Burak SALTOGLU
Date of Birth November 1966.
Title: Professor of Economics,
Contact information: Dept. of Economics, Boğaziçi University, Bebek, İstanbul, Turkey.
tel: +90 212 3368487, fax:
email: burak.saltoglu@boun.edu.tr
personal homepage: http://www.econ.boun.edu.tr/saltoglu
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
International Publications (SSCI and JEL)
A Test for Density Forecast Comparison 2007, (with Yong Bao and Tae Hwy Lee and)
, Journal of Forecasting, vol. 26(3), pages 203-225.
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 2007, 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.
Emerging Markets in Financial Crisis: Capital Flows, Savings, Debt and Banking Reform,Volume: 29 Issue: 9 Pages: 1295-1296, World Economy, 2006. (Book review)
Working papers
Burak Saltoglu & Jon Danielsson, 2003. "Anatomy of a Market Crash: A Market Microstructure Analysis of the Turkish Overnight Liquidity Crisis," FMG Discussion Papers dp456, Financial Markets Group, London School of Economics.
.
Saltoglu, Burak & Yazgan, Ege, 2009. "The role of Regime Shifts in the Term Structure of Interest Rates: Further evidence from an Emerging Market," MPRA Paper 18741, University Library of Munich, Germany (under review)
C. Emre Alper & Salih Fendoglu & Burak Saltoglu, 2009. "MIDAS Volatility Forecast Performance Under Market Stress: Evidence from Emerging and Developed Stock Markets," Working Papers 2009/04, Bogazici University, Department of Economics.
Work in Progress
Financial Crisis and Networks , 2010, (with Taylan Yenilmez)
Articles in Domestic Refereed Journals
I have 6 refereed domestic papers in various journals on Business Cycles, Time Series and
some policy issues.
Books and Funded Projects (in Turkish)
Volatility of ISE Returns within the Context of Macroeconomic Fundamentals, (1998), IMKB
Publications, (with Hurşit Günes)
A Time Series Investigation of Capital Movements, ITO Publications, (with Taner Berksoy)
Citations
150+ citations in Google Scholar
Conference Presentations
Studies in Nonlinear Dynamics and Econometrics, 2010, Italy
Midwest Finance Association, Annual Meeting, Las Vegas, 2010
Western Finance Association Annual Meeting, 2010, Las Vegas, USA,
Society for Nonlinear Dynamics and Econometrics, 2010, Italy.
EC2, Econometrics of Financial and Insurance Risks, 2005, Istanbul, Turkey
European Finance Association Annual Meeting, 2003, Glasgow, Scotland.
Forecasting Financial Markets, 2002, London, UK.
Asia Pacific Finance Meeting, 2002, Tokyo, Japan.
Econometric Society, North American Summer Meeting, 2001, Maryland,USA.
Econometric Society, Far Eastern Meeting, 2001, Kobe, Japan.
Institute for Forecasting Annual Meeting, 2000, Lisbon, Portugal.
Industrial Engineering and Operation Research Conference,1999, Ankara, Turkey.
METU, ERC,1999, 2000, 2003, Ankara Turkey
Statistics and Econometrics Conference, 1999, Antalya, Turkey.
Institute for Forecasting Annual Meeting, 1996, Istanbul, Turkey.
Econometric Society European Meeting, 1994, Maastricht, Netherlands,
Lausenne Switzerland, 2001 and Venice Italy 2002,
European Economic Assocation (Summer School on Real Effects on Financial
Economics), 1993, Helsinki, Finland
Royal Economic Society Annual Meeting, 1992,York, UK.
Invited Talks
Essex Universiy, Colchester, UK, 1995.
Bogaziçi University, Istanbul, Turkey, 1996.
Bilkent University, Ankara, Turkey, 2000.
Undersecretariat of Treasury, Ankara, Turkey, 2000.
University of Guelph, Canada, 2000.
University of California, Riverside, 2000.
Athens University of Economics and Business, 2001.
University Carlos III de Madrid, Department of Econometrics and Statistics, 2001.
Koç University, Department of Finance, 2001.
Yeditepe University, 2002, Istanbul
Bogaziçi University, (Department of Financial Engineering), Istanbul, Turkey, 2002.
CORE, 2002, Belgium.
University of Namur Belgium., 2003
Bogaziçi Univesity, 2003.
BDDK, 2004.
METU (Math Finance), 2004
Bank for International Settlements (BIS), BASEL Switzerland, 2005.
CORE, Belgium. 2005
ITÜ, İstanbul. 2006.
Central Bank of Turkey, 2006
BDDK, 2008 invited talk on Financial Crisis and Regulation.
Turkish Banking Association, 2009.
Teaching Experience
Undergraduate:
Econometrics
Graduate: (present)
Risk Management (Bogazici ), Financial Econometrics, Derivative
Markets, Topics on Empirical Finance (PhD).
Some Professional and Executive Seminars
Turkish Bankers’ Association, 2000-.
Undersecretariat of Treasury,1999,
Ministry of Defence of Turkey
Some in-house trainings on Derivative Pricing, ALM, Credit Risk, Operational Risk, Fixed
Income
given at many institutions including,
AKBANK, Ak Portfoy, BDDK, BNP-TEB, Garantibank, HSBC, Reuters, Vakifbank ,YKB
Media Appearance:
Ad Hoc Commentator on Economics and Finance: CNBC, TRT2, Haberturk, Bloomberg HT, CNBC Europe, etc.
Financial Consultancy
Tekstilbank (www.tekstilbank.com.tr), 2001-2003. (Market Risk)
TEB, 2002-2003. (http://www.teb.com.tr/) (Market Risk)
TEB-BNP 2005- ALM and Balance Sheet Risk Modeling.
Yapı Kredi Bank (http://www.ykb.com/), 2003-2004 (Asset and Liability Management and
Market Risk)
Akbank, (www.akbank.com.tr), 2003-2004 (Credit Risk)
Akbank, 2004-2005 (Market Risk)
Akbank, 2006- (ALM and Liquidity Risk)
Ak Asset Management , 2007-2010,
HSBC Asset Management, 2008-2010.
Riskturk 2001- (http://www.riskturk.com/)
BDDK, 2006-2009.
Undersecretariat of Treasury, 2007-2010
Refereed for
Journal of Business and Economic Statistics (2)
Japan and the World Economy
Computational Statistics and Data Analysis
International Journal of Economics and Business
Energy Economics
International Review of Financial Economics
Emerging Market Finance and Trade (2)
Turkish Bankers’ Association
Turkish Insurance Association
Central Bank Review
Dogus University Journal
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.
Other
Assistant Chair, Marmara University,1998-2000
Coordinator, Financial Markets Seminar, 1997-1999, Executive Seminars organized by
Marmara University Research Foundation.
Nonparametric and Nonlinear Financial Models, Organizer, A seminar sponsored by Turkish
Bankers’ Association. 1998.
Nonparametric Forecasting of Exchange Rates, Moderator, a seminar organised by the
Turkish Bankers' Associaton, 2000.
Conference Organization
EC^2, Econometrics of Financial and Insurance Risks, 2005, Istanbul (Local Organizer)
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).
Some of my Former MA Students
1. Bedii Çelik, A Two Stage Approach For Credit Risk Management (Yeditepe
University), 1999.
2. Murat Gencer Nonparametric Methods of Option Pricing, (Marmara University),1999.
Treasury Department, Phillip Morris.
3. Kurtuluş Cem Arısoy Modeling Liquidty Risk, (Yeditepe University), 2003.
4. Kıvanç Eren, Interest Rate Risk and Asset Liability Management, (Yeditepe
University), 2003 (now at Fortis)
5. Mehmet Murat Asri, The Use of Derivative Products in Turkey (Yeditepe University),
2003.
6. Ercan Zorlu, Stock Market Volatility on ISE returns (Yeditepe University), 2003
7. Levent Bulut, Technical Trading Rules an Application on ISE, (Marmara University),
2002, PhD Student in University of Houston.
Referees
(available upon request