Details about Faruk Selcuk
This author is deceased (2005-02-22). Access statistics for papers by Faruk Selcuk.
Last updated 2025-01-31. Update your information in the RePEc Author Service.
Short-id: pse79
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Working Papers
2015
- Informed traders' arrival in foreign exchange markets: Does geography matter?
Post-Print, HAL View citations (2)
See also Journal Article Informed traders’ arrival in foreign exchange markets: Does geography matter?, Empirical Economics, Springer (2015) View citations (5) (2015)
2009
- Asymmetry of Information Flow Between Volatilities Across Time Scales
Working Paper series, Rimini Centre for Economic Analysis View citations (2)
Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) View citations (4)
See also Journal Article Asymmetry of information flow between volatilities across time scales, Quantitative Finance, Taylor & Francis Journals (2010) View citations (59) (2010)
- Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation?
Working Paper series, Rimini Centre for Economic Analysis View citations (2)
2004
- Information flow between volatilities across time scales
MPRA Paper, University Library of Munich, Germany View citations (6)
2001
- Overnight Borrowing, Interest Rates and Extreme Value Theory
Working Papers, Department of Economics, Bilkent University View citations (4)
See also Journal Article Overnight borrowing, interest rates and extreme value theory, European Economic Review, Elsevier (2006) View citations (13) (2006)
2000
- On The Macroeconomic Impact Of The August, 1999 Earthquake In Turkey: A First Assessment
Working Papers, Economic Research Forum View citations (1)
See also Journal Article On the macroeconomic impact of the August 1999 earthquake in Turkey: a first assessment, Applied Economics Letters, Taylor & Francis Journals (2001) View citations (10) (2001)
1998
- A Visual Goodness-of-Fit Test for Econometric Models
Working Papers, Department of Economics, Bilkent University
See also Journal Article A Visual Goodness-of-Fit Test for Econometric Models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (1998) (1998)
- A Visual Test for Noise Filtering in Nonlinear Time Series
Working Papers, Department of Economics, Bilkent University
- A Visual Test of Normality for Econometric Models
Working Papers, Department of Economics, Bilkent University
1997
- A Brief Account of the Turkish Economy, 1987-1996
Working Papers, Department of Economics, Bilkent University View citations (1)
1996
- Current Account and Consumption Smoothing: The Turkish Experience, 1987-1995
Working Papers, Department of Economics, Bilkent University
- Seignorage and Dollarization in a High Inflation Economy: Evidence from Turkey
Working Papers, Department of Economics, Bilkent University View citations (2)
Journal Articles
2015
- Informed traders’ arrival in foreign exchange markets: Does geography matter?
Empirical Economics, 2015, 49, (4), 1431-1462 View citations (5)
See also Working Paper Informed traders' arrival in foreign exchange markets: Does geography matter?, Post-Print (2015) View citations (2) (2015)
2010
- Asymmetry of information flow between volatilities across time scales
Quantitative Finance, 2010, 10, (8), 895-915 View citations (59)
See also Working Paper Asymmetry of Information Flow Between Volatilities Across Time Scales, Working Paper series (2009) View citations (2) (2009)
2006
- Intraday dynamics of stock market returns and volatility
Physica A: Statistical Mechanics and its Applications, 2006, 367, (C), 375-387 View citations (8)
- Overnight borrowing, interest rates and extreme value theory
European Economic Review, 2006, 50, (3), 547-563 View citations (13)
See also Working Paper Overnight Borrowing, Interest Rates and Extreme Value Theory, Working Papers (2001) View citations (4) (2001)
- The dynamics of a newly floating exchange rate: the Turkish case
Applied Economics, 2006, 38, (8), 931-941 View citations (7)
2005
- Asymmetric stochastic volatility in emerging stock markets
Applied Financial Economics, 2005, 15, (12), 867-874 View citations (8)
- Multiscale systematic risk
Journal of International Money and Finance, 2005, 24, (1), 55-70 View citations (153)
- The Policy Challenge with Floating Exchange Rates: Turkey’s Recent Experience
Open Economies Review, 2005, 16, (3), 295-312 View citations (4)
2004
- Extreme value theory and Value-at-Risk: Relative performance in emerging markets
International Journal of Forecasting, 2004, 20, (2), 287-303 View citations (69)
- Financial earthquakes, aftershocks and scaling in emerging stock markets
Physica A: Statistical Mechanics and its Applications, 2004, 333, (C), 306-316 View citations (7)
- Free float and stochastic volatility: the experience of a small open economy
Physica A: Statistical Mechanics and its Applications, 2004, 342, (3), 693-700 View citations (2)
2003
- Currency substitution: new evidence from emerging economies
Economics Letters, 2003, 78, (2), 219-224 View citations (16)
- High volatility, thick tails and extreme value theory in value-at-risk estimation
Insurance: Mathematics and Economics, 2003, 33, (2), 337-356 View citations (31)
2001
- Differentiating intraday seasonalities through wavelet multi-scaling
Physica A: Statistical Mechanics and its Applications, 2001, 289, (3), 543-556 View citations (69)
- EVIM: A Software Package for Extreme Value Analysis in MATLAB
Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (3), 29 View citations (1)
- On the macroeconomic impact of the August 1999 earthquake in Turkey: a first assessment
Applied Economics Letters, 2001, 8, (7), 483-488 View citations (10)
See also Working Paper On The Macroeconomic Impact Of The August, 1999 Earthquake In Turkey: A First Assessment, Working Papers (2000) View citations (1) (2000)
- Scaling properties of foreign exchange volatility
Physica A: Statistical Mechanics and its Applications, 2001, 289, (1), 249-266 View citations (77)
- Software reviews
International Journal of Forecasting, 2001, 17, (2), 305-317
1998
- A Visual Goodness-of-Fit Test for Econometric Models
Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (3), 13 
See also Working Paper A Visual Goodness-of-Fit Test for Econometric Models, Working Papers (1998) (1998)
1995
- Faiz Hadlerinin Vade Yapısı
Iktisat Isletme ve Finans, 1995, 10, (109), 34-41
1994
- Döviz Kurlarının Endekslenmesi
Iktisat Isletme ve Finans, 1994, 9, (104), 4-9
1993
- Reel Döviz Kurları Üzerine
Iktisat Isletme ve Finans, 1993, 8, (84), 9-18 View citations (3)
Books
2002
- Inflation and Disinflation in Turkey
EconStor Books, ZBW - Leibniz Information Centre for Economics View citations (26)
2001
- An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
Elsevier Monographs, Elsevier View citations (207)
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