Browsing International Finance by Author "Çağlayan, Mustafa Onur"
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Development and calibration of a currency trading strategy using global optimization
Çağlayan, Mustafa Onur; Pinter, Janos D. (Springer Science+Business Media, 2013-06)We have developed a new financial indicator—called the Interest Rate Differentials Adjusted for Volatility (IRDAV) measure—to assist investors in currency markets. On a monthly basis, we rank currency pairs according to ... -
Macroeconomic risk and hedge fund returns
Bali, T. G.; Brown, S. J.; Çağlayan, Mustafa Onur (Elsevier, 2014-10)This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are interpreted as measures of economic uncertainty. We find that the resulting uncertainty betas explain a ... -
Systematic risk and the cross section of hedge fund returns
Bali, T. G.; Brown, S. J.; Çağlayan, Mustafa Onur (Elsevier, 2012-10)This paper investigates the extent to which market risk, residual risk, and tail risk explain the cross-sectional dispersion in hedge fund returns. The paper introduces a comprehensive measure of systematic risk (SR) for ...
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