Details about Ahmet Goncu

Access statistics for papers by Ahmet Goncu.

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

Short-id: pgo527

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
   See also Journal Article 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, Elsevier (2016) View citations (7) (2016)
2. A Comparison of Stochastic Models of Natural Gas Consumption
   Working Papers, Bogazici University, Department of Economics
3. Statistical Arbitrage in the Black-Scholes Framework
   Papers, arXiv.org View citations (1)
   See also Journal Article Statistical arbitrage in the Black-Scholes framework, Quantitative Finance, Taylor & Francis Journals (2015) (2015)

2013

4. Forecasting Daily Residential Natural Gas Consumption: A Dynamic Temperature Modelling Approach
   Working Papers, Bogazici University, Department of Economics View citations (1)
5. Goodness-of-fit of the Heston, Variance-Gamma and Normal-Inverse Gaussian Models
   Working Papers, Bogazici University, Department of Economics 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 View citations (7)
   See also Working Paper A Comparative Goodness-of-fit Analysis of Distributions of Some Levy Processes and Heston Model to Stock Index Returns, Working Papers (2014) (2014)
2. Statistical Arbitrage with Pairs Trading
   International Review of Finance, 2016, 16, (2), 307-319 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 View citations (4)

2015

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

2013

6. A Stochastic Model for Natural Gas Consumption: An Application for Turkey
   Iktisat Isletme ve Finans, 2013, 28, (332), 33-46 View citations (1)
7. 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 View citations (2)

2012

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

2011

9. Pricing of temperature-based weather options for Turkey
   Iktisat Isletme ve Finans, 2011, 26, (309), 33-50 View citations (2)
10. Pricing temperature-based weather contracts: an application to China
    Applied Economics Letters, 2011, 18, (14), 1349-1354 View citations (6)