This paper provides evidence for scaling laws in emerging stock markets. Estimated parameters using different definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to 240 business days (almost 1 year). The scaling...

We examine the dynamics of extreme values of overnight borrowing rates in an inter-bank money market before a financial crisis during which overnight borrowing rates rocketed up to (simple annual) 4000 percent. It is shown that the generalized Pareto distribution fits well to the extreme values...

Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...

This paper evaluates the developments in the Turkish economy in light of the Central Bank's policies during a recent period of floating exchange rate system. It is found that the Central Bank was effective in containing volatility and reducing the average inflation rate while there was a strong...

Following a dramatic collapse of a fixed exchange rate based inflation stabilization program, Turkey moved into a free floating exchange rate system in February 2001. In this paper, an asymmetric stochastic volatility model of the foreign exchange rate in Turkey is estimated for the floating...

This paper provides new empirical evidence for currency substitution in different emerging market economies. Estimation results from a money-in-the-utility-function framework indicate that foreign currencies are strong substitutes for domestic currency in producing liquidity services

In this paper we provide a brief account of the Turkish economy during the last twenty years. After the implementation of a structural change and reform program in 1980, the economy experienced a relatively high growth rate of the Gross Domestic Product, a healthy balance of payments situation...

In this paper we provide a brief account of the Turkish economy during the last twenty years. After the implementation of a structural change and reform program in 1980, the economy experienced a relatively high growth rate of the Gross Domestic Product, a healthy balance of payments situation...

This article examines the implications of the existence of private information in the spot foreign exchange market. Our framework is a high-frequency version of a structural microstructure trade model that measures the market maker's beliefs directly. We find that the underpinnings for the...