Details about Deniz Erdemlioglu

Access statistics for papers by Deniz Erdemlioglu.

Last updated 2018-03-10. Update your information in the RePEc Author Service.

Short-id: per86

Working Papers

2015

1. Which continuous-time model is most appropriate for exchange rates?
   Post-Print, HAL View citations (3)
   Also in Working Papers, Federal Reserve Bank of St. Louis (2013) View citations (1)
   See also Journal Article Which continuous-time model is most appropriate for exchange rates?, Journal of Banking & Finance, Elsevier (2015) View citations (3) (2015)

2013

2. The intra-day impact of communication on euro-dollar volatility and jumps
   Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
   See also Journal Article The intra-day impact of communication on euro-dollar volatility and jumps, Journal of International Money and Finance, Elsevier (2014) View citations (33) (2014)

2012

3. Econometric modeling of exchange rate volatility and jumps
   Working Papers, Federal Reserve Bank of St. Louis View citations (17)
   See also Chapter Econometric modeling of exchange rate volatility and jumps, Chapters, Edward Elgar Publishing (2013) (2013)

Journal Articles

2018

1. Testing for mutually exciting jumps and financial flights in high frequency data
   Journal of Econometrics, 2018, 202, (1), 18-44 View citations (15)

2017

2. Informativeness of trade size in foreign exchange markets
   Economics Letters, 2017, 150, (C), 27-33 View citations (6)

2015

3. Which continuous-time model is most appropriate for exchange rates?
   Journal of Banking & Finance, 2015, 61, (S2), S256-S268 View citations (3)
   See also Working Paper Which continuous-time model is most appropriate for exchange rates?, Post-Print (2015) View citations (3) (2015)

2014

4. The intra-day impact of communication on euro-dollar volatility and jumps
   Journal of International Money and Finance, 2014, 43, (C), 131-154 View citations (33)
   See also Working Paper The intra-day impact of communication on euro-dollar volatility and jumps, Working Papers of Department of Economics, Leuven (2013) (2013)

Chapters

2013

1. Econometric modeling of exchange rate volatility and jumps
   Chapter 16 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 373-427
   See also Working Paper Econometric modeling of exchange rate volatility and jumps, Federal Reserve Bank of St. Louis (2012) View citations (17) (2012)