Journal of Financial Transformation, 2008, 24, 137-143 View citations (11)
   See also Working Paper Financial Instruments to Hedge Commodity Price Risk for Developing Countries, IMF Working Papers (2008) View citations (12) (2008)
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 View citations (7)

2007

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

2003

4. Disturbing extremal behavior of spot rate dynamics
   Journal of Empirical Finance, 2003, 10, (4), 455-477 View citations (25)
   See also Working Paper Disturbing Extremal Behavior of Spot Rate Dynamics, ICMA Centre Discussion Papers in Finance (2002) (2002)

2002

5. Excessive variation in risk‐factor correlations and volatilities
   Journal of Futures Markets, 2002, 22, (12), 1119-1146 View citations (1)
   See also Working Paper Excessive Variation in Risk Factor Correlation and Volatilities, Computing in Economics and Finance 2002 (2002) (2002)

1993

6. Sermaye Piyasaları
   Iktisat Isletme ve Finans, 1993, 8, (82), 5-16
7. 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 Statistical Analysis of Shapes in Macroeconomic Time Series: Is There a Business Cycle ?, Cahiers de Recherches Economiques du Département d'économie (1990) (1990)

1991

8. 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 View citations (88)
9. Properties and Stochastic nature of BEA's early estimates of GNP
   Journal of Economics and Business, 1991, 43, (3), 231-239 View citations (4)

1990

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

1988

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

1986

13. Is there a cyclical time unit?
    Carnegie-Rochester Conference Series on Public Policy, 1986, 24, (1), 11-48 View citations (2)

1984

14. Are Economic Time Series Asymmetric over the Business Cycle?
    Journal of Political Economy, 1984, 92, (2), 307-28 View citations (452)
15. Can chartists outperform the market? market efficiency tests for “technical analysis”
    Journal of Futures Markets, 1984, 4, (4), 465-478 View citations (6)

1982

16. 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 View citations (5)

1981

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

1979

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

1978

19. A Time-Series Analysis of the Real Wages-Employment Relationship
    Journal of Political Economy, 1978, 86, (2), 281-91 View citations (32)
20. A little bit of evidence on the natural rate hypothesis from the U.S
    Journal of Monetary Economics, 1978, 4, (2), 315-319 View citations (13)
    See also Working Paper A little bit of evidence on the natural rate hypothesis from the U.S, Working Papers (1975) View citations (1) (1975)

Books

2014

1. Principles of Financial Engineering
   Elsevier Monographs, Elsevier View citations (1)
   Also in Elsevier Monographs, Elsevier (2008) View citations (13)

2013

2. An Introduction to the Mathematics of Financial Derivatives
   Elsevier Monographs, Elsevier View citations (41)

Chapters

2001

1. Turbulence, Crises and Risk Management
   Palgrave Macmillan