Deniz Erdemlioglu

IESEG School of Management, LEM-CNRS 9221, France

3 rue de la Digue

Lille, 59000

France

http://www.denizerdemlioglu.com

SCHOLARLY PAPERS

8

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SSRN CITATIONS

7

CROSSREF CITATIONS

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Scholarly Papers (8)

1.

Market Reaction to News and Investor Attention in Real Time

Number of pages: 50 Posted: 31 Jul 2017 Last Revised: 16 Aug 2017
Deniz Erdemlioglu, Roland L. Gillet and Thomas Renault
IESEG School of Management, LEM-CNRS 9221, France, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 321 (97,481)

Abstract:

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Investor attention, News announcements, Stock returns, High-frequency data, Big data, Volatility, Jumps, Social media, Textual analysis, Information retrieval

2.

A New Wavelet-based Ultra-High-Frequency Analysis of Triangular Currency Arbitrage

Economic Modelling, Forthcoming
Number of pages: 45 Posted: 16 Aug 2017 Last Revised: 16 May 2019
Nikola Gradojevic, Ramazan Gencay and Deniz Erdemlioglu
University of Guelph, Department of Economics and Finance, Simon Fraser University and IESEG School of Management, LEM-CNRS 9221, France
Downloads 290 (108,926)
Citation 1

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Investment analysis, Exchange rates, Triangular arbitrage, Limit order book, Wavelets.

3.

Econometric Modeling of Exchange Rate Volatility and Jumps

Federal Reserve Bank of St. Louis Working Paper No. 2012-008A
Number of pages: 69 Posted: 12 Apr 2012
Deniz Erdemlioglu, Sébastien Laurent and Christopher J. Neely
IESEG School of Management, LEM-CNRS 9221, France, AMSE and Federal Reserve Bank of St. Louis - Research Division
Downloads 188 (167,067)
Citation 4

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Foreign exchange volatility, ARCH models, realized volatility, intraday periodicity, jumps, macroeconomic announcements, central bank interventions

4.

Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data

Journal of Econometrics, Forthcoming
Number of pages: 84 Posted: 02 Jun 2016 Last Revised: 07 Oct 2019
Mardi H. Dungey, Deniz Erdemlioglu, Marius Matei and Xiye Yang
University of Tasmania (deceased), IESEG School of Management, LEM-CNRS 9221, France, University of Tasmania and Rutgers, The State University of New Jersey - Department of Economics
Downloads 95 (284,701)

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Flight-to-safety, Flight-to-quality, Mutual excitation in jumps, High frequency data, Stock-bond comovement

5.

The Intra-Day Impact of Communication on Euro-Dollar Volatility and Jumps

KU Leuven - Center for Economic Studies Discussion Paper No. DPS13.04
Number of pages: 37 Posted: 11 Mar 2013
Catholic University of Leuven (KUL) - Department of Economics, IESEG School of Management, LEM-CNRS 9221, France, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Facultés Universitaires Notre-Dame de la Paix (FUNDP) - Department of Business Administration
Downloads 69 (344,462)
Citation 4

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Central bank communication, Exchange rate communication, Official statements, High-frequency data, Jump process, Volatility

6.

Which Continuous-Time Model is Most Appropriate for Exchange Rates?

FRB of St. Louis Working Paper No. 2013-024C
Number of pages: 29 Posted: 18 Aug 2013 Last Revised: 23 Aug 2014
Deniz Erdemlioglu, Sébastien Laurent and Christopher J. Neely
IESEG School of Management, LEM-CNRS 9221, France, AMSE and Federal Reserve Bank of St. Louis - Research Division
Downloads 40 (440,649)
Citation 1

Abstract:

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Exchange rates, Brownian motion, Volatility, Jumps, Intraday periodicity, High-frequency data

7.

Long-Term Asset Allocation, Risk Tolerance and Market Sentiment

Journal of International Financial Markets, Institutions and Money, Forthcoming
Posted: 03 Jun 2019
Deniz Erdemlioglu and Robert Joliet
IESEG School of Management, LEM-CNRS 9221, France and IESEG School of Management Lille/Paris

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Asset management, Portfolio choice, Investment horizons, Investor and market sentiment, Fund performance, Signal processing

8.

Informativeness of Trade Size in Foreign Exchange Markets

Forthcoming in Economics Letters
Posted: 17 Nov 2016
Deniz Erdemlioglu, Nikola Gradojevic and Ramazan Gencay
IESEG School of Management, LEM-CNRS 9221, France, University of Guelph, Department of Economics and Finance and Simon Fraser University

Abstract:

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Foreign Exchange Markets, Volume, Trade Size, Volatility, Informed Trading, Noise Trading, Market Microstructure