Browsing Faculty of Business 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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