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Details about Ahmet Goncu

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Homepage:http://www.xjtlu.edu.cn/en/faculty/academic-subject-staff/item/80-ahmet-goncu.html
Workplace:Xian Jiaotong Liverpool University

Access statistics for papers by Ahmet Goncu.

Last updated 2016-10-16. Update your information in the RePEc Author Service.

Short-id: pgo527


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Working Papers

2014

  1. A Comparative Goodness-of-fit Analysis of Distributions of Some Levy Processes and Heston Model to Stock Index Returns
    Working Papers, Bogazici University, Department of Economics Downloads
    See also Journal Article in The North American Journal of Economics and Finance (2016)
  2. A Comparison of Stochastic Models of Natural Gas Consumption
    Working Papers, Bogazici University, Department of Economics Downloads
  3. Statistical Arbitrage in the Black-Scholes Framework
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2015)

2013

  1. Forecasting Daily Residential Natural Gas Consumption: A Dynamic Temperature Modelling Approach
    Working Papers, Bogazici University, Department of Economics Downloads View citations (1)
  2. Goodness-of-fit of the Heston, Variance-Gamma and Normal-Inverse Gaussian Models
    Working Papers, Bogazici University, Department of Economics Downloads View citations (1)

Journal Articles

2016

  1. A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns
    The North American Journal of Economics and Finance, 2016, 36, (C), 69-83 Downloads View citations (5)
    See also Working Paper (2014)
  2. Statistical Arbitrage with Pairs Trading
    International Review of Finance, 2016, 16, (2), 307-319 Downloads View citations (5)
  3. Variance-Gamma and Normal-Inverse Gaussian models: Goodness-of-fit to Chinese high-frequency index returns
    The North American Journal of Economics and Finance, 2016, 36, (C), 279-292 Downloads View citations (2)

2015

  1. Estimating sensitivities of temperature-based weather derivatives
    Applied Economics, 2015, 47, (19), 1942-1955 Downloads View citations (1)
  2. Statistical arbitrage in the Black-Scholes framework
    Quantitative Finance, 2015, 15, (9), 1489-1499 Downloads
    See also Working Paper (2014)

2013

  1. A Stochastic Model for Natural Gas Consumption: An Application for Turkey
    Iktisat Isletme ve Finans, 2013, 28, (332), 33-46 View citations (1)
  2. Comparison of temperature models using heating and cooling degree days futures
    Journal of Risk Finance, 2013, 14, (2), 159-178 Downloads
  3. Fitting the Variance-Gamma Model: A Goodness-of-Fit Check for Emerging Markets
    Bogazici Journal, Review of Social, Economic and Administrative Studies, 2013, 27, (2), 1-10 Downloads View citations (2)

2012

  1. An analysis of the extreme returns distribution: the case of the Istanbul Stock Exchange
    Applied Financial Economics, 2012, 22, (9), 723-732 Downloads View citations (1)

2011

  1. Pricing of temperature-based weather options for Turkey
    Iktisat Isletme ve Finans, 2011, 26, (309), 33-50 View citations (2)
  2. Pricing temperature-based weather contracts: an application to China
    Applied Economics Letters, 2011, 18, (14), 1349-1354 Downloads View citations (6)
  3. Pricing temperature-based weather derivatives in China
    Journal of Risk Finance, 2011, 13, (1), 32-44 Downloads View citations (2)
 
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