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Time-Varying Betas Help in Asset Pricing: The Threshold CAPM

Akdeniz, Levent; Altay-Salih, Aslihan; Caner, Mehmet - In: Studies in Nonlinear Dynamics & Econometrics 6 (2003) 4

Although there is a consensus about time variation in market betas, it is not clear how this variation should be captured. Several researchers continue to analyze different versions of the conditional CAPM. However, Ghysels (1998) shows that these conditional CAPM models fail to capture the...

Persistent link: https://www.econbiz.de/10014620864

The degree of financial liberalization and aggregated stock-return volatility in emerging markets

Umutlu, Mehmet; Akdeniz, Levent; Altay-Salih, Aslihan - 2009

Persistent link: https://www.econbiz.de/10003884343

The degree of financial liberalization and aggregated stock-return volatility in emerging markets

Umutlu, Mehmet; Akdeniz, Levent; Altay-Salih, Aslihan - In: Journal of banking & finance 34 (2010) 3, pp. 509-521

Persistent link: https://www.econbiz.de/10003951903

Is volatility risk priced in the securities market? : evidence from S&P 500 Index options

Arisoy, Yakup Eser; Altay-Salih, Aslihan; Akdeniz, Levent - In: The journal of futures markets 27 (2007) 7, pp. 617-642

Persistent link: https://www.econbiz.de/10003493123

Does ADR listing affect the dynamics of volatility in emerging markets?

Umutlu, Mehmet; Altay-Salih, Aslihan; Akdeniz, Levent - In: Finance a úvěr 60 (2010) 2, pp. 122-137

Persistent link: https://www.econbiz.de/10003964143

Aggregate volatility expectations and threshold CAPM

Arisoy, Yakup Eser; Altay-Salih, Aslihan; Akdeniz, Levent - In: The North American journal of economics and finance : a … 34 (2015), pp. 231-253

Persistent link: https://www.econbiz.de/10011539964

Do time-varying betas help in asset pricing? : evidence from Borsa Istanbul

Yayvak, Berk; Akdeniz, Levent; Altay-Salih, Aslihan - In: Emerging markets finance & trade : a journal of the … 51 (2015) 4, pp. 747-756

Persistent link: https://www.econbiz.de/10011404562

Time-varying betas help in asset pricing : the threshold CAPM

Akdeniz, Levent (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 6 (2002) 4

Persistent link: https://www.econbiz.de/10001790049

A cross-section of expected stock returns on the Istanbul Stock Exchange

Akdeniz, Levent; Altay-Salih, Aslihan; Aydoğan, Kürşat - In: Russian & East European finance and trade 36 (2000) 5, pp. 6-26

Persistent link: https://www.econbiz.de/10001581276

Foreign equity trading and average stock-return volatility

Umutlu, Mehmet; Akdeniz, Levent; Altay-Salih, Aslihan - In: The world economy : the leading journal on … 36 (2013) 9, pp. 1209-1228

Persistent link: https://www.econbiz.de/10010205911