Dr.Çifter is an Assistant Professor of Econometrics at the Faculty of Economics and
Administrative Sciences, Istanbul Kemerburgaz University. Dr.Çifter received his PhD in
Econometrics from Marmara University, MBA in Financial Markets from Marmara University
and BA in Economics(English) from Dokuz Eylul University. Dr.Çifter’s research is
published in various international journals including Physica A: Statistical Mechanics
and Applications, Economic Modelling, Journal of Risk Finance, and International Review
of Electrical Engineering. His research interests include macroeconomics, applied
macroeconometrics, and time series analysis. 

Articles

Value-at-Risk Estimation with Wavelet-Based Extreme Value Theory: Evidence from Emerging Markets, Physica A (2011)

This paper introduces wavelet-based extreme value theory (EVT) for univariate value-at-risk estimation. Wavelets and EVT...

 

Link

Filtered extreme-value theory for value-at-risk estimation: evidence from Turkey, The Journal of Risk Finance (2010)

Purpose – The purpose of this paper is to use filtered extreme-value theory (EVT) model...

 

Link

Analysis of sectoral credit default cycle dependency with wavelet networks: Evidence from Turkey, Economic Modelling (2009)

In this paper, we investigate the relationship between industrial production and sectoral credit defaults (non-performing...

 

PDF

Estimating the Effects of Interest Rates on Share Prices in Turkey Using a Multi-Scale Causality Test (with Alper Ozun), Review of Middle East Economics and Finance (2008)

This paper examines the impact of changes in interest rates on stock returns in Turkey...

 

PDF

A Signal Processing Model for Time Series Analysis: The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks, International Review of Electrical Engineering (2008)

This paper proposes a powerful methodology wavelet networks to investigate the effects of international F/X...