Doç. Dr. Atilla Çifter



Marmara Universitesi, Istanbul 2006-2010

Ph.D., Ekonometri (Uzmanlık Alanı: Finansal Ekonometri)

 

Marmara Universitesi, Istanbul 2005-2006

MBA, Finansal Piyasalar ve Yatırım Yönetimi

 

Dokuz Eylül Üniversitesi, İzmir

B.A., İktisat (İngilizce) 1994-1999

Verdiği Eğitimler

1. Eviews ile Uygulamalı Zaman Serisi Analizi (VAKIFBANK – Ekonomik Araştırmalar Bölümü için Kurumsal Eğitim), BAUSEM Bahçeşehir Universitesi, Istanbul, Kasım 2016.

 

2. Eviews ve Oxmetrics ile Uygulamalı Ekonometri, Bahçeşehir Universitesi, BAYO, Istanbul, Mart 2015.

 

3. Winrats ve Eviews ile Uygulamalı Zaman Serisi Analizi, Bahçeşehir Universitesi, BAYO, Istanbul, Şubat 2013.

 

4. Eviews ve Oxmetrics ile Uygulamalı Ekonometri, Bahçeşehir Universitesi, BAYO, Istanbul, Şubat 2013.

Finansal Ekonometri

Risk Yönetimi

Uygulamalı Ekonometri

Uygulamalı Finans

 

INTT 276 Risk and Insurance

SCI, SCIE, SSCI Dergileri

1. Turkish Tourism, Exchange Rates, and Income (with G. Akay and O. Teke), Tourism Economics,  23(1), 60-77, 2017 (SSCI)

 

2. Bank Concentration and Non-performing Loans in Central and Eastern European Countries, Journal of Business Economics and Management, 16(1), 117-137, 2015 (SSCI)

 

3. Stock Returns, Inflation, and Real Activity in Developing Countries: A Markov-switching Dynamic Regression Approach, Panoeconomicus, 62(1), 55-76, 2015 (SSCI)

 

4. Exchange Rate Exposure at the Firm and Industry Levels: Evidence from Turkey (with G. Akay), Economic Modelling, 43, 426-434, 2014 (SSCI)

 

5. Forecasting Electricity Price Volatility with Markov-switching GARCH Models: Evidence from the Nordic Electric Power Market, Electric Power Systems Research, 102, 61-67, 2013 (SCI)

 

6. Gender Differences in Macroeconomic Expectations: Evidence from Turkey (with D.Teker), Quality & Quantity: International Journal of Methodology, 47(3), 1793-1801, 2013 (SSCI)

 

7. Volatility Forecasting with Asymmetric Normal Mixture GARCH model: Evidence from South Africa, Journal for Economic Forecasting, 15(2), 127-142, 2012 (SSCI)

 

8. Value-at-Risk Estimation with Wavelet-Based Extreme Value Theory: Evidence from Emerging Markets, Physica A: Statistical Mechanics and Its Applications, 390(12), 2356-2367, 2011 [In the List of Top 25 Hottest Articles of Physica A in 2011 full year] (SCI)

 

9. Analysis of Sectoral Credit Default Cycles with Wavelet Networks: Evidence from Turkey (with E.Cifter and S.Yilmazer), Economic Modelling, 26(6), 1382-1388, 2009 (SSCI)

 

10. A Signal Processing Model for Time Series Analysis: The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks (with A. Ozun), International Review of Electrical Engineering, 3(3), 580-591, 2008 (SCIE)

 

 

ESCI, Scopus Dergileri

1. Filtered Extreme Value Theory for Value-At-Risk Estimation (with A.Ozun and S.Yilmazer), Journal of Risk Finance, 11(2), 164-179, 2010 (ESCI, Scopus)

 

2. Wavelet Network Model for Analyzing Exchange Rate Effects on Interest Rates (with A. Ozun), 37(4), Journal of Economic Studies, 405-418, 2010 (ESCI, Scopus)

 

3. Aided-computer Evaluation of Nonlinear Combination of Financial Forecast with Genetic Algorithm (with A.Ozun), International Review on Computers and Software, 2(3), 276-284, 2007 (Scopus)

 

4. Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets (with A.Ozun), Studies in Economics and Finance, 25(1), 38-48, 2008 (ESCI, Scopus)

 

5. Portfolio Value-at-Risk with Time-Varying Copula: Evidence from Latin America (with A. Ozun), Journal of Applied Sciences, 7(14), 1916-1923, 2007 (Scopus)

 

Ulusal Dergier

1. Estimating the effect of inflatıon on stock returns using regimedependent impulse response analysis, Aurum Dergisi, 2017, 2(2), 1-16.

 

2. Multiscale Systematic Risk: An Application on the ISE-30, ISE Review, 2008, 10(38), s.1-23 (A. Ozun ile birlikte).

 

3. Hisse Senedi Getirilerinde Global ve Yerel Faiz Oranı Riski: Kısmi Çokdeğişkenli GARCH Modeliyle İstanbul Menkul Kıymetler Borsası Üzerine Bir Çalışma. Iktisat, Isletme ve Finans Dergisi, 2007, 254, s.47-61. (A. Ozun ile birlikte).

 

4. Operasyonel Risk Yönetimi'nde Zarar Dağılımları ile Gelişmiş Ölçüm Yaklaşımı Uygulaması, Dogus Universitesi Dergisi, 2007, 8(2), s. 143-158 (N. Chambers ile birlikte).

 

5. The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey, BDDK Bankacılık ve Finansal Piyasalar Dergisi, 2007, 1, 7-33 (A. Özün ile birlikte).

 

6. Geriye Dönük Testlerin Karşılaştırmalı Analizi: Döviz Kuru Üzerine Bir Uygulama, Bankacilar Dergisi, 2007, 62, Eylül, 25-43 (A. Özün ve S. Yılmazer ile birlikte).

 

7. Koşullu Copula ve Dinamik Koşullu Korelasyon ile Portföy Riskinin Hesaplanması: Türkiye Verileri Üzerine Bir Uygulama, Bankacilar Dergisi, 2007, 61, Haziran, 12-27 (A. Özün ile birlikte).

 

8. Beklenen Kuyruk Kaybı ve Genelleştirilmiş Pareto Dağılımı ile Riske Maruz Değer Öngörüsü: Faiz Oranları Üzerine Bir Uygulama, Bankacilar Dergisi, 2007, 60, Mart, 3-16  (A. Özün ve S. Yılmazer ile birlikte).

 

9. Bankaların Hisse Senedi Getirilerinde Faiz Oranı Riski: Dalgacıklar Analizi ile Türk Bankacılık Sektörü Üzerine Bir Uygulama, Bankacilar Dergisi, 2006, 59, Aralık, 3-15 (A. Özün ile birlikte)

 

Kitap Bölümü

1. The Effect of Scale on Productivity: An Application of Data Envelopment Analysis (with N.Chambers), in J.K. Mantri (Ed.), Research Methodology in Data Envelopment Analysis(DEA), (Florida: Universal Publishers), ISBN-10: 1599429500, 141-156. http://www.amazon.com/Research-Methodology-Data-Envelopment-Analysis/dp/1599429500/ref=sr_1_1?ie=UTF8&s=books&qid=1231142124&sr=8-1

 

Davetli Konuşmalar

1. "The Effects of oil prices on stock returns in MENA countries: A firm-level data analysis", Boğaziçi University, Graduate program in Financial Engineering, Istanbul, October 2016.

 

2. "Oil Price Volatility and Profitability in Transportation Sector: : An Analysis with Firm-level Panel Data", Boğaziçi University, Graduate program in Financial Engineering, Istanbul, October 2015 ( http://www.fe.boun.edu.tr/?q=news).

 

3. "Exchange Rate Exposure at the Firm and Industry Level: Evidence from Turkey", Boğaziçi University, Graduate program in Financial Engineering, Istanbul, November 2012.

 

4. "Macroeconomic Uncertainty, Firm Size and Growth in the Manufacturing Sector: Evidence from Turkey", Boğaziçi University, Graduate program in Financial Engineering, Istanbul, October 2011, and Istanbul Kemerburgaz University, Istanbul, February 2012.

 

5. "Recent Advances in Time Series Analysis", Okan University, Istanbul, December 2010.

 

6. "Extreme Value Theory and Copula Applications in Financial Engineering", Boğaziçi University, Graduate program in Financial Engineering, Istanbul, November 2009.

 

7. "Risk Management Applications at Corporations", Bahcesehir University with Cooperation of RiskCenter, Istanbul, May 2006.

 

8. "Recent Advances in Risk Management", Uludag University, Bursa, March 2006.

 

9. "Export Risk Management", Pamukkale University, Denizli, December 2005.


Projeler

TUBITAK 1001 Areaştırmacı, Optimization Wind Energy Plants using Risk Criteria. Project Bütçesi: 197,500 TL, Proje Dönemi: 2013-2016, Yürütücü: A. Tuzuner, Diğer Araştırmacılar: S. Goren, Z. Yumurtacı, F.K. Turhan.