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Details about Alper Ozun

E-mail:
Postal address:Turkiye Is Bankasi A.S., Risk Management Department, Is Kuleleri, Kat 35, Levent, Istanbul,Turkey

Access statistics for papers by Alper Ozun.

Last updated 2010-10-15. Update your information in the RePEc Author Service.

Short-id: poz28


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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 Downloads View citations (2)
  2. Filtered Extreme Value Theory for Value-At-Risk Estimation
    MPRA Paper, University Library of Munich, Germany Downloads View citations (14)
  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 Downloads View citations (6)
    See also Journal Article in Studies in Economics and Finance (2008)
  4. Monetary Transmission Mechanism in the New Economy: Evidence from Turkey (1997-2006)
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
  5. Multi-scale Causality between Energy Consumption and GNP in Emerging Markets: Evidence from Turkey
    MPRA Paper, University Library of Munich, Germany Downloads View citations (20)
  6. Multiscale Systematic Risk: An Application on ISE-30
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  7. Nonlinear Combination of Financial Forecast with Genetic Algorithm
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  8. Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas
    MPRA Paper, University Library of Munich, Germany Downloads 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 Downloads 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 Downloads View citations (3)
    See also Journal Article in Journal of BRSA Banking and Financial Markets (2007)

Journal Articles

2010

  1. A wavelet network model for analysing exchange rate effects on interest rates
    Journal of Economic Studies, 2010, 37, (4), 405-418 Downloads View citations (3)

2009

  1. A Duration-Dependent Regime Switching Model for an Open Emerging Economy
    Journal for Economic Forecasting, 2009, (4), 66-81 Downloads View citations (4)

2008

  1. Döviz kurlarının öngörüsünde stokastik oynaklık modelleri
    Iktisat Isletme ve Finans, 2008, 23, (265), 50-67
  2. 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 Downloads View citations (8)
  3. Modeling long-term memory effect in stock prices: A comparative analysis with GPH test and Daubechies wavelets
    Studies in Economics and Finance, 2008, 25, (1), 38-48 Downloads View citations (4)
    See also Working Paper (2007)
  4. Türkiye’de Döviz ve Endeks Futures Sözleşmelerinin Stokastik Modellenmesi
    Iktisat Isletme ve Finans, 2008, 23, (271), 61-92

2007

  1. 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
  2. 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
  3. 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 Downloads View citations (3)
    See also Working Paper (2007)

Chapters

2006

  1. Using New Information Technologies for Modelling Data on Global Markets: An Efficient Interaction between "Artificial" Human Brain and Economics
    A chapter in Proceedings of the Conference on Human and Economic Resources, 2006, pp 349-359 Downloads
 
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