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Three essays on the behavior of equity market returns
(2016-12)
The first chapter of this thesis analyzes return comovements phenomena known as correlation asymmetry. The phenomena has its two manifests: asymmetric correlations, referring to stock return correlations being higher during ...
The dynamics of asset swap spread in Turkey
(2018-05)
In response to the financial crisis, investors have been increasingly sensitive to the evolution of swap spreads, as a rising proportion of their portfolio is constituted by emerging markets debt instruments. I provide two ...
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