Details about Aslihan Salih
Access statistics for papers by Aslihan Salih.
Last updated 2021-03-09. Update your information in the RePEc Author Service.
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- The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets
Other publications TiSEM, Tilburg University, School of Economics and Management
Also in Discussion Paper, Tilburg University, Center for Economic Research (2009) View citations (2)
See also Journal Article in Journal of Banking & Finance (2010)
- Can Central Bank Interventions Affect the Exchange Rate Volatility? Multivariate GARCH Approach Using Constrained Nonlinear Programming
Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey
Also in EcoMod2008, EcoMod (2008)
- Is volatility risk priced in the securities market ? Evidence from S&P 500 index options
Post-Print, HAL View citations (3)
See also Journal Article in Journal of Futures Markets (2007)
- Modeling the Volatility In the Central Bank Reserves In An Emerging Market Setting
Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey View citations (6)
- Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul
Applied Economics, 2020, 52, (13), 1446-1459
- Aggregate volatility expectations and threshold CAPM
The North American Journal of Economics and Finance, 2015, 34, (C), 231-253 View citations (1)
- Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
Finance Research Letters, 2014, 11, (4), 454-462 View citations (10)
- Optimal multi-period consumption and investment with short-sale constraints
Finance Research Letters, 2014, 11, (1), 16-24
- Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
European Journal of Operational Research, 2010, 201, (3), 770-785 View citations (6)
- The degree of financial liberalization and aggregated stock-return volatility in emerging markets
Journal of Banking & Finance, 2010, 34, (3), 509-521 View citations (81)
See also Working Paper (2009)
- Are stock prices too volatile to be justified by the dividend discount model?
Physica A: Statistical Mechanics and its Applications, 2007, 376, (C), 433-444
- Is volatility risk priced in the securities market? Evidence from S&P 500 index options
Journal of Futures Markets, 2007, 27, (7), 617-642 View citations (2)
See also Working Paper (2007)
- Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures
Annals of Economics and Finance, 2003, 4, (1), 73-101 View citations (4)
- Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
Studies in Nonlinear Dynamics & Econometrics, 2003, 6, (4), 1-18 View citations (6)
- Exploring exchange rate returns at different time horizons
Physica A: Statistical Mechanics and its Applications, 2002, 313, (3), 671-682 View citations (14)
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