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Forecasting emerging market volatility in crisis period : comparing traditional GARCH with high-frequency based models

Yalaman, Abdullah; Saleem, Shabir A. A. - In: Global financial crisis and it's ramifications on …, (pp. 475-492). 2017

Persistent link: https://www.econbiz.de/10011809957

Analysis of Systematic Risk around Firm-specific News in an Emerging Market using High Frequency Data

Saleem, Shabir - 2020

We investigate whether the daily betas of individual stocks vary with the release of firm-specific news in an emerging market. Using intraday prices of all stocks traded on the Borsa Istanbul, Turkey over the period 2005-2013, we find evidence that average market betas increase significantly...

Persistent link: https://www.econbiz.de/10012825149

Characterizing financial crises using high-frequency data

Dungey, Mardi H.; Holloway, Jet; Yalaman, Abdullah; … - In: Quantitative finance 22 (2022) 4, pp. 743-760

Persistent link: https://www.econbiz.de/10013367856

Analysing emerging market returns with high-frequency data during the global financial crisis of 2007-2009

Yalaman, Abdullah; Manahov, Viktor - In: The European journal of finance 28 (2022) 10, pp. 1019-1051

Persistent link: https://www.econbiz.de/10013373360

Analysis of systematic risk around firm-specific news in an emerging market using high frequency data

Saleem, Shabir; Smith, Peter N.; Yalaman, Abdullah - 2021

Persistent link: https://www.econbiz.de/10013236409

Current account balances and output volatility

Elgin, Ceyhun; Kuzubas, Tolga Umut - In: Economic modelling 33 (2013), pp. 381-387

Persistent link: https://www.econbiz.de/10010192923