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Excessive variation in risk‐factor correlations and volatilities
Bali, Turan G.; Genberg, Hans; Neftci, Salih N. - In: Journal of Futures Markets 22 (2002) 12, pp. 1119-1146
This article explores the time‐series behavior of correlations of returns, volatilities of returns, volatilities of volatilities, and correlations of volatilities in domestic and international financial markets such as equity (indices), interest rates (bonds), and currency (exchange rates)...
Persistent link: https://www.econbiz.de/10011198304
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Excessive variation in risk-factor correlations and volatilities
Bali, Turan G.; Genberg, Hans; Neftci, Salih N. - In: The journal of futures markets 22 (2002) 12, pp. 1119-1146
Persistent link: https://www.econbiz.de/10001713588
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Disturbing extremal behavior of spot rate dynamics
Bali, Turan G.; Neftci, Salih N. - In: Journal of Empirical Finance 10 (2003) 4, pp. 455-477
Persistent link: https://www.econbiz.de/10005021278
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Estimating the term structure of interest rate volatility in extreme values
Bali, Turan G.; Neftci, Salih N. - In: The journal of fixed income 10 (2001) 4, pp. 7-14
Persistent link: https://www.econbiz.de/10001580717
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Disturbing extremal behavior of spot rate dynamics
Bali, Turan G.; Neftci, Salih N. - In: Journal of empirical finance 10 (2003) 4, pp. 455-477
Persistent link: https://www.econbiz.de/10001782291
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Disturbing extremal behavior of spot rate dynamics
Bali, Turan G.; Neftci, Salih N. - In: Journal of empirical finance 10 (2003) 4, pp. 455-478
Persistent link: https://www.econbiz.de/10007232877
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ESTIMATING THE TERM STRUCTURE OF INTEREST RATE VOLATILITY IN EXTREME VALUES
Bali, Turan G.; Neftci, Salih N. - In: The journal of fixed income 10 (2001) 4, pp. 7-14
Persistent link: https://www.econbiz.de/10007173956
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[Rezension von: Klein, Philip A., Monitoring growth cycles in market-oriented countries]
Neftci, Salih N. - In: Journal of economic literature 25 (1987) 1, pp. 137-138
Persistent link: https://www.econbiz.de/10001342032
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Statistical analysis of shapes in macroeconomic time series : is there a business cycle?
Neftci, Salih N. - In: Journal of business & economic statistics : JBES ; a … 11 (1993) 2, pp. 215-224
Persistent link: https://www.econbiz.de/10001142124
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Naive trading rules in financial markets and Wiener-Kolmogorov prediction theory : a study of "technical analysis"
Neftci, Salih N. - In: The journal of business : B 64 (1991) 4, pp. 549-571
Persistent link: https://www.econbiz.de/10001115133