Sermin Gungor

Bank of Canada

Research Advisor

Bank of Canada, 234 Wellington Street

Ottawa, Ottawa K1A 0G9

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

647

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

Funding Risk, Market Liquidity, Market Volatility and the Cross-Section of Asset Returns

Number of pages: 55 Posted: 30 Jan 2015 Last Revised: 29 Oct 2016
Bank of Canada, Université de Montréal and Bank of Canada
Downloads 314 (137,857)
Citation 6

Abstract:

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Funding risk, Stock returns, Limits to arbitrage, Market liquidity, Volatility

2.

Intermediary Leverage Shocks and Funding Conditions

Number of pages: 64 Posted: 11 Aug 2020 Last Revised: 10 Feb 2022
Bank of Canada, Université de Montréal and Bank of Canada
Downloads 163 (255,881)

Abstract:

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Broker-dealers, Leverage, Asset pricing

3.

Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy

Bank of Canada Working Paper No. 2014-3
Number of pages: 36 Posted: 19 Feb 2014
Sermin Gungor and Jesus A. Sierra Jimenez
Bank of Canada and Vancouver Island University (VIU) - Faculty of Management
Downloads 56 (506,328)

Abstract:

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Mutual funds, active management, low-for-long, monetary policy, linear factor model

4.

Exact Inference in Predictive Quantile Regressions with an Application to Stock Returns

Number of pages: 42 Posted: 02 Oct 2017
Sermin Gungor and Richard Luger
Bank of Canada and Université Laval
Downloads 49 (536,893)

Abstract:

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Predictability, Quantile regression, Multiple testing, Persistent predictor

5.

Government of Canada Securities in the Cash, Repo and Securities Lending Markets

Bank of Canada Staff Discussion Paper 2018-4
Number of pages: 45 Posted: 13 Feb 2018
Narayan Bulusu and Sermin Gungor
Bank of Canada and Bank of Canada
Downloads 36 (603,242)
Citation 2

Abstract:

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Financial markets, Wholesale funding

6.

Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects

Number of pages: 57 Posted: 02 Oct 2017
Sermin Gungor and Richard Luger
Bank of Canada and Université Laval
Downloads 29 (646,303)

Abstract:

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Stock returns, Predictive regression, Multiple predictors, Unit roots