Details about Aslihan Salih

Access statistics for papers by Aslihan Salih.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: psa1879

Working Papers

2009

1. The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (2)
   Also in Discussion Paper, Tilburg University, Center for Economic Research (2009) View citations (2)
   See also Journal Article The degree of financial liberalization and aggregated stock-return volatility in emerging markets, Journal of Banking & Finance, Elsevier (2010) View citations (102) (2010)

2008

2. Can Central Bank Interventions Affect the Exchange Rate Volatility? Multivariate GARCH Approach Using Constrained Nonlinear Programming
   EcoMod2008, EcoMod
   Also in Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey (2008)

2007

3. Is volatility risk priced in the securities market ? Evidence from S&P 500 index options
   Post-Print, HAL View citations (4)
   See also Journal Article Is volatility risk priced in the securities market? Evidence from S&P 500 index options, Journal of Futures Markets, John Wiley & Sons, Ltd. (2007) View citations (3) (2007)

1999

4. An Empirical Investigation of Time Varying Betas via Threshold Models
   Working Papers, Department of Economics, Bilkent University
5. Modeling the Volatility In the Central Bank Reserves In An Emerging Market Setting
   Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey View citations (7)

Journal Articles

2022

1. Stretching the success in reward-based crowdfunding
   Journal of Business Research, 2022, 152, (C), 205-220 View citations (2)

2021

2. The Price Impact of Same- and Opposing-Direction Herding by Institutions with Different Investment Horizons
   Finance Research Letters, 2021, 40, (C) View citations (1)

2020

3. Informed trading, order flow shocks and the cross section of expected returns in Borsa Istanbul
   Applied Economics, 2020, 52, (13), 1446-1459

2015

4. Aggregate volatility expectations and threshold CAPM
   The North American Journal of Economics and Finance, 2015, 34, (C), 231-253 View citations (2)

2014

5. Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX
   Finance Research Letters, 2014, 11, (4), 454-462 View citations (27)
6. Optimal multi-period consumption and investment with short-sale constraints
   Finance Research Letters, 2014, 11, (1), 16-24

2010

7. Does ADR Listing Affect the Dynamics of Volatility in Emerging Markets?
   Czech Journal of Economics and Finance (Finance a uver), 2010, 60, (2), 122-137 View citations (7)
8. Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
   European Journal of Operational Research, 2010, 201, (3), 770-785 View citations (6)
9. The degree of financial liberalization and aggregated stock-return volatility in emerging markets
   Journal of Banking & Finance, 2010, 34, (3), 509-521 View citations (102)
   See also Working Paper The Degree of Financial Liberalization and Aggregated Stock-return Volatility in Emerging Markets, Other publications TiSEM (2009) View citations (2) (2009)

2007

10. Are stock prices too volatile to be justified by the dividend discount model?
    Physica A: Statistical Mechanics and its Applications, 2007, 376, (C), 433-444 View citations (4)
11. Is volatility risk priced in the securities market? Evidence from S&P 500 index options
    Journal of Futures Markets, 2007, 27, (7), 617-642 View citations (3)
    See also Working Paper Is volatility risk priced in the securities market ? Evidence from S&P 500 index options, Post-Print (2007) View citations (4) (2007)

2003

12. Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures
    Annals of Economics and Finance, 2003, 4, (1), 73-101 View citations (7)
13. Time-Varying Betas Help in Asset Pricing: The Threshold CAPM
    Studies in Nonlinear Dynamics & Econometrics, 2003, 6, (4), 18 View citations (21)

2002

14. Exploring exchange rate returns at different time horizons
    Physica A: Statistical Mechanics and its Applications, 2002, 313, (3), 671-682 View citations (21)
15. Performance of the efficient frontier in an emerging market setting
    Applied Economics Letters, 2002, 9, (3), 177-183 View citations (1)