Turan G. Bali

Georgetown University - Robert Emmett McDonough School of Business

Robert S. Parker Chair Professor of Business Administration

3700 O Street, NW

Washington, DC 20057

United States

http://faculty.msb.edu/tgb27/

SCHOLARLY PAPERS

76

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59,086

CITATIONS
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507

Scholarly Papers (76)

1.
Downloads 2,996 ( 3,343)
Citation 32

Volatility Spreads and Expected Stock Returns

Number of pages: 33 Posted: 12 Nov 2007
Turan G. Bali and Armen Hovakimian
Georgetown University - Robert Emmett McDonough School of Business and Baruch College - Zicklin School of Business
Downloads 2,206 (5,493)
Citation 32

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expected returns, implied volatility, realized volatility, volatility spread

Volatility Spreads and Expected Stock Returns

Management Science, Forthcoming
Number of pages: 32 Posted: 04 Aug 2009
Turan G. Bali and Armen Hovakimian
Georgetown University - Robert Emmett McDonough School of Business and Baruch College - Zicklin School of Business
Downloads 790 (27,731)
Citation 32

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realized volatility, implied volatility, volatility risk, jump risk, stock returns

2.
Downloads 2,744 ( 3,881)
Citation 19

The Joint Cross Section of Stocks and Options

AFA 2011 Denver Meetings Paper, Fordham University Schools of Business Research Paper No. 2010-003
Number of pages: 58 Posted: 08 Jan 2010 Last Revised: 27 Feb 2012
Andrew Ang, Turan G. Bali and Nusret Cakici
BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 1,423 (11,379)
Citation 19

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implied volatility, risk premiums, return predictability, momentum

The Joint Cross Section of Stocks and Options

Georgetown McDonough School of Business Research Paper No. 2012-10
Number of pages: 142 Posted: 22 Feb 2012 Last Revised: 24 Mar 2014
Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici
Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 1,100 (17,017)
Citation 19

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implied volatility, risk premiums, predictability, short-term momentum

The Joint Cross Section of Stocks and Options

Netspar Discussion Paper No. 10/2013-032, Georgetown McDonough School of Business Research Paper
Number of pages: 69 Posted: 19 Oct 2013
Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici
Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 192 (147,681)
Citation 19

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implied volatility, risk premiums, predictability, short-term momentum

The Joint Cross Section of Stocks and Options

NBER Working Paper No. w19590
Number of pages: 96 Posted: 01 Nov 2013
Byeong-Je An, Andrew Ang, Turan G. Bali and Nusret Cakici
Nanyang Technological University (NTU) - Division of Banking & Finance, BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 29 (456,129)
Citation 19

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3.

A Lottery Demand-Based Explanation of the Beta Anomaly

Georgetown McDonough School of Business Research Paper No. 2408146
Number of pages: 104 Posted: 13 Mar 2014 Last Revised: 03 Dec 2016
Turan G. Bali, Stephen Brown, Scott Murray and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 2,344 (5,053)

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Beta, Beta Anomaly, Lottery Demand, Stock Returns, Institutional Ownership

Idiosyncratic Volatility and the Cross-Section of Expected Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 41 Posted: 08 Aug 2006
Turan G. Bali and Nusret Cakici
Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 1,250 (13,979)
Citation 69

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idiosyncratic risk, expected stock returns, size, book-to-market, liquidity

Idiosyncratic Volatility and the Cross-Section of Expected Returns

Number of pages: 29 Posted: 03 Mar 2006
Turan G. Bali and Nusret Cakici
Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 981 (20,234)
Citation 69

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idiosyncratic risk, total risk, expected stock returns, size, liquidity

5.

Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 82 Posted: 09 Sep 2013 Last Revised: 14 Aug 2017
Turan G. Bali, Jianfeng Hu and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 2,052 (6,312)

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Risk-Neutral Moments, Option-Implied Risk, Ex-Ante Expected Stock Returns, Price Targets

6.
Downloads 1,985 ( 6,668)

Investing in Stock Market Anomalies

Number of pages: 50 Posted: 15 Mar 2011
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 1,328 (12,732)

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Stock Market Anomalies, Momentum, Reversal, Size, Value Premium

Investing in Stock Market Anomalies

Number of pages: 52 Posted: 10 Apr 2011
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 364 (75,124)

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Stock Market Anomalies, Momentum, Reversal, Size, Value Premium

Investing in Stock Market Anomalies

Number of pages: 50 Posted: 01 Feb 2012 Last Revised: 27 Feb 2012
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 293 (96,278)

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Mutual funds, equity portfolios, expected utility paradigm, stock market anomalies

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Number of pages: 55 Posted: 23 Jun 2012 Last Revised: 15 Apr 2016
Turan G. Bali, Robert F. Engle and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and Fordham University - Gabelli School of Business
Downloads 1,305 (13,069)
Citation 1

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Dynamic conditional beta, conditional CAPM, ICAPM, investor attention, buying intensity, and expected stock returns

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Georgetown McDonough School of Business Research Paper 2012-16
Number of pages: 56 Posted: 24 Jul 2012 Last Revised: 15 Apr 2016
Turan G. Bali, Robert F. Engle and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University - Leonard N. Stern School of Business - Department of Economics and Fordham University - Gabelli School of Business
Downloads 485 (52,953)
Citation 1

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Dynamic conditional beta, conditional CAPM, ICAPM, investor attention, buying intensity, and expected stock returns

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

Number of pages: 49 Posted: 03 Sep 2008 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 1,399 (11,709)
Citation 43

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expected stock returns, maximum returns, idiosyncratic volatility, skewness

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

NYU Working Paper No. FIN-08-025
Number of pages: 44 Posted: 09 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 209 (136,134)
Citation 43

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Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

NBER Working Paper No. w14804
Number of pages: 50 Posted: 24 Mar 2009 Last Revised: 07 Jun 2009
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 65 (326,086)
Citation 43

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Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Number of pages: 71 Posted: 22 Mar 2010 Last Revised: 09 Jul 2013
Turan G. Bali and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business and Georgia State University
Downloads 1,144 (16,055)
Citation 5

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Cross-Section of Expected Returns, Risk-Neutral Skewness

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Number of pages: 72 Posted: 30 Jan 2012 Last Revised: 25 Apr 2012
Turan G. Bali and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business and Georgia State University
Downloads 382 (70,969)
Citation 5

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Cross-Section of Expected Returns, Risk-Neutral Skewness

10.
Downloads 1,514 ( 10,497)
Citation 4

Liquidity Shocks and Stock Market Reactions

Fordham University Schools of Business Research Paper No. 2020476
Number of pages: 108 Posted: 13 Mar 2012 Last Revised: 22 Sep 2013
Turan G. Bali, Lin Peng, Yannan Shen and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, Baruch College/CUNY - Zicklin School of Business, Bentley University and Fordham University - Gabelli School of Business
Downloads 1,134 (16,255)
Citation 4

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Expected stock returns, liquidity, stock market reactions, underreaction, investor attention

Liquidity Shocks and Stock Market Reactions

Georgetown McDonough School of Business Research Paper No. 2012-02
Number of pages: 108 Posted: 10 May 2012 Last Revised: 26 Aug 2013
Turan G. Bali, Lin Peng, Yannan Shen and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, Baruch College/CUNY - Zicklin School of Business, Bentley University and Fordham University - Gabelli School of Business
Downloads 254 (111,956)
Citation 4

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Stock returns, liquidity shocks, stock market reactions, underreaction, investor attention

Liquidity Shocks and Stock Market Reactions

Number of pages: 108 Posted: 15 Mar 2012 Last Revised: 26 Aug 2013
Turan G. Bali, Lin Peng, Yannan Shen and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, Baruch College/CUNY - Zicklin School of Business, Bentley University and Fordham University - Gabelli School of Business
Downloads 126 (211,711)
Citation 4

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Stock returns, liquidity shocks, stock market reactions, underreaction, investor attention

11.
Downloads 1,445 ( 6,948)
Citation 35

Risk, Uncertainty, and Expected Returns

AFA 2013 San Diego Meetings Paper
Number of pages: 79 Posted: 24 Nov 2012 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - Robert Emmett McDonough School of Business and Tsinghua University - PBC School of Finance
Downloads 1,222 (14,456)
Citation 35

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Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model

Risk, Uncertainty, and Expected Returns

Georgetown McDonough School of Business Research Paper No. 1993304
Number of pages: 79 Posted: 30 Jan 2012 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - Robert Emmett McDonough School of Business and Tsinghua University - PBC School of Finance
Downloads 223 (127,863)
Citation 35

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Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Consumption-Based Asset Pricing Model

Risk, Uncertainty, and Expected Returns

Sixth Singapore International Conference on Finance 2012 Paper
Posted: 30 Jul 2011 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - Robert Emmett McDonough School of Business and Tsinghua University - PBC School of Finance

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Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model

12.

Left-Tail Momentum: Underreaction to Bad News, Costly Arbitrage and Equity Returns

Georgetown McDonough School of Business Research Paper No. 3070777
Number of pages: 89 Posted: 16 Nov 2017 Last Revised: 26 Oct 2018
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 1,407 (11,831)

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left-tail risk, momentum, equity returns, retail investors, investor inattention

13.

A New Look at Hedging with Derivatives: Will Firms Reduce Market Risk Exposure?

Number of pages: 40 Posted: 11 Oct 2006
Turan G. Bali, Susan Hume and Terrence F. Martell
Georgetown University - Robert Emmett McDonough School of Business, The College of New Jersey - School of Business and City University of New York (CUNY) - Baruch College - Zicklin School of Business
Downloads 1,375 (12,309)
Citation 3

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hedging, derivatives use, risk management, risk exposure

14.

Contrarian Investment, New Share Issues and Repurchases

Number of pages: 43 Posted: 15 Oct 2006 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas and Armen Hovakimian
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Baruch College - Zicklin School of Business
Downloads 1,358 (12,552)

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Share issues, share repurchases, contrarian investment, expected stock returns, value-to-market ratios

15.

Testing Mean Reversion in Stock Market Volatility

Journal of Futures Markets, Vol. 28, No. 1, pp. 1-33, 2008
Number of pages: 36 Posted: 17 Oct 2006 Last Revised: 27 Feb 2012
Turan G. Bali and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 1,295 (13,494)
Citation 1

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reversion, fat-tailed distributions, diffusion, GARCH, stochastic volatility

16.

Bonds Versus Stocks: Investors' Age and Risk Taking

Journal of Monetary Economics, Vol. 56, No. 6, pp. 817-830, September 2009
Number of pages: 40 Posted: 18 Oct 2006 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas, Haim Levy and Avner Wolf
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management, Hebrew University of Jerusalem - Jerusalem School of Business Administration and Baruch College
Downloads 1,236 (14,509)
Citation 3

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Asset Allocation, Life-Cycle Funds, Almost Stochastic Dominance, Almost Mean-Variance

17.

Predictability of Interest Rates and Interest-Rate Portfolios

Number of pages: 55 Posted: 03 Aug 2006
Turan G. Bali, Massoud Heidari and Liuren Wu
Georgetown University - Robert Emmett McDonough School of Business, Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,207 (15,039)
Citation 5

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Term structure, Predictability, Interest rates, Factors, Pricing errors, Expectation hypotheses

18.
Downloads 1,206 ( 15,056)
Citation 10

Investigating ICAPM with Dynamic Conditional Correlations

AFA 2009 San Francisco Meetings Paper
Number of pages: 61 Posted: 04 Feb 2008 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 995 (19,772)
Citation 10

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ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones

Investigating Icapm with Dynamic Conditional Correlations

NYU Working Paper No. FIN-07-051
Number of pages: 67 Posted: 13 Nov 2008
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 211 (134,830)
Citation 10

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ICAPM, Dynamic conditional correlation, ARCH, Risk aversion, Dow Jones

19.

Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns?

Number of pages: 66 Posted: 18 Feb 2010 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 1,142 (16,417)
Citation 8

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Hedge Funds, Return Predictability, Risk Factors

20.
Downloads 1,109 ( 17,142)
Citation 33

Implied Volatility Spreads and Expected Market Returns

Journal of Business and Economic Statistics, Vol. 33, No. 1, 2015
Number of pages: 57 Posted: 30 Jan 2012 Last Revised: 28 Jul 2015
Yigit Atilgan, Turan G. Bali and K. Ozgur Demirtas
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 704 (32,447)
Citation 33

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expected market returns, volatility spreads, variance risk premia, information based explanation

Implied Volatility Spreads and Expected Market Returns

Journal of Business and Economic Statistics, Vol. 33, No. 1, 2015
Number of pages: 57 Posted: 10 Mar 2011 Last Revised: 28 Jul 2015
Yigit Atilgan, Turan G. Bali and K. Ozgur Demirtas
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 405 (66,249)
Citation 33

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expected market return, variance risk premium, implied volatility spreads, conditional skewness

21.

Value at Risk and the Cross-Section of Hedge Fund Returns

EFA 2005 Moscow Meetings
Number of pages: 49 Posted: 18 Mar 2005
Turan G. Bali, Suleyman Gokcan and Bing Liang
Georgetown University - Robert Emmett McDonough School of Business, Citigroup Alternative Investments and University of Massachusetts Amherst - Department of Finance
Downloads 1,108 (17,161)
Citation 32

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hedge funds, value at risk, cross-section of expected returns, liquidity

Unusual News Events and the Cross-Section of Stock Returns

Number of pages: 66 Posted: 18 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali, Anna Scherbina and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, Brandeis University and Fordham University - Gabelli School of Business
Downloads 593 (40,857)
Citation 5

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unusual news events, volatility shocks, differences of opinion

Unusual News Events and the Cross-Section of Stock Returns

UC Davis Graduate School of Management Research Paper No. 10-09
Number of pages: 66 Posted: 27 Jan 2009 Last Revised: 27 Feb 2012
Turan G. Bali, Anna Scherbina and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, Brandeis University and Fordham University - Gabelli School of Business
Downloads 441 (59,656)
Citation 5

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idiosyncratic volatility shocks, unusual news events, divergence of opinion

23.

Is Economic Uncertainty Priced in the Cross-Section of Stock Returns?

Georgetown McDonough School of Business Research Paper No. 2812967, Gabelli School of Business, Fordham University Research Paper No. 2812967
Number of pages: 51 Posted: 09 Dec 2016 Last Revised: 10 Dec 2016
Turan G. Bali, Stephen Brown and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,024 (19,245)

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Economic uncertainty, uncertainty aversion, cross-section of stock returns, ICAPM, return predictability.

Cyclicality in Catastrophic and Operational Risk Measurements

Number of pages: 51 Posted: 18 Feb 2004
Turan G. Bali and Linda Allen
Georgetown University - Robert Emmett McDonough School of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 747 (29,915)
Citation 13

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operational risk, catastrophic risk, value at risk, extreme value theory, skewed fat tailed distribution.

Cyclicality in Catastrophic and Operational Risk Measurements

NYU Working Paper No. FIN-04-019
Number of pages: 51 Posted: 03 Nov 2008
Linda Allen and Turan G. Bali
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Georgetown University - Robert Emmett McDonough School of Business
Downloads 175 (160,728)
Citation 13

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operational risk, catastrophic risk, value at risk, extreme value theory, skewed fat tailed distribution

Systematic Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 38 Posted: 09 Mar 2011 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 495 (51,613)
Citation 28

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hedge funds, systematic risk, time-varying risk, return predictability

Systematic Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 39 Posted: 19 Dec 2011
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 214 (133,097)
Citation 28

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hedge funds, systematic risk, residual risk, return predictability

Systematic Risk and the Cross-Section of Hedge Fund Returns

AFA 2012 Chicago Meetings Paper
Number of pages: 38 Posted: 15 Mar 2011 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 199 (142,735)
Citation 28

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hedge funds, systematic risk, time-varying risk, return predictability

Systematic Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 39 Posted: 29 Jan 2012
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 84 (280,923)
Citation 28

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hedge funds, systematic risk, residual risk, return predictability

26.

Disagreement in Economic Forecasts and Expected Stock Returns

Georgetown McDonough School of Business Research Paper No. 2407279
Number of pages: 61 Posted: 12 Mar 2014 Last Revised: 02 Jun 2017
Turan G. Bali, Stephen Brown and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business and Fordham University - Gabelli School of Business
Downloads 977 (20,716)

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Dispersion in Economic Forecasts, Cross-Section of Stock Returns, Return Predictability

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Number of pages: 56 Posted: 10 Nov 2008 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 498 (51,230)
Citation 4

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G12; G13; C51

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

Number of pages: 56 Posted: 23 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 276 (102,605)
Citation 4

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ICAPM, Risk-return tradeoff, Risk aversion, Multivariate GARCH-in-mean

Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

NYU Working Paper No. FIN-08-037
Number of pages: 56 Posted: 09 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 199 (142,735)
Citation 4

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A Conditional Extreme Value Volatility Estimator Based on High-Frequency Returns

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 43 Posted: 22 Jan 2007
Turan G. Bali and David Weinbaum
Georgetown University - Robert Emmett McDonough School of Business and Syracuse University
Downloads 941 (21,927)
Citation 4

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extreme value, realized volatility, high-frequency returns, GARCH, implied volatility

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Number of pages: 85 Posted: 12 Jun 2010 Last Revised: 07 Jul 2012
Linda Allen, Turan G. Bali and Yi Tang
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Georgetown University - Robert Emmett McDonough School of Business and Fordham University - Gabelli School of Business
Downloads 734 (30,649)
Citation 14

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Systemic risk, value at risk, expected shortfall, financial crisis, banking crises, Too Big to Fail

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Georgetown McDonough School of Business Research Paper No. 1993312
Number of pages: 85 Posted: 30 Jan 2012 Last Revised: 14 Jul 2015
Turan G. Bali, Linda Allen and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 202 (140,679)
Citation 14

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Systemic risk, value at risk, expected shortfall, financial crisis, banking crises, Too Big to Fail

30.

Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR

Number of pages: 31 Posted: 06 Sep 2006
Turan G. Bali, Henry Mo and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, Credit Suisse - Fixed Income Division and Fordham University - Gabelli School of Business
Downloads 857 (25,070)
Citation 5

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conditional value at risk, GARCH, skewed generalized t distribution, conditional skewness and kurtosis

31.

Is There a Risk-Return Tradeoff? Evidence from High-Frequency Data

Number of pages: 39 Posted: 03 Oct 2006
Turan G. Bali and Lin Peng
Georgetown University - Robert Emmett McDonough School of Business and Baruch College/CUNY - Zicklin School of Business
Downloads 845 (25,602)
Citation 21

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ICAPM, intraday data, stock market volatility, stock market returns, risk-return tradeoff

32.

Is There an Intertemporal Relation between Downside Risk and Expected Returns?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 4, pp. 883-909, 2009
Number of pages: 37 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas and Haim Levy
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 825 (26,510)
Citation 18

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Downside risk, skewed fat-tail distributions, extreme stock returns, tail risk.

33.

Aggregate Earnings, Firm-Level Earnings and Expected Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Vol. 43, No. 3, pp. 657-684, 2008
Number of pages: 48 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas and Hassan Tehranian
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Boston College - Department of Finance
Downloads 752 (30,111)
Citation 7

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earnings, dividends, stock returns, market returns, predictability, business cycle

34.

The Conditional CAPM Explains the Value Premium

Georgetown McDonough School of Business Research Paper, Sloan Foundation Economics Research Paper
Number of pages: 41 Posted: 18 Nov 2012 Last Revised: 25 Mar 2014
Turan G. Bali and Robert F. Engle
Georgetown University - Robert Emmett McDonough School of Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 713 (32,374)

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Value Premium, Book-to-Market, Conditional CAPM, ICAPM, Dynamic Conditional Beta

35.
Downloads 697 ( 33,400)
Citation 2

Macroeconomic Risk and Hedge Fund Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 58 Posted: 23 Oct 2013 Last Revised: 10 Feb 2014
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business and Florida International University
Downloads 392 (68,844)
Citation 2

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hedge funds, mutual funds, macroeconomic risk, economic uncertainty

Macroeconomic Risk and Hedge Fund Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 58 Posted: 20 Mar 2013 Last Revised: 18 Feb 2014
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Florida International University
Downloads 305 (92,056)
Citation 2

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hedge funds, economic uncertainty, risk factors, return predictability

36.

Riskiness Measures and Expected Returns

Number of pages: 51 Posted: 11 Apr 2011 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Fousseni Chabi-Yo
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and University of Massachusetts Amherst - Isenberg School of Management
Downloads 692 (33,716)
Citation 1

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Riskiness, economic index of riskiness, operational measure of riskiness, risk-neutral measures, stock returns

37.

Estimating the Intertemporal Capital Asset Pricing Model with Cross-Sectional Consistency

Number of pages: 56 Posted: 16 Mar 2005
Turan G. Bali and Liuren Wu
Georgetown University - Robert Emmett McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 688 (34,007)
Citation 1

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ICAPM, risk-return tradeoff, risk aversion, intertemporal hedging demand, conditional covariance

38.

Common Risk Factors in the Cross-Section of Corporate Bond Returns

Journal of Financial Economics, Forthcoming, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 75 Posted: 03 Oct 2016 Last Revised: 12 Feb 2018
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business and Georgetown University - Department of Finance
Downloads 682 (34,439)

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corporate bond, risk factors, downside risk, credit risk, liquidity risk

39.

A Model-Independent Measure of Aggregate Idiosyncratic Risk

Number of pages: 48 Posted: 16 Mar 2005 Last Revised: 27 Feb 2012
Turan G. Bali, Nusret Cakici and Haim Levy
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 670 (35,266)
Citation 4

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idiosyncratic risk, total risk, average stock risk, stock market volatility, stock returns

40.

Nonlinear Mean-Reversion in Stock Prices

Journal of Banking and Finance, Vol. 32, No. 5, pp. 767-782, 2008
Number of pages: 33 Posted: 01 Aug 2009 Last Revised: 27 Feb 2012
Turan G. Bali, K. Ozgur Demirtas and Haim Levy
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 669 (35,346)
Citation 7

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mean reversion, extreme returns, time-varying risk aversion, stock market returns, market efficiency

41.

Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns?

Georgetown McDonough School of Business Research Paper No. 2548562
Number of pages: 75 Posted: 14 Jan 2015 Last Revised: 11 Nov 2016
Jennie Bai, Turan G. Bali and Quan Wen
Georgetown University - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business and Georgetown University - Department of Finance
Downloads 625 (38,669)

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Corporate Bond Returns, Volatility, Skewness, Kurtosis, Return Predictability, Risk Factors

42.

A Comprehensive Analysis of the Short-Term Interest Rate Dynamics

Number of pages: 33 Posted: 15 Apr 2005
Turan G. Bali and Liuren Wu
Georgetown University - Robert Emmett McDonough School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 623 (38,839)
Citation 9

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Short-term interest rates, nonlinearity, drift, diffusion, jumps, GARCH, stochastic volatility

43.

Corporate Financing Activities and Contrarian Investment

Review of Finance, Vol. 14, No. 3, pp. 543-584, 2010, Georgetown McDonough School of Business Research Paper
Number of pages: 45 Posted: 18 Jul 2009 Last Revised: 19 Apr 2013
Turan G. Bali, K. Ozgur Demirtas and Armen Hovakimian
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Baruch College - Zicklin School of Business
Downloads 618 (39,242)
Citation 5

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Do Hedge Funds Outperform Stocks and Bonds?

Number of pages: 44 Posted: 10 May 2012 Last Revised: 20 Dec 2012
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 322 (86,593)

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Hedge Funds, Stocks, Bonds, Almost Stochastic Dominance, and MPPM

Do Hedge Funds Outperform Stocks and Bonds?

Number of pages: 34 Posted: 07 May 2012 Last Revised: 20 Dec 2012
Turan G. Bali, Stephen J. Brown and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business, New York University - Stern School of Business and Sabanci University Graduate School of Management
Downloads 290 (97,327)

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Hedge Funds, Stocks, Bonds, Almost Stochastic Dominance, MPPM

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Number of pages: 54 Posted: 09 Oct 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 183 (154,365)

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tail risk, downside risk, under-diversification, expected stock returns

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Georgetown McDonough School of Business Research Paper No. 1993287
Number of pages: 54 Posted: 30 Jan 2012 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 81 (287,287)

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tail risk, downside risk, under-diversification, expected stock returns

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. FIN-11-007
Number of pages: 54 Posted: 15 Oct 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 79 (291,708)

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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. FIN-11-007
Number of pages: 54 Posted: 06 Nov 2011 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 67 (320,757)

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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

Number of pages: 54 Posted: 15 Mar 2012 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 67 (320,757)

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tail risk, downside risk, under-diversification, expected stock returns

Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NYU Working Paper No. 2451/31271, Georgetown McDonough School of Business Research Paper
Number of pages: 54 Posted: 10 Sep 2013 Last Revised: 06 Aug 2014
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 50 (371,416)

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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?

NBER Working Paper No. w19460
Number of pages: 47 Posted: 20 Sep 2013
Turan G. Bali, Nusret Cakici and Robert Whitelaw
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University
Downloads 12 (557,493)

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46.

Long-Term Contrarian Strategies in the Corporate Bond Market

Number of pages: 64 Posted: 03 Jun 2017 Last Revised: 06 Nov 2018
Turan G. Bali, Avanidhar Subrahmanyam and Quan Wen
Georgetown University - Robert Emmett McDonough School of Business, University of California, Los Angeles (UCLA) - Finance Area and Georgetown University - Department of Finance
Downloads 402 (67,493)

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Corporate bonds, long-term reversal

47.

Seemingly Unrelated Stock Market Anomalies: Profitability, Distress, Lotteryness and Volatility

Number of pages: 94 Posted: 27 May 2017 Last Revised: 18 Oct 2018
Georgetown University - Robert Emmett McDonough School of Business, ESADE Business School, Cyprus University of Technology and University of Cyprus - Department of Public and Business Administration
Downloads 378 (72,505)

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Stock Market Anomalies, Stock Returns, Growth Options, Profitability, Lotteryness, Distress, Idiosyncratic Volatility, Idiosyncratic Skewness

48.

Unusual News Flow and the Cross-Section of Stock Returns

Georgetown McDonough School of Business Research Paper No. 2820320, Gabelli School of Business, Fordham University Research Paper No. 2820320
Number of pages: 56 Posted: 12 Aug 2016 Last Revised: 15 Nov 2016
Turan G. Bali, Andriy Bodnaruk, Anna Scherbina and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, University of Illinois at Chicago, Brandeis University and Fordham University - Gabelli School of Business
Downloads 378 (72,505)
Citation 5

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Unusual News Flow, Volatility Shocks, Short Sale Constraints, Market Efficiency

49.

Peer Pressure: Industry Group Impacts on Stock Valuation Precision and Contrarian Strategy Performance

Journal of Portfolio Management, Vol. 32, No. 3, pp. 80-92, 2006
Number of pages: 28 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management, Baruch College - Zicklin School of Business and College of William and Mary - Mason School of Business
Downloads 375 (73,183)

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A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium

Fisher College of Business Working Paper No. 2012-03-009, Charles A. Dice Center Working Paper No. 2012-9
Number of pages: 61 Posted: 10 May 2012 Last Revised: 06 Sep 2013
Turan G. Bali, Nusret Cakici and Fousseni Chabi-Yo
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and University of Massachusetts Amherst - Isenberg School of Management
Downloads 184 (153,591)
Citation 1

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Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity premium

A New Approach to Measuring Riskiness in the Equity Market: Implications for the Risk Premium

Number of pages: 58 Posted: 12 Apr 2012 Last Revised: 01 May 2013
Turan G. Bali, Nusret Cakici and Fousseni Chabi-Yo
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and University of Massachusetts Amherst - Isenberg School of Management
Downloads 162 (172,142)
Citation 1

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Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity

51.

Downside Beta and Equity Returns around the World

The Journal of Portfolio Management, Vol. 44, No. 7
Number of pages: 54 Posted: 23 Jun 2016 Last Revised: 16 Aug 2018
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Sabanci University
Downloads 318 (88,399)

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Downside Risk, Downside Beta, Equity Returns, Asset Pricing, International Finance

52.

The Intertemporal Relation between Expected Return and Risk on Currency

Number of pages: 37 Posted: 13 Mar 2009 Last Revised: 27 Feb 2012
Turan G. Bali and Kamil Yilmaz
Georgetown University - Robert Emmett McDonough School of Business and Koc University
Downloads 318 (88,399)
Citation 29

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foreign exchange market, ICAPM, high-frequency data, time-varying risk aversion

53.

Economic Uncertainty Premium in the Corporate Bond Market

Number of pages: 69 Posted: 01 Jun 2017 Last Revised: 14 Nov 2018
Turan G. Bali, Avanidhar Subrahmanyam and Quan Wen
Georgetown University - Robert Emmett McDonough School of Business, University of California, Los Angeles (UCLA) - Finance Area and Georgetown University - Department of Finance
Downloads 312 (90,609)

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Economic uncertainty, risk premia, corporate bond returns

54.

Upside Potential of Hedge Funds as a Predictor of Future Performance

Georgetown McDonough School of Business Research Paper No. 2661752
Number of pages: 80 Posted: 18 Sep 2015 Last Revised: 08 Nov 2018
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business and Florida International University
Downloads 309 (91,233)

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hedge funds; upside potential; return predictability

55.

Systematic and Idiosyncratic Risk in the Cross-Section of Price Target Expected Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 49 Posted: 14 Nov 2012 Last Revised: 04 Jun 2013
Turan G. Bali and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business and Georgia State University
Downloads 293 (96,761)

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Expected Stock Returns, Price Targets, Systematic Risk, Idiosyncratic Risk, Co-Skewness

56.

Anticipated Regret in Financial Decision Making Under Volatility Uncertainty

Georgetown McDonough School of Business Research Paper No. 3195191
Number of pages: 69 Posted: 19 Jun 2018 Last Revised: 26 Jul 2018
Yakup Eser Arısoy and Turan G. Bali
NEOMA Business School and Georgetown University - Robert Emmett McDonough School of Business
Downloads 287 (98,952)

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regret theory, uncertainty, aggregate volatility, cross-section of stock returns

57.

Small Sample Bias in Panel Data

Finance Letters, 2007, 5(2), 17-21
Number of pages: 9 Posted: 18 Jul 2009 Last Revised: 12 Dec 2012
Turan G. Bali and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 261 (109,304)

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58.

Investigating ICAPM in International Futures Markets

Review of Futures Markets, 2011, 19(3), 195-216
Number of pages: 18 Posted: 15 Jul 2009 Last Revised: 12 Dec 2012
Turan G. Bali, K. Ozgur Demirtas and Kishore Tandon
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and CUNY Baruch College - Zicklin School of Business
Downloads 243 (117,759)

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stock index futures, international futures markets, risk-return tradeoff, GARCH-in-mean.

59.

Predictability of Risk Measures in International Stock Markets

Stock Market Volatility, pp. 313-322, March 2009
Number of pages: 15 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Turan G. Bali and K. Ozgur Demirtas
Georgetown University - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 237 (120,742)

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60.

World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets

Number of pages: 46 Posted: 15 Oct 2009
Turan G. Bali and Nusret Cakici
Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 222 (128,817)
Citation 5

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international equity returns, country-specific risk, idiosyncratic risk, systematic risk

61.

Analyst Price Target Expected Returns and Option Implied Risk

Georgetown McDonough School of Business Research Paper No. 2516937
Number of pages: 71 Posted: 01 Nov 2014 Last Revised: 07 Jan 2015
Turan G. Bali, Jianfeng Hu and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 207 (137,685)

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Risk-Neutral Moments, Option-Implied Risk, Ex-Ante Expected Stock Returns, Price Targets

62.

Inferring Aggregate Market Expectations from the Cross-Section of Stock Prices

Number of pages: 49 Posted: 25 Jul 2017 Last Revised: 14 Nov 2018
Turan G. Bali, Craig Nichols and David Weinbaum
Georgetown University - Robert Emmett McDonough School of Business, Syracuse University and Syracuse University
Downloads 184 (153,632)

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equity premium; future earnings response coefficients; valuation models

63.

The Risk-Neutral Distribution of Option Returns

Georgetown McDonough School of Business Research Paper No. 2902209
Number of pages: 59 Posted: 22 Jan 2017 Last Revised: 26 Feb 2017
Georgetown University - Robert Emmett McDonough School of Business, Fordham University, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 128 (208,394)

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Risk-Neutral Distribution, Option Returns

64.

Order Integration and the Dynamic Behavior of Security Prices

Number of pages: 47 Posted: 12 Mar 2014 Last Revised: 18 Mar 2016
Georgetown University - Robert Emmett McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College - CUNY and TraderEx LLC
Downloads 119 (220,147)

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stock return distribution, tail thickness, excess kurtosis, mixture of distributions, time-varying volatility

65.

Preference for Positive Skewness and Expected Stock Returns

Number of pages: 36 Posted: 20 Mar 2007
Turan G. Bali and Nusret Cakici
Georgetown University - Robert Emmett McDonough School of Business and Fordham University
Downloads 58 (340,876)

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skewness preference, idiosyncratic skewness, systematic skewness, expected stock returns

66.

Asymmetric Crime Cycles

NBER Working Paper No. w11210
Number of pages: 42 Posted: 26 Apr 2005 Last Revised: 27 Feb 2012
Turan G. Bali and Naci H. Mocan
Georgetown University - Robert Emmett McDonough School of Business and Louisiana State University, Baton Rouge - Department of Economics
Downloads 44 (385,029)
Citation 7

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67.

Betting Against Beta or Demand for Lottery

Number of pages: 79 Posted: 17 Aug 2014
Turan G. Bali, Stephen Brown, Scott Murray and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 15 (518,803)

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Beta, Betting Against Beta, Lottery Demand, Stock Returns, Funding Liquidity

68.

Risk Measurement Performance of Alternative Distribution Functions

Journal of Risk & Insurance, Vol. 75, Issue 2, pp. 411-437, June 2008
Number of pages: 27 Posted: 08 May 2008
Turan G. Bali and Panayiotis Theodossiou
Georgetown University - Robert Emmett McDonough School of Business and Cyprus University of Technology
Downloads 3 (585,964)
Citation 8
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69.

Aggregate Idiosyncratic Risk and Market Returns

Journal of Investment Management, Vol. 4, No. 4, Fourth Quarter 2006
Posted: 29 Nov 2006
Turan G. Bali and Nusret Cakici
Georgetown University - Robert Emmett McDonough School of Business and Fordham University

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Idiosyncratic Risk, total risk, average stock risk, stock market volatility, stock returns

70.

Value at Risk and Expected Stock Returns

Financial Analysts Journal, Vol. 60, No. 2, pp. 57-73, March/April 2004
Posted: 07 May 2004
Turan G. Bali and Nusret Cakici
Georgetown University - Robert Emmett McDonough School of Business and Fordham University

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Equity Investments: Fundamental Analysis and Valuation Models; Portfolio Management: Equity Strategies; Risk Measurement and Management: Equity Portfolios

71.

An Empirical Comparison of Continuous Time Models of the Short Term Interest Rate

Journal of Futures Market, Vol. 19, pp. 777-798, October 1999
Posted: 26 Apr 2001
Turan G. Bali
Georgetown University - Robert Emmett McDonough School of Business

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72.

Modeling the Conditional Mean and Variance of the Short Rate Using Diffusion, GARCH and Moving Average Models

Journal of Futures Market, September 2000
Posted: 26 Apr 2001
Turan G. Bali
Georgetown University - Robert Emmett McDonough School of Business

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73.

Estimating the Term Structure of Interest Rate Volatility in Extreme Values

Journal of Fixed Income, March 2001
Posted: 23 Mar 2001
Turan G. Bali and Salih N. Neftci
Georgetown University - Robert Emmett McDonough School of Business and CUNY Baruch College

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Volatility, extremes, term structure of interest rates

74.

Pricing Eurodollar Futures Options Using the Bdt Term Structure Model: The Effect of Yield Curve Smoothing

Journal of Futures Markets, Vol. 20, pp. 293-306, March 2000
Posted: 10 Feb 2001
Turan G. Bali and Ahmet K Karagozoglu
Georgetown University - Robert Emmett McDonough School of Business and Hofstra University, Zarb School of Business

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75.

Implementation of the Bdt Model with Different Volatility Estimators: Applications to Eurodollar Futures Options

Journal of Fixed Income, Vol. 8, pp. 24-34, March 1999
Posted: 23 Sep 2000
Turan G. Bali and Ahmet K Karagozoglu
Georgetown University - Robert Emmett McDonough School of Business and Hofstra University, Zarb School of Business

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76.

Testing the Empirical Performance of Stochastic Volatility Models of the Short Term Interest Rate

Journal of Financial and Quantitative Analysis, Vol. 35, No. 2, June 2000
Posted: 10 Jul 2000
Turan G. Bali
Georgetown University - Robert Emmett McDonough School of Business

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