Browsing by Author "Baronyan, S."
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Investigation of stochastic pairs trading strategies under different volatility regimes
Baronyan, S.; Boduroğlu, İ. İ.; Şener, Emrah (Blackwell, 2010-09)We investigate several market-neutral trading strategies and find empirical evidence that market-neutral equity trading outperforms in 2008, the first full year of the global financial meltdown. In our experiments we use ... -
Predictability of emerging market local currency bond risk premia
Akgiray, V.; Baronyan, S.; Şener, Emrah; Yıldız, Osman (Taylor & Francis, 2015)This article investigates the source of predictability of emerging market (EM) local currency bond risk premia by using a dynamic factor approach based on a large panel of economic and financial time series. We find strong ...
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