Turan G. Bali
Associate Professor of Economics and Finance
BA Bogazici University, Turkey Economics 1995 MPhil CUNY Graduate Center Financial Economics 1998 PhD CUNY Graduate Center Financial Economics 1998
Areas of Expertise:
Financial Risk Management, Pricing Interest Rate Derivatives, Optimal Portfolio Selection, Asset Pricing, Extreme Value Theory, GARCH and Stochastic Volatility Models
A Conditional-SGT-VaR Approach with Alternative GARCH Models, Annals of Operations Research, forthcoming (with Panayiotis Theodossiou)
Does Idiosyncratic Risk Really Matter? Journal of Finance, forthcoming (with Nusret Cakici, Xuemin Yan, and Zhe Zhang)
Value at Risk and Expected Stock Returns, Financial Analysts Journal, March 2004, 60(2), 57-73 (with Nusret Cakici).
Disturbing Extremal Behavior of Spot Rate Dynamics, Journal of Empirical Finance, September 2003, 10(4), 455-477 (with Salih N. Neftci).
The Generalized Extreme Value Distribution, Economics Letters, June 2003, 79(3), 423-427.
Modeling the Stochastic Behavior of Short Term Interest Rates: Pricing Implications for Discount Bonds, Journal of Banking and Finance, February 2003, 27(2), 201-228.
An Extreme Value Approach to Estimating Volatility and Value at Risk Journal of Business, January 2003, 76(1), 83-108.
Testing the Empirical Performance of Stochastic Volatility Models of the Short Term Interest Rate, Journal of Financial and Quantitative Analysis, June 2000, 35(2), 191-215.
American Economic Association, Asymmetric Crime Cycles, January 2005.
Financial Management Association, Cyclicality in Catastrophic and Operational Risk Measurements, October 2004.
Financial Management Association, Optimal Portfolio Selection: Mean-variance versus mean-VaR, October 2004.
Financial Management Association, Does Hedging with Derivatives Reduce the Market Risk Exposure?, October 2004.
European Finance Association, Aggregate Earnings, Firm Level Earnings and Expected Stock Returns, August 2004.
Reviewer for the Annals of Operations Research, Economic Inquiry, Journal of Applied Econometrics, Journal of Banking and Finance, Journal of Business, Journal of Business and Economic Statistics, Journal of Economics and Finance, Journal of Empirical Finance, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Research, Journal of Financial Services Research, Journal of Futures Markets, Multinational Finance Journal, and Review of Quantitative Finance and Accounting.