Deniz ERDEMLIOGLU

Deniz ERDEMLIOGLU
Associate Professor
Ph.D. in Economics - KU Leuven
Academic Director
Track: Finance
LEM Member
Education
  • 2013 : Ph.D. in Finance, Louvain School of Management, University of Namur, Belgium
  • 2013 : Ph.D. in Economics, KU Leuven, Belgium
  • 2008 : M.A. in Economics and Finance, Bogazici University, Turkey
  • 2008 : M.A. in Economics, The State University of New York at Binghamton, USA
Professional Experiences
Academic Experience
  • 2011 - 2011, Visiting Scholar, Federal Reserve Bank of St. Louis, Saint Louis, Missouri, USA
  • 2010 - 2010, Visiting Researcher, University of Maastricht, Maastricht, Netherlands
  • 2009 - 2013, Researcher, Louvain School of Management, Namur, Belgium
Scientific prizes and Awards
Awards
  • 2009 : Inter-university Attraction Pole (PAI) Doctoral Fellowship, University of Namur
  • 2008 : National Scholars Honor Society Membership Award, The State University of New York at Binghamton
  • 2008 : International Student Academic Award, The State University of New York at Binghamton
  • 2006 : University Tuition Scholarship for Masters Program, The State University of New York at Binghamton
  • 2006 : Pre-academic Training Program Fellowship, Boston University
  • 2006 : Fulbright Prize, The State University of New York at Binghamton
  • 2000 : University Full Tuition Scholarship for Bachelors Program, Kadir Has University
Honors
  • 2005 : High Honor Graduate - 2nd ranked - Faculty of Economics and Management, Kadir Has University
  • 2005 : High Honor Graduate - 1st ranked - Department of Economics, Kadir Has University
Published Papers in Refereed Journals
  • Erdemlioglu D., Ahrens M., McMahon M., Neely C. J., Yang X., (2024). Mind Your Language: Market Responses to Central Bank Speeches, Journal of Econometrics, -- (in press) forthcoming.
  • Bajatovic D., Erdemlioglu D., Gradojevic N., (2024). Drilling Deeper: Non-Linear, Non-Parametric Natural Gas Price and Volatility Forecasting, Energy Journal, 45 (4) 81-105.
  • Erdemlioglu D., Yang X., (2022). News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach, Journal of Financial Econometrics, nbac015 (2022) 1-38.
Show all
  • Erdemlioglu D., Gradojevic N., (2021). Heterogeneous investment horizons, risk regimes and realized jumps, International Journal of Finance and Economics, 26 (1) 617-643.
  • Erdemlioglu D., Petitjean M., Vargas N., (2021). Market Instability and Technical Trading at High Frequency: Evidence from NASDAQ Stocks, Economic Modelling, 102 (September) 1-14.
  • Gradojevic N., Erdemlioglu D., Gencay Ramazan, (2020). A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage, Economic Modelling, 85 (2020) 57-73.
  • Nasini S., Erdemlioglu D., (2019). Multiple channels of financial contagion: an empirical analysis of stock price dynamics, Finance, 40 (1) 87-134.
  • Erdemlioglu D., Joliet R., (2019). Long-term asset allocation, risk tolerance and market sentiment, Journal of International Financial Markets, Institutions and Money, 62 (September) 1-19.
  • Dungey Mardi, Erdemlioglu D., Matei Marius, Yang Xiye, (2018). Testing for mutually exciting jumps and financial flights in high frequency data, Journal of Econometrics, 202 (1) 18-44.
  • Gradojevic N., Erdemlioglu D., Gencay R., (2017). Informativeness of trade size in foreign exchange markets, Economics Letters, 150 27-33.
  • Erdemlioglu D., Laurent S., Neely C., (2015). Which continuous-time model is most appropriate for exchange rates?, Journal of Banking & Finance, 61 (2) 256–268.
  • Dewachter H., Erdemlioglu D., Gnabo J., Lecourt C., (2014). The intra-day impact of communication on eurodollar , Journal of International Money and Finance, 43 (4) 131-154.
Book Chapters
  • Erdemlioglu D., Laurent S., Neely C., (2013), Econometric modeling of exchange rate volatility and jumps, in: Handbook of Research Methods and Applications in Empirical Finance.
Research field
  • Financial Econometrics, Volatility Modeling, Financial Contagion, Tail Risk Measurement, High-Frequency Data Analysis
Teaching
Grande Ecole (Bachelor cycle) :
  • Data analytics and visualization for finance
  • Financial markets
  • Money and capital markets
  • Asset and risk management
  • Finance fundamentals
Grande Ecole (Master cycle) :
  • International finance
  • Advanced fixed income analysis
MSc in Investment Banking and Capital Markets :
  • Introduction to portfolio analysis
  • Machine learning
Post graduate program :
  • Time series econometrics