Ahmet K Karagozoglu

Hofstra University, Zarb School of Business

C.V. Starr Distinguished Professor of Finance and Investment Banking

Department of Finance

148 Hofstra University

Hempstead, NY 11549-1480

United States

http://sites.hofstra.edu/ahmet-karagozoglu

New York University (NYU) - Volatility and Risk Institute

Visiting Scholar

44 West 4th Street

New York, NY 10012

United States

SCHOLARLY PAPERS

23

DOWNLOADS

785

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (23)

1.

Understanding and Predicting the Resolution of Financial Distress

Number of pages: 48 Posted: 23 Jun 2008
Ahmet K Karagozoglu, Dina Naples Layish and Michael Jacobs
Hofstra University, Zarb School of Business, Binghamton University - School of Management and Accenture Consulting
Downloads 652 (43,502)

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Default, Financial Distress, Liquidation, Reorganization, Bankruptcy, Restructuring, Credit Risk, Discrete Regression, Bootstrap Methods, Forecasting, Classification Accuracy

2.

Performance of Time-Varying Correlation Estimation Methods

Number of pages: 45 Posted: 23 Jun 2008 Last Revised: 15 Feb 2010
Ahmet K Karagozoglu and Michael Jacobs
Hofstra University, Zarb School of Business and Accenture Consulting
Downloads 107 (275,723)

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Correlations, Forecasting, GARCH, DCC, Risk Management, Hedging

3.

Multi-regime Forecasting Model for the Impact of COVID-19 Pandemic on Volatility in Global Equity Markets

Number of pages: 37 Posted: 09 Jul 2020
Nazli Sila Alan, Robert F. Engle and Ahmet K Karagozoglu
Fairfield University - Charles F. Dolan School of Business, New York University (NYU) - Department of Finance and Hofstra University, Zarb School of Business
Downloads 17 (586,408)

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Multi-regime forecasting, COVID-19, coronavirus pandemic, volatility, Stringency Index, earnings call transcripts, sentiment, curvature

4.

What Is So Special About KOSPI 200 Index Futures Contract? An Analysis of Trading Volume and Liquidity

The Review of Futures Markets, Winter 2005-2006, v.14, n.3, pp. 327-348.
Number of pages: 22 Posted: 10 Jul 2020
Cetin Ciner, Ahmet K Karagozoglu and Wi Saeng Kim
University of North Carolina at Wilmington, Hofstra University, Zarb School of Business and affiliation not provided to SSRN
Downloads 8 (648,244)

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KOSPI 200 Index, Korea, futures contract, trading volume, volatility, bid-ask spreads, liquidity

5.

Direct Market Access in Exchange-Traded Derivatives: Effects of Algorithmic Trading on Liquidity in Futures Markets

The Review of Futures Markets, Summer 2011, v.19, special issue, pp. 95-142
Number of pages: 48
Ahmet K Karagozoglu
Hofstra University, Zarb School of Business
Downloads 1

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direct market access, DMA, algorithmic trading, liquidity, volatility, futures contracts

6.

Volatility Wisdom of Social Media Crowds

The Journal of Portfolio Management, Winter 2017, 43 (2) 136-151; DOI:10.3905/jpm.2017.43.2.136
Posted: 10 Jul 2020
Ahmet K Karagozoglu and Frank J. Fabozzi
Hofstra University, Zarb School of Business and EDHEC Business School

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investor sentiment, VIX, volatility

7.

On the Characteristics of Dynamic Correlations between Asset Pairs

Research in International Business and Finance, August 2014, v.32, pp. 60-82. DOI:10.1016/j.ribaf.2014.03.004
Posted: 10 Jul 2020
Michael Jacobs and Ahmet K Karagozoglu
Accenture Consulting and Hofstra University, Zarb School of Business

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correlation forecasting, dynamic conditional correlation, GARCH, risk management, hedging

8.

Bank Capital and New Regulatory Requirements for Risks in Trading Portfolios

The Journal of Fixed Income, Spring 2014, 23 (4) 71-88; DOI:10.3905/jfi.2014.23.4.071
Posted: 10 Jul 2020
hulusi inanoglu, Michael Jacobs and Ahmet K Karagozoglu
Board of Governors of the Federal Reserve System, Accenture Consulting and Hofstra University, Zarb School of Business

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9.

Resolution of Corporate Financial Distress: An Empirical Analysis of Processes and Outcomes

The Journal of Portfolio Management, Winter 2012, 38 (2) 117-135; DOI:10.3905/jpm.2012.38.2.117
Posted: 10 Jul 2020
Michael Jacobs, Ahmet K Karagozoglu and Dina Naples Layish
Accenture Consulting, Hofstra University, Zarb School of Business and Binghamton University - School of Management

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financial distress, bankruptcy filing, private work-out, liquidation, reorganization, prepackaged bankruptcy

10.

Modeling Ultimate Loss-Given-Default on Corporate Debt

The Journal of Fixed Income, Summer 2011, 21 (1) 6-20; DOI:10.3905/jfi.2011.21.1.006
Posted: 10 Jul 2020
Michael Jacobs and Ahmet K Karagozoglu
Accenture Consulting and Hofstra University, Zarb School of Business

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Loss given default, LGD, credit risk, distressed debt

11.

Information Asymmetry, Speculation and Foreign Trading Activity: Emerging Market Evidence

International Review of Financial Analysis, September 2008, v.17, n.4, pp. 664-680. DOI:10.1016/j.irfa.2007.09.003
Posted: 10 Jul 2020
Cetin Ciner and Ahmet K Karagozoglu
University of North Carolina at Wilmington and Hofstra University, Zarb School of Business

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information asymmetry, foreign trading, volume-return relationship, speculation

12.

Relative Performance of Bid-Ask Spread Estimators: Futures Markets Evidence

The Journal of International Financial Markets, Institutions & Money, July 2006, v.16, n.3, pp. 231-245. DOI:10.1016/j.intfin.2005.02.004
Posted: 10 Jul 2020
Amber Anand and Ahmet K Karagozoglu
Syracuse University - Whitman School of Management and Hofstra University, Zarb School of Business

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transaction costs, bid–ask spreads, spread estimators, futures markets

13.

The Split of the S&P 500 Futures Contract: Effects on Liquidity and Market Dynamics

Review of Quantitative Finance and Accounting, December 2003, v.21, n.4, pp. 323-348. https://doi.org/10.1023/B:REQU.0000004782.92370.89
Posted: 10 Jul 2020
Ahmet K Karagozoglu, Terrence Martell and George H. K. Wang
Hofstra University, Zarb School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and George Mason University - Department of Finance

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S&P 500 index, futures contract, contract size, tick size, bid-ask spreads, liquidity

14.

Growing Pains: The Evolution of New Stock Index Futures in Emerging Markets

Research in International Business and Finance, May 2016, v.37, pp. 1-16. DOI:10.1016/j.ribaf.2015.10.004
Posted: 09 Jul 2020
Nazli Sila Alan, Ahmet K Karagozoglu and Sibel Korkmaz
Fairfield University - Charles F. Dolan School of Business, Hofstra University, Zarb School of Business and AIG

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index futures, mispricing, price discovery, volatility, hedging effectiveness

15.

Credit Risk Signals in CDS Market vs. Agency Ratings

Journal of Risk Finance, Vol. 17 No. 2, pp. 194-217. 2016 DOI:10.1108/JRF-07-2015-0070
Posted: 09 Jul 2020
Michael Jacobs, Ahmet K Karagozoglu and Dina Naples Layish
Accenture Consulting, Hofstra University, Zarb School of Business and Binghamton University - School of Management

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CDS, credit rating agencies, credit risk, credit default swap, credit ratings

16.

Effects of Short-Sale Constraints and Information Asymmetry on Index Futures Trading

Review of Finance, Volume 21, Issue 5, August 2017, Pages 1975–2005, Doi.org/10.1093/rof/rfw020
Posted: 09 Jul 2020
Frank J. Fabozzi, Ahmet K Karagozoglu and Na Wang
EDHEC Business School, Hofstra University, Zarb School of Business and Hofstra University - Frank G. Zarb School of Business

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short-sale constraints, stock index futures; investor optimism

17.

Stress Testing and Model Validation: Application of the Bayesian Approach to a Credit Risk Portfolio

Journal of Risk Model Validation, 2015, Vol. 9(3), 41-70
Posted: 01 Nov 2015
Michael Jacobs, Ahmet K Karagozoglu and Frank Sensenbrenner
Accenture Consulting, Hofstra University, Zarb School of Business and Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS)

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stress testing; model validation; model risk; credit risk; Bayesian analysis; CCAR

18.

Measuring Credit Risk: CDS Spreads vs. Credit Ratings

Posted: 12 Feb 2010
Ahmet K Karagozoglu and Michael Jacobs
Hofstra University, Zarb School of Business and Accenture Consulting

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Credit Default Swaps, Credit Ratings, Recoveries, Default, Credit Risk

19.

Understanding and Predicting Ultimate Loss-Given-Default on Corporate Debt

Posted: 27 Nov 2007 Last Revised: 21 May 2011
Michael Jacobs and Ahmet K Karagozoglu
Accenture Consulting and Hofstra University, Zarb School of Business

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Recoveries, Default, Loss Given Default, Financial Distress, Bankruptcy, Restructuring, Credit Risk, Entropic Methods, Bootstrap Methods, Forecasting

20.

Pricing Eurodollar Futures Options Using the Bdt Term Structure Model: The Effect of Yield Curve Smoothing

Posted: 10 Feb 2001
Turan G. Bali and Ahmet K Karagozoglu
Georgetown University - Robert Emmett McDonough School of Business and Hofstra University, Zarb School of Business

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21.

Implementation of the Bdt Model with Different Volatility Estimators: Applications to Eurodollar Futures Options

Posted: 23 Sep 2000
Turan G. Bali and Ahmet K Karagozoglu
Georgetown University - Robert Emmett McDonough School of Business and Hofstra University, Zarb School of Business

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22.

Changing the Size of a Futures Contract: Liquidity and Microstructure Effects

Posted: 16 Nov 1999
Ahmet K Karagozoglu and Terrence F. Martell
Hofstra University, Zarb School of Business and City University of New York (CUNY) - Baruch College - Zicklin School of Business

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23.

Explicit Versus Implicit Contracts: The Case of Diff and Cross Futures

Posted: 22 Dec 1998
Ahmet K Karagozoglu
Hofstra University, Zarb School of Business

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