Burak Saltoglu
Professor of Economics, Department of Economics, Boğaziçi University, Turkey
Employment History
Professor of Economics Bogazici University 2007-
Professor of Economics, Marmara University 2004-2006
Associate Prof. Marmara University, 1998- 2004
Assistant Prof. Marmara University, 1997-1998
Education
Phd: University of Essex, 1996, Colchester, UK.
Dissertation Title: Selected Topics on Discrete and Continuous Time Financial Econometrics,
Academic Advisor: Professor Marcus Chambers
MA: University of Guelph, 1990,Ontario, Canada
BS: M.E.T.U, Ankara, 1988
Research Interests
- Financial Econometrics, Quantitative Finance
- Particular interests: Financial Risk Management (Market, Credit, Operational Risk and Asset Liability Management Aspects),
- Analysis of High Frequency Financial Time Series and Market Microstructure Analysis,
- Continuous Time Econometrics and Finance, Derivative Pricing.
International Publications
A Test for Density Forecast Comparison 2007, (with Yong Bao and Tae Hwy Lee and) forthcoming, Journal of Forecasting
Evaluating VaR Models in Emerging Markets:A Reality Check, (with Bao Yong and Tae Hwy Lee), 2006, Journal of Forecasting, 25,2 , 101-128
Forecasting Japanese Interest Rates, forthcoming 2006, Forecasting Letters, (with Ben Nowman), “An Empirical Comparison of Interest Rates Using A Interest Rate Model and Nonparametric Methods” (2003), (with Ben Nowman), Applied Economic Letters, 10-15, 647-651.
“Comparing Continuous Time and Nonparametric Modelling in US Interest Rate Models” (2003), International Review of Financial Analysis, 12, 25-34 (with Ben Nowman)
“Comparing Forecasting Ability of Parametric and Non-parametric Methods: An Application with Monthly Canadian Interest Rates” (2003), Applied Financial Economics, 13, 3, 169-176.
Assessing the Risk Forecats For Japanese Stock Market (2002), Japan and the World Economy,14, 63–85, (with Tae Hwy Lee).
Intraday Volatility Modeling of Stock Returns: An Evidence from an Emerging Market (2002), International Journal of Business and Economics, 1, 1, 17-24. (with Burç Kayacan and Thanasis Stengos)
"Estimation of Continuous Time Portfolio Selection Model: An Application with UK Data"(2000), Empirical Economics, 25,93-109.
Speed of Adjustment Towards Equilibrium An Application with US Stock Price and Dividends (1998), Applied Financial Economics, 8, 4, 367-377.
Book review
Emerging Markets in Financial Crisis: Capital Flows, Savings, Debt and Banking Reform, World Economy, 2006.
Memberships
Econometric Society
American Statistical Association
American Finance Association
Awards
Turkish Academy of Science, International Publication Support Award (1998, 1999, 2006)
Marmara University Research Foundation, International Publication Support Award (2000, 2002, 2003,2004)
Turkish Academy of Science, Travel Grant (2001).
