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An Empirical Investigation of Time Varying Betas via Threshold Models
Caner, Mehmet; Akdeniz, Levent; Salih, A. Altay - İktisat Bölümü, Bilkent Üniversitesi - 1999
Persistent link: https://www.econbiz.de/10011211350
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Do CAPM results hold in a dynamic economy? A numerical analysis
Akdeniz, Levent; Dechert, W. Davis - In: Journal of Economic Dynamics and Control 21 (1997) 6, pp. 981-1003
Persistent link: https://www.econbiz.de/10005205045
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An Empirical Investigation of Time Varying Betas via Threshold Models
Caner, Mehmet; Akdeniz, Levent; Salih, A. Altay - İktisat Bölümü, Bilkent Üniversitesi - 1999
Persistent link: https://www.econbiz.de/10005212495
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Risk and Return in a Dynamic Asset Pricing Model
Akdeniz, Levent; Dechert, W. Davis - Society for Computational Economics - SCE
In this study we combine the dynamic programming method with the projection methods for solving stochastic growth models. One of the inconveniences of Judd's projection technique is that finding a good initial guess is not that easy or it is time costly especially when the dimensionality of the...
Persistent link: https://www.econbiz.de/10005345091
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Do CAPM results hold in a dynamic economy? A numerical analysis
Akdeniz, Levent; Dechert, W.Davis - In: Journal of economic dynamics & control 21 (1997) 6, pp. 981-1004
Persistent link: https://www.econbiz.de/10006792449
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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. 509-522
Persistent link: https://www.econbiz.de/10008352549
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The equity premium in Brock's asset pricing model
Akdeniz, Levent; Dechert, W.Davis - In: Journal of economic dynamics & control 31 (2007) 7, pp. 2263-2292
Persistent link: https://www.econbiz.de/10007738982
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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 and econometrics : SNDE ; … 6 (2002) 4
Persistent link: https://www.econbiz.de/10009949779
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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/10010175535
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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/10009920088