Browsing OzU Theses & Dissertations by Author "Ahi, Emrah"
Now showing items 1-8 of 8
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A analysis of the low-volatility anomaly on the Borsa Istanbul
Yaman, Erkin Levent (2021-06-04)In financial markets, obtaining high returns against high systematic risk is basically the expected situation. It is regarded as a financial anomaly that high-risk stocks yield lower returns than low-risk stocks. This ... -
Determinants of liquidity adequacy ratio: An empirical study on Turkish banks
Liquidity and liquidity risk is a phenomenon that has important consequences in the management of banks. In addition, liquidity risk has an important role in banking crises. With the new regulations created, liquidity ... -
FX markets co-movement dynamics and global factors: Evidence from emerging markets
Emerging markets are particularly different from developed markets as they possess vulnerability, easily disturbed by financial crises, and not completely liberalized. Some global shocks such as Covid-19 and 2018 global ... -
How do participation banks differ from conventional banks? A comparative analysis of their financial statements and resilience to macroeconomic changes
Özyürür, Muhammed Said (2021-06-02)This study investigates differentiations between conventional and participation banks and provides comparative analysis of their financial statements and resilience to macroeconomic changes. I examine largest commercial ... -
Modelling prepayment in mortgages with a bank exercise
Home loans are one of the longest-term products in the Banking sector and are exposed to multiple macroeconomic cycles throughout their maturity. Each home loan contract includes the right of the loan to pay at any time ... -
Return prediction in turkish stock market via machine learning
In this study I compare machine learning methods for predicting the stock returns of individual Turkish stocks listed in the Istanbul Stock Exchange (Borsa Istanbul). As the main machine learning model I use the Instrumented ... -
Robust estimation of term structure and implied volatility in emerging markets
Ahi, Emrah (2016-07)Despite powerful advances in interest rate curve modeling for data-rich countries in the last 30 years, comparatively little attention has been paid to the key practicalproblem of estimation of the term structure of interest ... -
Valuation of fixed income securities and estimation of term structure on international bond market using machine learning techniques
In this study, I focus on predicting bond risk premia in Turkish Eurobonds market using machine learning methods. Machine learning uses statistical learning techniques to gather useful structures of a data set without being ...
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