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Details about Aslihan Salih

E-mail:
Homepage:https://www.tedu.edu.tr/en/aslihan-salih
Workplace:İşletme Bölümü (Department of Business Administration), İktisadi ve İdari Bilimler Fakültesi (Faculty of Economics and Administrative Sciences), TED Üniversitesi (TED University), (more information at EDIRC)

Access statistics for papers by Aslihan Salih.

Last updated 2021-03-09. Update your information in the RePEc Author Service.

Short-id: psa1879


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Working Papers

2009

  1. The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2009) Downloads View citations (2)

    See also Journal Article in Journal of Banking & Finance (2010)

2008

  1. 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 Downloads
    Also in EcoMod2008, EcoMod (2008) Downloads

2007

  1. 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)

1999

  1. 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 Downloads View citations (6)

Journal Articles

2020

  1. Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul
    Applied Economics, 2020, 52, (13), 1446-1459 Downloads

2015

  1. Aggregate volatility expectations and threshold CAPM
    The North American Journal of Economics and Finance, 2015, 34, (C), 231-253 Downloads View citations (1)

2014

  1. Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
    Finance Research Letters, 2014, 11, (4), 454-462 Downloads View citations (10)
  2. Optimal multi-period consumption and investment with short-sale constraints
    Finance Research Letters, 2014, 11, (1), 16-24 Downloads

2010

  1. 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 Downloads View citations (6)
  2. The degree of financial liberalization and aggregated stock-return volatility in emerging markets
    Journal of Banking & Finance, 2010, 34, (3), 509-521 Downloads View citations (81)
    See also Working Paper (2009)

2007

  1. 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 Downloads
  2. Is volatility risk priced in the securities market? Evidence from S&P 500 index options
    Journal of Futures Markets, 2007, 27, (7), 617-642 Downloads View citations (2)
    See also Working Paper (2007)

2003

  1. Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures
    Annals of Economics and Finance, 2003, 4, (1), 73-101 Downloads View citations (4)
  2. Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
    Studies in Nonlinear Dynamics & Econometrics, 2003, 6, (4), 1-18 Downloads View citations (6)

2002

  1. Exploring exchange rate returns at different time horizons
    Physica A: Statistical Mechanics and its Applications, 2002, 313, (3), 671-682 Downloads View citations (14)
 
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