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Browsing Ph.D. Theses by Author "Karahan, Cenk C."

Browsing Ph.D. Theses by Author "Karahan, Cenk C."

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  • Ambiguity, high-frequency data, and asset prices 
    Cevheroğlu, Merve Gizem. (Thesis (Ph.D.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2022., 2022.)
    Many theoretical studies have long argued that ambiguity is associated with stock price, but only a limited number of studies can provide empirical evidence about the form and magnitude of the hypothesized relationship. ...
  • Autoregressive conditional duration and liquidity 
    Baran, Ümit Altay. (Thesis (Ph.D.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2022., 2022.)
    This thesis provides an in-depth Autoregressive Conditional Duration (ACD) application and examines the relationship between the consecutive transaction, price, and volume durations in Borsa Istanbul (BIST) stock exchange ...
  • Decomposition of risk premia in equity markets through time 
    Candemir, Işıl. (Thesis (Ph.D.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2022., 2022.)
    This thesis contains the documentation of the time varying risk premia for Turkish equity market denominated in local currency, using two sophisticated asset pricing methods. In the first part, we choose a dynamic panel ...
  • Essays on market microstructure :|market transparency, liquidity, and price discovery 
    Çağlayan Gümüş, Ayşe. (Thesis (Ph.D.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2021., 2021.)
    This thesis consists of two different studies on market microstructure, specifically on liquidity, transparency, and informativeness of the order book as measured with its contribution to the price discovery process. In ...
  • Evolution of efficiency in electricity markets 
    Tiryaki, Cuma Sani. (Thesis (Ph.D.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2022., 2022.)
    This study aimed to analyse the change in efficiency in spot and future electricity markets in selected European countries through the measured period considering the market couplings. We have analysed ten different ...
  • Intraday correlation dynamics in Borsa Istanbul using score-driven Kalman filtering 
    Bahcivan, Hulusi. (Thesis (Ph.D.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2021., 2021.)
    Studies on intraday conditional correlation dynamics is limited and existing literature mostly depends on classical methodologies that are prone to errors due to unaddressed issues like non-synchronous trading and market ...

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