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TURAN
G. BALI David Krell
Chair Professor of Finance Department of Economics and Room:
10-282 |
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Contents |
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Publications | Working Papers | Professional Activities | About me | Useful Links |
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Selected Publications Publications (by date) |
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The intertemporal relation between
expected returns and risk, Journal of
Financial Economics,
January 2008, 87(1), 101-131. Does Idiosyncratic Risk Really Matter? Journal
of Finance, April 2005, 60(2), 905-929 (with Nusret Cakici, Xuemin Yan, and Zhe Zhang). An Extreme Value Approach to Estimating Interest Rate Volatility:
Pricing Implications for Interest Rate Options, Management
Science, February 2007, 53(2), 323-339. An Extreme Value Approach to Estimating Volatility and Value at
Risk, Journal of Business,
January 2003, 76(1), 83-108. Testing the Empirical Performance of Stochastic Volatility Models of
the Short Term Interest Rate, Journal
of Financial and Quantitative Analysis, June 2000, 35(2),
191-215. Idiosyncratic Volatility and the Cross-Section of Expected Returns, Journal of Financial and
Quantitative Analysis, March 2008, 43(1), 29-58 (with Nusret Cakici). Aggregate Earnings, Firm-Level Earnings, and Expected Stock
Returns, Journal of Financial and
Quantitative Analysis, forthcoming (with K. Ozgur Demirtas and Hassan Tehranian). Is There an Intertemporal Relation Between
Downside Risk and Expected Returns? Journal of Financial and
Quantitative Analysis, forthcoming (with K. Ozgur Demirtas and Haim Levy). A Conditional Extreme Value Volatility Estimator Based on
High-Frequency Returns, Journal of Economic Dynamics and
Control, February 2007, 31(2),
361-397 (with David Weinbaum). A Generalized Extreme Value Approach to Financial Risk Measurement, Journal of Money, Credit, and Banking, October 2007, 39(7), 1611-1647. Risk Measurement
Performance of Alternative Distribution Functions, Journal of Risk and Insurance, June 2008, 75(2), 411-437 (with
Panayiotis Theodossiou). Modeling the Dynamics of Interest Rate Volatility with Skewed
Fat-Tailed Distributions, Annals of
Operations Research, April 2007, 151(1), 151-178. A Conditional-SGT-VaR Approach with
Alternative GARCH Models, Annals of
Operations Research, April 2007, 151(1), 241-267 (with Panayiotis Theodossiou). 2008--[46] The intertemporal
relation between expected returns and risk, Journal of Financial Economics, January 2008, 87(1), 101-131. [45] Idiosyncratic Volatility and the
Cross-Section of Expected Returns, Journal of Financial and
Quantitative Analysis, March 2008, 43(1), 29-58 (with Nusret Cakici). [44] Aggregate Earnings, Firm-Level
Earnings, and Expected Stock Returns, Journal of Financial and Quantitative
Analysis,
forthcoming (with K. Ozgur Demirtas and Hassan Tehranian). [43] Is There an Intertemporal
Relation Between Downside Risk and Expected Returns? Journal of Financial and
Quantitative Analysis, forthcoming (with K. Ozgur Demirtas and Haim Levy). [42] Risk Measurement Performance of
Alternative Distribution Functions, Journal of Risk and Insurance, June 2008, 75(2), 411-437
(with Panayiotis Theodossiou). [41] A Model-Independent Measure of
Aggregate Idiosyncratic Risk, Journal
of Empirical Finance, forthcoming (with Nusret Cakici and Haim Levy). [40] The Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR, Journal
of Banking and Finance, February
2008, 32(2), 269-282
(with Hengyong Mo and Yi Tang). [39] Nonlinear Mean Reversion in Stock Prices, Journal
of Banking and Finance, May 2008, 32(5), 767-782 (with K. Ozgur Demirtas and Haim Levy). [38] The Conditional Beta and the
Cross-Section of Expected Returns, Financial
Management,
forthcoming (with Nusret Cakici and Yi Tang). [37] Testing Mean Reversion in Financial
Market Volatility: Evidence from S&P 500 Index Futures, Journal of
Futures Markets, January
2008, 28(1), 1-33 (with K. Ozgur Demirtas). [36] Small Sample Bias in Panel Data, Finance
Letters, forthcoming
(with K. Ozgur Demirtas). [35] Predictability of Risk Measures in
International Stock Markets, Stock Market
Volatility, February 2009, (with K. Ozgur
Demirtas), Edited by Greg N. Gregoriou, Publisher: Chapman Hall CRC/Taylor and
Francis, 2007[34] An Extreme Value Approach to
Estimating Interest Rate Volatility: Pricing Implications for Interest Rate
Options, Management Science, February 2007, 53(2), 323-339. [33] A Conditional Extreme Value
Volatility Estimator Based on High-Frequency Returns, Journal
of Economic Dynamics and Control, February 2007, 31(2), 361-397 (with David Weinbaum). [32] A Generalized Extreme Value Approach to
Financial Risk Measurement, Journal of Money, Credit, and Banking, October 2007, 39(7), 1611-1647. [31] Modeling the Dynamics of Interest
Rate Volatility with Skewed Fat-Tailed Distributions, Annals of Operations
Research, April 2007, 151(1), 151-178. [30] A Conditional-SGT-VaR
Approach with Alternative GARCH Models, Annals
of Operations Research, April 2007, 151(1), 241-267 (with Panayiotis Theodossiou). [29] Cyclicality in Catastrophic and
Operational Risk Measurements, Journal
of Banking and Finance, April 2007, 31(4), 1191-1235 (with Linda Allen). [28] Value at Risk and the Cross-Section of
Hedge Fund Returns, Journal
of Banking and Finance, April 2007, 31(4), 1135-1166 (with Bing Liang and Suleyman Gokcan). [27] A New Look at Hedging with
Derivatives: Will Firms Reduce Market Risk Exposure? Journal of Futures Markets, November
2007, 27(11), 1053-1083 (with Susan Hume and Terrence Martell). [26] The Relativity of Volatility, The
Value-at-Risk Reference April 2007, pp. 429-439 (with Salih N. Neftci) Edited by Jon Danielsson, Risk Books. 2006[25] Is There a Risk-Return Tradeoff?
Evidence from High-Frequency Data, Journal
of Applied Econometrics, December 2006, 21(8), 1169-1198 (with Lin Peng). [24] Inflation Shoe Leather Costs and
Average Inflation Rates Across Countries, Journal
of International Money and Finance, November 2006, 25(7), 1103-1129 (with Thom
B. Thurston). [23] A Comprehensive Analysis of the Short-Term
Interest Rate Dynamics, Journal
of Banking and Finance, April 2006,
30(4), 1269-1290
(with Liuren Wu). [22] Peer Pressure: Industry
Group Impacts on Stock Valuation Precision and Contrarian Strategy
Performance, Journal of Portfolio Management, Spring 2006, 32(3), 80-92 (with K. Ozgur Demirtas, Armen Hovakimian, and John
Merrick). [21] Aggregate Idiosyncratic Risk and
Market Returns, Journal of Investment Management, 4th
Quarter 2006, 4(4), 4-14
(with Nusret Cakici). 2005[20] Does Idiosyncratic Risk Really
Matter? Journal of Finance, April 2005,
60(2), 905-929
(with Nusret Cakici,
Xuemin Yan, and Zhe Zhang). [19] The Empirical Performance of
Alternative Extreme-Value Volatility Estimators, Journal of Futures Markets, September
2005, 25(9), 873-892. (with David Weinbaum). 2004[18] Cyclicality in the Catastrophic Risk
of Financial Institutions, Operational Risk Modelling
and Analysis: Theory and Practice, August 2004, pp. 209-246
(with Linda Allen and Yi Tang) Edited by Marcelo Cruz,
Risk Books. [17] Alternative Approaches to Estimating VaR for Hedge Fund Portfolios, Intelligent Hedge Fund
Investing April 2004, pp. 253-277 (with Suleyman
Gokcan) Edited by Barry Schachter, Risk Books. [16] Value at Risk and Expected Stock
Returns, Financial
Analysts Journal, March 2004, 60(2), 57-73 (with Nusret
Cakici). 2003[15] Disturbing Extremal
Behavior of Spot Rate Dynamics, Journal
of Empirical Finance, September 2003, 10(4), 455-477 (with Salih N. Neftci). [14] The Generalized Extreme Value Distribution,
Economics
Letters, June 2003, 79(3), 423-427. [13] Modeling the Stochastic Behavior
of Short Term Interest Rates: Pricing Implications for Discount Bonds, Journal
of Banking and Finance, February 2003, 27(2), 201-228. [12] An Extreme Value Approach to
Estimating Volatility and Value at Risk Journal of Business,
January 2003, 76(1), 83-108. 2002[11] Excessive Variation in Risk Factor
Correlations and Volatilities, Journal of Futures Markets,
December 2002, 22(12), 1119-1146 (with
Salih N. Neftci). [10] On the Efficiency of Monetary Policy
Rules with Flexible Prices and Rational Expectations, Journal
of Economics and Business,
December 2002, 54(6), 615-631 (with Thom B. Thurston). 2001[9] The Relativity of Volatility, Risk, April 2001, 14(4), 91-94 (with Salih N. Neftci). [8] Estimating the Term Structure of
Interest Rate Volatility in Extreme Values, Journal of Fixed Income,
March 2001, 10(4), 7-14 (with Salih N. Neftci). 2000[7] Empirical Estimates of Inflation Tax
Laffer Surfaces: A 30 Country Study, Journal
of Development Economics, December 2000, 63(2), 529-546 (with Thom B.
Thurston). [6] Modeling the Conditional Mean and
Variance of the Short Rate Using Diffusion, GARCH, and Moving Average Models,
Journal
of Futures Markets,
September 2000, 20(8), 717-751. [5] Testing the Empirical Performance of
Stochastic Volatility Models of the Short Term Interest Rate, Journal of Financial and Quatitative Analysis, June 2000, 35(2),
191-215. [4] [3] Pricing Eurodollar Futures Options
Using the BDT Term Structure Model: The Effect of Yield Curve Smoothing, Journal of Futures Markets, March 2000,
20(3), 293-306 (with Ahmet K. Karagozoglu).
1999[2] An Empirical Comparison of Continuous
Time Models of the Short Term Interest Rate, Journal of Futures Markets, October
1999, 19(7), 777-798. [1] Implementation of the BDT Model with
Different Volatility Estimators: Applications to Eurodollar Futures Options, Journal of Fixed Income,
March 1999, 8(4), 24-34 (with Ahmet K. Karagozoglu). |
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Associate Editor: Journal
of Banking and Finance: 2008-Present Journal
of Futures Markets: 2007-Present Journal of Risk: 2005-Present Founding Member: Society for Financial
Econometrics: 2008-Present Referee: American Economic
Review, Annals of
Operations Research, Economic
Inquiry, European
Financial Management, European Journal
of Finance, European
Journal of Operational Research, Financial Analysts Journal,
Financial Management, International Review of
Economics and Finance, Journal of
Applied Econometrics, Journal
of Banking and Finance, Journal of Business, Journal
of Business and Economic Statistics, Journal
of Business, Finance, and Accounting, Journal
of Econometrics, Journal
of Economics and Business, Journal of
Economics and Finance, Journal
of Empirical Finance, Journal
of Finance, Journal
of Financial and Quantitative Analysis, Journal of Financial Econometrics,
Journal of Financial
Research, Journal of
Financial Services Research, Journal
of Forecasting, Journal of Futures Markets, Journal
of International Money and Finance, Journal
of Multinational Financial Management, Macroeconomic Dynamics,
Management Science, Multinational Finance Journal, National
Science Foundation, Quantitative
Finance, Review of Financial Studies, Review of
Quantitative Finance and Accounting, and Social
Sciences and Humanities Research Council for Canada. |
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