Salih N Neftçi

Biographic Data

ID5867717
NAMESalih N Neftçi
GIVEN NAMESSalih N
FAMILY NAMENeftçi
SIGNATURENEFTÇI S N
AFFILIATIONSGraduate Institute of International and Development Studies
VERIFIEDNo
TOTAL WORKS6
TOTAL CITATIONS21
WORKS AS AUTHOR6
WORKS AS EDITOR0
FIRST PUBLICATION YEAR1978
LATEST PUBLICATION YEAR1993
H-INDEX2

  • Statistical Analysis of Shapes in Macroeconomic Time Series

    Salih N NeftçiARTICLEJournal of Business and Economic…1993

    Burns and Mitchell considered business cycles as recurrent patterns in macroeconomic time series. This article develops formal ways of identifying the occurrence of such patterns and testing their significance. In particular, it calculates the probability that a linear time series model that fits the data well can generate the patterns observed in macroeconomic time series

  • On Some Sample Path Properties of Intra-Day Futures Prices

    Salih N Neftçi, Andrew J PolicanoARTICLEThe Review of Economics and…1990

    This paper develops a time-series model for continuous time asset prices and then uses tick-by-tick data from Treasury bill futures to develop both a definition and test for efficiency in the continuous time case. The results suggest that intra-day data on futures prices do not behave like a Markov Renewal process; rather, lagged values of futures prices do have some predictive power. In addition, trading times are not useful in predicting future…

  • Are Economic Time Series Asymmetric over the Business Cycle

    Salih N NeftçiARTICLEJournal of Political Economy1984Cited by: 19References: 1

    It has long been argued that major cyclical variables such as the unemployment rate display an asymmetric behavior over various phases of the business cycle. The paper provides a statistical test for this hypothesis. Using the framework of finite state Markov processes I implement a test to see if the behavior of the unemployment rate is characterized by sudden jumps and slower drops. It is argued that the framework provided in the paper can also…

  • Policy-Dependent Parameters in the Presence of Optimal Learning

    PAUL D MCNELIS, Salih N NeftçiARTICLEThe Review of Economics and…1982

    Paul D. McNelis, , Policy-Dependent Parameters in the Presence of Optimal Learning: An Application of Kalman Filtering to the Fair and Sargent Supply-Side Equations, The Review of Economics and Statistics, Vol. 64, No. 2 (May, 1982), pp. 296-306

  • Policy Evaluation of Housing Cyclicality

    Simone Clemhout, Salih N NeftçiARTICLEThe Review of Economics and…1981

    T HE purpose of this paper is to evaluate the policy option of controlling cyclicality in housing and briefly review its policy-related implications. This subject has recently returned to the forefront of public concern,' because it is feared that housing cyclicality contributes to the high cost of housing (HUD, 1979) and has a detrimental effect on the continuity of urban change (as patterns of neighborhood development are affected (HUD, 1978)).…

  • A Time-Series Analysis of the Real Wages-Employment Relationship

    Salih N NeftçiARTICLEJournal of Political Economy1978Cited by: 2References: 2

    In this paper, the theory of covariance-stationary stochastic processes is used in order to investigate the sign and the significance of the relationship between employment and real wages. It is shown that when appropriate distributed lags are estimated the data suggest that employment and real wages are negatively correlated. The response appears to be non-contemporaneous and statistically significant