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Browsing İşletme Bölümü Yayın Koleksiyonu by Author "Balaban, Ercan"

Browsing İşletme Bölümü Yayın Koleksiyonu by Author "Balaban, Ercan"

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  • Forecasting stock market volatility: Further international evidence 
    Balaban, Ercan; Bayar, Aslı; Faff, Robert W. (2006-02)
    This paper evaluates the out-of-sample forecasting accuracy of eleven models for monthly volatility in fifteen stock markets. Volatility is defined as within-month standard deviation of continuously compounded daily returns ...
  • Stock returns and volatility: empirical evidence from fourteen countries 
    Balaban, Ercan; Bayar, Aslı (Routledge Journals, 2005-08-15)
    This is a pioneering effort to test in 14 countries the relationship between stock market returns and their forecast volatility derived from the symmetric and asymmetric conditional heteroscedasticity models. Both weekly ...