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.
- 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).