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• Ferhan Salman

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Paper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Working Papers with number 9901.

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Date of creation: 1999
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Handle: RePEc:tcb:wpaper:9901

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1. Balaban, Ercan, 1995. "Day of the Week Effects: New Evidence from an Emerging Stock Market," Applied Economics Letters, Taylor and Francis Journals, vol. 2(5), pages 139-43, May. [Downloadable!] (restricted)
2. Baillie, Richard T & Bollerslev, Tim, 1989. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 297-305, July.
   Other versions:
   • Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
3. Levy, Victor, 1983. "Demand for international reserves and exchange-rate intervention policy in an adjustable-peg economy," Journal of Monetary Economics, Elsevier, vol. 11(1), pages 89-101. [Downloadable!] (restricted)
4. Ben-Bassat, Avraham & Gottlieb, Daniel, 1992. "Optimal international reserves and sovereign risk," Journal of International Economics, Elsevier, vol. 33(3-4), pages 345-362, November. [Downloadable!] (restricted)
5. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March. [Downloadable!] (restricted)
6. Domowitz, Ian & Hakkio, Craig S., 1985. "Conditional variance and the risk premium in the foreign exchange market," Journal of International Economics, Elsevier, vol. 19(1-2), pages 47-66, August. [Downloadable!] (restricted)
7. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
8. Ferhan Salman, 1999. "Risk-return-volume relationship in an emerging stock market," Discussion Papers 9901, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
   Other versions:
   • Salman, Ferhan, 2002. "Risk-Return-Volume Relationship in an Emerging Stock Market," Applied Economics Letters, Taylor and Francis Journals, vol. 9(8), pages 549-52, June. [Downloadable!] (restricted)
9. Chou, Ray Yeutien, 1988. "Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 279-94, October-D. [Downloadable!] (restricted)
10. Torben G. Andersen & Tim Bollerslev, 1998. "Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," Journal of Finance, American Finance Association, vol. 53(1), pages 219-265, 02. [Downloadable!] (restricted)
11. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
12. Sukru Binay & Ferhan Salman, 1998. "The Global Crisis and The Turkish Economy," Working Papers 9801, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
13. Susmel, Raul & Engle, Robert F., 1994. "Hourly volatility spillovers between international equity markets," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 3-25, February. [Downloadable!] (restricted)
    Other versions:
    • Raul Susmel & Robert F. Engle, 1992. "Hourly Volatility Spillovers Between International Equity Markets," University of California at San Diego, Economics Working Paper Series 92-08, Department of Economics, UC San Diego.
14. Xu, Xinzhong & Taylor, Stephen J., 1995. "Conditional volatility and the informational efficiency of the PHLX currency options market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 803-821, August. [Downloadable!] (restricted)
15. Jaesun Noh & Robert F. Engle & Alex Kane, 1994. "Forecasting Volatility and Option Prices of the S&P 500 Index," University of California at San Diego, Economics Working Paper Series 93-32r, Department of Economics, UC San Diego. [Downloadable!]
16. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)

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