Gulten Mero

University of Cergy-Pontoise - THEMA

Assistant Professor

33 boulevard du port

F-95011 Cergy-Pontoise Cedex, 95011

France

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

National Institute of Statistics and Economic Studies (INSEE) - Center of Research in Economics and Staristics (CREST)

15 Boulevard Gabriel Peri

Malakoff Cedex, 1 92245

France

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.

Hedge Fund Returns and Factor Models: A Cross-Sectional Approach

Bankers, Markets & Investors, June 2011
Number of pages: 42 Posted: 19 Feb 2009 Last Revised: 06 Jul 2016
Serge Darolles and Gulten Mero
Université Paris Dauphine - DRM-CEREG and University of Cergy-Pontoise - THEMA
Downloads 764 (33,042)

Abstract:

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Factor models, asymptotic tests, large panel data, risk dimension, replicating portfolio, missing factors

2.

Measuring Hedge Fund Performance: A Markov Regime-Switching with False Discoveries Approach

Number of pages: 28 Posted: 25 Feb 2016
Gulten Mero
University of Cergy-Pontoise - THEMA
Downloads 115 (249,589)

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Hedge fund performance, Markov regime-switching factor models, false discovery rates, business cycles, portfolio choice

3.

Financial Market Liquidity: Who is Acting Strategically?

Number of pages: 43 Posted: 06 Oct 2015 Last Revised: 06 Jul 2016
Serge Darolles, Gaëlle Le Fol and Gulten Mero
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France and University of Cergy-Pontoise - THEMA
Downloads 103 (269,597)

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Strategic liquidity trading, market efficiency, mixture of distribution hypothesis, information-based trading, extended Kalman Filter

4.

Measuring the Liquidity Part of Volume

Journal of Banking and Finance, Vol. 50, 2015
Posted: 08 Dec 2008 Last Revised: 06 Jul 2016
Serge Darolles, Gaëlle Le Fol and Gulten Mero
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France and University of Cergy-Pontoise - THEMA

Abstract:

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Volatility-volume relationship, mixture of distribution hypothesis, liquidity shocks, information-based trading, liquidity arbitrage, GMM tests