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Mustafa Hakan Eratalay

Personal Details

First Name:Mustafa
Middle Name:Hakan
Last Name:Eratalay
Suffix:
RePEc Short-ID:per140
http://sites.google.com/site/hakaneratalay/
Terminal Degree:2012 Departamento de Fundamentos del Análisis Económico; Facultad de Ciencias Económicas y Empresariales; Universidad de Alicante (from RePEc Genealogy)

Affiliation

Majandusteaduskond
Tartu Ülikool

Tartu, Estonia
http://www.mtk.ut.ee/
RePEc:edi:febutee (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022. "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 139, Faculty of Economics and Business Administration, University of Tartu (Estonia).
  2. Ariana Paola Cortés à ngel & Mustafa Hakan Eratalay, 2021. "Deedp Diving Into The S&P 350 Europe Index Network Ans Its Reaction To Covid-19," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 134, Faculty of Economics and Business Administration, University of Tartu (Estonia).
  3. Anders Nõu & Darya Lapitskaya & Mustafa Hakan Eratalay & Rajesh Sharma, 2021. "Predicting Stock Return And Volatility With Machine Learning And Econometric Models: A Comparative Case Study Of The Baltic Stock Market," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 135, Faculty of Economics and Business Administration, University of Tartu (Estonia).
  4. Yuliia Puzanova & M. Hakan Eratalay, 2020. "Effect Of Real Estate News Sentiment On The Stock Returns Of Swedbank And Seb Bank," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 122, Faculty of Economics and Business Administration, University of Tartu (Estonia).
  5. M. Hakan Eratalay & Evgenii Vladimirov, 2017. "Mapping the Stocks in MICEX: Who Is Central in Moscow Stock Exchange?," EUSP Department of Economics Working Paper Series 2017/01, European University at St. Petersburg, Department of Economics.
  6. Mustafa Hakan Eratalay, 2012. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," EUSP Department of Economics Working Paper Series 2012/04, European University at St. Petersburg, Department of Economics.
  7. M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012. "Estimating VAR-MGARCH models in multiple steps," Working Papers. Serie AD 2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

Articles

  1. Mustafa Hakan Eratalay & Ariana Paola Cortés Ángel, 2022. "The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms," JRFM, MDPI, vol. 15(4), pages 1-41, March.
  2. M. Hakan Eratalay & Evgenii V. Vladimirov, 2020. "Mapping the stocks in MICEX: Who is central in the Moscow Stock Exchange?," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 28(4), pages 581-620, October.
  3. M. Hakan Eratalay, 2016. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 19-52, September.

Chapters

  1. Darya Lapitskaya & Hakan Eratalay & Rajesh Sharma, 2022. "Predicting Stock Returns: ARMAX versus Machine Learning," Contributions to Economics, in: M. Kenan Terzioğlu (ed.), Advances in Econometrics, Operational Research, Data Science and Actuarial Studies, pages 453-464, Springer.
  2. M. Hakan Eratalay, 2021. "Financial Econometrics and Systemic Risk," Springer Books, in: Burcu Adıgüzel Mercangöz (ed.), Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, edition 1, pages 65-91, Springer.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022. "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 139, Faculty of Economics and Business Administration, University of Tartu (Estonia).

    Cited by:

    1. Karoline Bax & Giovanni Bonaccolto & Sandra Paterlini, 2023. "Do lower environmental, social, and governance (ESG) rated companies have higher systemic impact? Empirical evidence from Europe and the United States," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(3), pages 1406-1420, May.
    2. Hamzeh F. Assous, 2022. "Saudi Green Banks and Stock Return Volatility: GLE Algorithm and Neural Network Models," Economies, MDPI, vol. 10(10), pages 1-18, October.
    3. Curcio, Domenico & Gianfrancesco, Igor & Onorato, Grazia & Vioto, Davide, 2024. "Do ESG scores affect financial systemic risk? Evidence from European banks and insurers," Research in International Business and Finance, Elsevier, vol. 69(C).
    4. Hashem Zarafat & Sascha Liebhardt & Mustafa Hakan Eratalay, 2022. "Do ESG Ratings Reduce the Asymmetry Behavior in Volatility?," JRFM, MDPI, vol. 15(8), pages 1-32, July.
    5. Riccardo Savio & Edoardo D’Andrassi & Francesca Ventimiglia, 2023. "A Systematic Literature Review on ESG during the COVID-19 Pandemic," Sustainability, MDPI, vol. 15(3), pages 1-17, January.

  2. Ariana Paola Cortés à ngel & Mustafa Hakan Eratalay, 2021. "Deedp Diving Into The S&P 350 Europe Index Network Ans Its Reaction To Covid-19," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 134, Faculty of Economics and Business Administration, University of Tartu (Estonia).

    Cited by:

    1. Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022. "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 139, Faculty of Economics and Business Administration, University of Tartu (Estonia).

  3. M. Hakan Eratalay & Evgenii Vladimirov, 2017. "Mapping the Stocks in MICEX: Who Is Central in Moscow Stock Exchange?," EUSP Department of Economics Working Paper Series 2017/01, European University at St. Petersburg, Department of Economics.

    Cited by:

    1. Ariana Paola Cortés Ángel & Mustafa Hakan Eratalay, 2022. "Deep diving into the S&P Europe 350 index network and its reaction to COVID-19," Journal of Computational Social Science, Springer, vol. 5(2), pages 1343-1408, November.
    2. Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022. "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 139, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    3. Ariana Paola Cortés à ngel & Mustafa Hakan Eratalay, 2021. "Deedp Diving Into The S&P 350 Europe Index Network Ans Its Reaction To Covid-19," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 134, Faculty of Economics and Business Administration, University of Tartu (Estonia).

  4. Mustafa Hakan Eratalay, 2012. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," EUSP Department of Economics Working Paper Series 2012/04, European University at St. Petersburg, Department of Economics.

    Cited by:

    1. Anna Pajor & Justyna Wróblewska, 2022. "Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 427-448, September.

  5. M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012. "Estimating VAR-MGARCH models in multiple steps," Working Papers. Serie AD 2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

    Cited by:

    1. Ariana Paola Cortés Ángel & Mustafa Hakan Eratalay, 2022. "Deep diving into the S&P Europe 350 index network and its reaction to COVID-19," Journal of Computational Social Science, Springer, vol. 5(2), pages 1343-1408, November.
    2. Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
    3. Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022. "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 139, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    4. Rick Bohte & Luca Rossini, 2019. "Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models," JRFM, MDPI, vol. 12(3), pages 1-18, September.
    5. Julia S. Mehlitz & Benjamin R. Auer, 2021. "Time‐varying dynamics of expected shortfall in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 895-925, June.
    6. M. Hakan Eratalay & Evgenii Vladimirov, 2017. "Mapping the Stocks in MICEX: Who Is Central in Moscow Stock Exchange?," EUSP Department of Economics Working Paper Series 2017/01, European University at St. Petersburg, Department of Economics.
    7. M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012. "Estimating VAR-MGARCH models in multiple steps," Working Papers. Serie AD 2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    8. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    9. Esposti, Roberto, 2021. "On the long-term common movement of resource and commodity prices.A methodological proposal," Resources Policy, Elsevier, vol. 72(C).
    10. Hashem Zarafat & Sascha Liebhardt & Mustafa Hakan Eratalay, 2022. "Do ESG Ratings Reduce the Asymmetry Behavior in Volatility?," JRFM, MDPI, vol. 15(8), pages 1-32, July.
    11. Ariana Paola Cortés à ngel & Mustafa Hakan Eratalay, 2021. "Deedp Diving Into The S&P 350 Europe Index Network Ans Its Reaction To Covid-19," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 134, Faculty of Economics and Business Administration, University of Tartu (Estonia).
    12. Esposti, Roberto, 2017. "What Makes Commodity Prices Move Together? An Answer From A Dynamic Factor Model," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 260889, European Association of Agricultural Economists.

Articles

  1. Mustafa Hakan Eratalay & Ariana Paola Cortés Ángel, 2022. "The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms," JRFM, MDPI, vol. 15(4), pages 1-41, March.
    See citations under working paper version above.
  2. M. Hakan Eratalay & Evgenii V. Vladimirov, 2020. "Mapping the stocks in MICEX: Who is central in the Moscow Stock Exchange?," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 28(4), pages 581-620, October.
    See citations under working paper version above.
  3. M. Hakan Eratalay, 2016. "Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study," International Econometric Review (IER), Econometric Research Association, vol. 8(2), pages 19-52, September.
    See citations under working paper version above.Sorry, no citations of articles recorded.

Chapters

  1. Darya Lapitskaya & Hakan Eratalay & Rajesh Sharma, 2022. "Predicting Stock Returns: ARMAX versus Machine Learning," Contributions to Economics, in: M. Kenan Terzioğlu (ed.), Advances in Econometrics, Operational Research, Data Science and Actuarial Studies, pages 453-464, Springer.

    Cited by:

    1. Kolte, Ashutosh & Roy, Jewel Kumar & Vasa, László, 2023. "The impact of unpredictable resource prices and equity volatility in advanced and emerging economies: An econometric and machine learning approach," Resources Policy, Elsevier, vol. 80(C).

  2. M. Hakan Eratalay, 2021. "Financial Econometrics and Systemic Risk," Springer Books, in: Burcu Adıgüzel Mercangöz (ed.), Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, edition 1, pages 65-91, Springer.

    Cited by:

    1. Mustafa Hakan Eratalay & Ariana Paola Cortés à ngel, 2022. "The Impact Of Esg Ratings On The Systemic Risk Of European Blue-Chip Firms," University of Tartu - Faculty of Economics and Business Administration Working Paper Series 139, Faculty of Economics and Business Administration, University of Tartu (Estonia).

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (5) 2018-11-19 2020-04-13 2021-11-29 2021-12-06 2022-02-28. Author is listed
  2. NEP-CWA: Central and Western Asia (2) 2021-11-29 2021-12-06
  3. NEP-RMG: Risk Management (2) 2021-11-29 2022-02-28
  4. NEP-TRA: Transition Economics (2) 2017-07-30 2018-11-19
  5. NEP-BIG: Big Data (1) 2021-12-06
  6. NEP-CIS: Confederation of Independent States (1) 2020-04-13
  7. NEP-CMP: Computational Economics (1) 2021-12-06
  8. NEP-ECM: Econometrics (1) 2012-04-17
  9. NEP-ENV: Environmental Economics (1) 2022-02-28
  10. NEP-ETS: Econometric Time Series (1) 2012-04-17
  11. NEP-NET: Network Economics (1) 2021-11-29
  12. NEP-URE: Urban and Real Estate Economics (1) 2020-04-13

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