Dr. Deniz Erdemlioglu

Deniz Erdemlioglu is Assistant Professor of Finance in the Department of Finance, Audit and Control at the IESEG School of Management, France. He holds a PhD in Economics from University of Leuven (KU Leuven) and a PhD in Finance from Louvain School of Management (Louvain Academy), Belgium. He is a fellow of the of the National Center for Scientific Research (CNRS) in France and a former Fulbright Scholar in the U.S. His research interests are financial econometrics, applied econometrics, high-frequency data analysis, financial contagion and volatility modeling and tail risk measurement.

 

Recent publications:

 

Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data, Journal of Econometrics (forthcoming) (joint work with Mardi Dungey, Xiye Yang and Marius Matei).

Informativeness of Trade Size in Foreign Exchange Markets, Economics Letters, (2017) 150, 27-33 (joint work with Nikola Gradojevic and Ramazan Gencay).

Which Continuous-Time Model is Most Appropriate for Exchange Rates?, Journal of Banking and Finance, (2015) 61, 256-268 (joint work with Sébastien Laurent and Christopher J. Neely).

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