Lerby Murat Ergun

Bank of Canada

234 Wellington Street

Ontario, Ottawa K1A 0G9

Canada

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

928

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (7)

1.

Tail Index Estimation: Quantile Driven Threshold Selection

Number of pages: 74 Posted: 18 Jan 2016
London School of Economics - Systemic Risk Centre, Bank of Canada, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 314 (161,265)
Citation 14

Abstract:

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Hill estimator, Heavy tails, Optimal extreme sample fraction

2.

The Calming of Short-Term Market Fears and Its Long-Term Consequences: The Central Banks’ Dilemma

Number of pages: 37 Posted: 01 Feb 2021 Last Revised: 22 Jan 2023
Systemic Risk Centre - London School of Economics, London School of Economics - Systemic Risk Centre, Bank of Canada, Bank of Canada and London School of Economics - Department of Finance, Systemic Risk Centre, and Financial Markets Group
Downloads 308 (164,514)

Abstract:

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Fed, COVID-19, FX Swap

3.

Strategic Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service

Number of pages: 55 Posted: 04 Mar 2020 Last Revised: 22 Feb 2021
Lerby Murat Ergun and Andreas Uthemann
Bank of Canada and Bank of Canada
Downloads 90 (466,802)

Abstract:

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OTC markets, Information Aggregation, Social Learning, Strategic Uncertainty, Consensus Pricing, Benchmarks

4.

Challenges in Implementing Worst-Case Analysis

Number of pages: 8 Posted: 15 Mar 2017
Jon Danielsson, Lerby Murat Ergun and Casper G. de Vries
London School of Economics - Systemic Risk Centre, Bank of Canada and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 79 (505,046)

Abstract:

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Worst-case analysis, EVT, quantile estimator, risk management

5.

The Informational Value of Consensus Prices: Evidence from the OTC Derivatives Market

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 45 Posted: 05 Jun 2018
Lerby Murat Ergun and Andreas Uthemann
Bank of Canada and London School of Economics & Political Science (LSE)
Downloads 70 (540,645)

Abstract:

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OTC markets, information aggregation, learning, consensus pricing

6.

Covariates Hiding in the Tails

Number of pages: 53 Posted: 27 Dec 2022
Milian Bachem, Lerby Murat Ergun and Casper de Vries
Erasmus University Rotterdam, Bank of Canada and Erasmus University Rotterdam (EUR)
Downloads 39 (702,683)

Abstract:

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Tail index estimation, Heavy tails, Cross-sectional bias

7.

Extreme Downside Risk in the Cross-Section of Asset Returns

Number of pages: 30 Posted: 15 Feb 2023
Lerby Murat Ergun
Bank of Canada
Downloads 28 (782,462)

Abstract:

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C14, G12, G11