Are economic time series asymmetric over the business cycle?

SN Neftci - Journal of political economy, 1984 - journals.uchicago.edu
It has long been argued that major cyclical variables such as the unemployment rate display
an asymmetric behavior over various phases of the business cycle. The paper provides a …

[BOOK][B] An introduction to the mathematics of financial derivatives

A Hirsa, SN Neftci - 2013 - books.google.com
An Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that
eases the transition between basic summaries of financial engineering to more advanced …

Naive trading rules in financial markets and wiener-kolmogorov prediction theory: A study of" technical analysis"

SN Neftci - Journal of Business, 1991 - JSTOR
This article attempts a formal study of technical analysis, which is a class of informal prediction
rules, often preferred to Wiener-Kolmogorov prediction theory by participants of financial …

Value at risk calculations, extreme events, and tail estimation

SN Neftci - Journal of Derivatives, 2000 - search.proquest.com
Value at risk has become a standard approach for estimating and expressing a firm's exposure
to market risk. Unlike the traditional risk measure, standard deviation, VaR focuses only …

[BOOK][B] Principles of financial engineering

SN Neftci - 2008 - books.google.com
… The errata for the book and other related material will be posted on the Web site www.neftci.com
and will be updated periodically. A great deal of effort went into producing this book. …

A time-series analysis of the real wages-employment relationship

SN Neftci - Journal of Political Economy, 1978 - journals.uchicago.edu
In this paper, the theory of covariance-stationary stochastic processes is used in order to
investigate the sign and the significance of the relationship between employment and real …

[BOOK][B] Next generation system-wide liquidity stress testing

MC Puhr, MA Santos, MC Schmieder, SN Neftci… - 2012 - books.google.com
A framework to run system-wide, balance sheet data-based liquidity stress tests is presented.
The liquidity framework includes three elements:(a) a module to simulate the impact of …

Disturbing extremal behavior of spot rate dynamics

TG Bali, SN Neftci - Journal of Empirical Finance, 2003 - Elsevier
This paper presents a study of extreme interest rate movements in the US federal funds
market over almost a half century of daily observations from the mid 1950s through the end of …

[PDF][PDF] FX short positions, balance sheets and financial turbulence: an interpretation of the Asian financial crisis

SN Neftci - FINANCIER-BURR RIDGE-, 2000 - Citeseer
One obvious aspect of financial crises is the violence of movements observed in prices and
valuations. This is best seen in the record exchange rate movements observed during the …

[BOOK][B] China's financial markets: an insider's guide to how the markets work

SN Neftci, MY Ménager-Xu - 2006 - books.google.com
… Professor Neftci is known for his books and articles. His … Overall, Professor Neftci’s research
and teaching is in the areas of … Professor Neftci is a consultant to various financial institutions …