Alev Atak

Alev Atak

Associate Professor of Economics

Middle East Technical University (METU)
Associate Director, Institute of Applied Mathematics

Google Scholar ORCID METU Profile

I am an Associate Professor of Economics at Middle East Technical University (METU) and serve as Associate Director at the Institute of Applied Mathematics. I hold a Ph.D. in Economics from Queen Mary, University of London, and have previously served as an Assistant Professor in the United Kingdom, where I developed extensive experience in both research and teaching.

My research interests lie at the intersection of finance and econometrics, with a particular focus on applying advanced computational methods to financial problems. I specialize in financial econometrics and am particularly interested in the applications of artificial intelligence and machine learning techniques in finance, including deep learning and natural language processing.

I am proficient in multiple programming languages and statistical software, including Stata, Matlab, R, and Python, which I employ extensively in my research and teaching.

Research Interests

Primary: Finance, Econometrics

Secondary: Financial Econometrics, Machine Learning, Deep Learning, Natural Language Processing

Publications

Book

📖 Econometric Analysis of Cryptocurrency Volatility: A Heterogeneous Autoregressive Approach
Atak, A.
Gazi Kitabevi, Ankara, 2024 📚 Book

Journal Articles

Beyond polarity: How ESG sentiment influences idiosyncratic volatility in the Turkish stock market
Atak, A.
Borsa Istanbul Review, 24(1), 10-21, 2024 Q1 SSCI
🔗 DOI
Exploring the sentiment in Borsa Istanbul with deep learning
Atak, A.
Borsa Istanbul Review, 23(2), 84-95, 2023 Q1 SSCI
🔗 DOI
Specification tests for time-varying coefficient panel data models
Atak, A., Tao, T.Y., Zhan, Y., Zhou, Q.
Econometric Theory, 41(1), 123-170, 2023 Q1 SCI-Expanded
🔗 DOI
Functional coefficient quantile regression model with time-varying loadings
Atak, A., Montes-Rojas, G., Olmo, J.
Journal of Applied Economics, 26(1), 2167151, 2023 Q2 SSCI
🔗 DOI
A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
Atak, A., Kapetanios, G.
Economics Letters, 120(2), 224-228, 2013 Q2 SSCI
🔗 DOI
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
Atak, A., Linton, O., Xiao, Z.
Journal of Econometrics, 164(1), 92-115, 2011 Q1 SCI-Expanded 🌟 Highly Cited
🔗 DOI

Working Papers

Financial Attention and Corporate Disclosure Tone: Evidence from Borsa Istanbul's High-Frequency Behavioral Signals
Atak, A.
R&R Financial Innovation Q1
Forecasting Volatility with HAR-RV: Insights from Commodities, Currencies, and Equities
Atak, A.
Under Review North American Journal of Economics and Finance Q2
Sentiment, Attention, and Cryptocurrency Jump Risk: A Textual Hawkes Model
Atak, A., Linton, O.
Work in Progress With Oliver Linton, University of Cambridge
Unveiling Endogeneity: Price Dynamics of Non-Green Cryptocurrencies Amidst Digital Currency Surge and Environmental Concerns
Atak, A., Linton, O.
Work in Progress With Oliver Linton, University of Cambridge
Information Disclosures, Default Risk, and Bank Value
Atak, A., Zer, I.
Work in Progress With Ilknur Zer, Federal Reserve Board, Washington, D.C.
ESG Developments Over Time Using Big Data
Atak, A.
Work in Progress
Visualising Shifting Correlations in the Cryptocurrency Market
Atak, A.
Work in Progress
Wrong Way Risk: A Unique Approach for Calibration
Atak, A.
Work in Progress
Opacity: What Do Banks Hide?
Atak, A.
Work in Progress

Policy & Other Publications

The Future of Computer Trading on Financial Markets
Atak, A., Linton, O.
UK Government Office for Science Foresight Project, Driver Review Document, 2012

For a complete list of publications and citation information, please see my Google Scholar profile or view my CV.

Curriculum Vitae

View-only version. For a downloadable copy, please contact me at alevatak@metu.edu.tr

Contact Information

Alev Atak

Middle East Technical University (METU)

Department of Economics

Üniversiteler Mahallesi, Dumlupınar Bulvarı No:1

06800 Çankaya/Ankara

Turkey

E-mail: alevatak@metu.edu.tr

Citation Metrics

Citations (Google Scholar): 103

h-index: 5

i10-index: 4

Total Publications: 13