Research & Publications
Published Papers:
Pairs Trading with Wavelet Transform. Quantitative Finance (2023), Vol. 23(7-8), pp. 1129-1154. Paper; Online Appendix; Code. (joint work with Burak Alparslan Eroğlu & Taner Yiğit).
A General Model for Financial Crises: An Application to Eurozone Crisis. International Review of Economics & Finance (2020), Vol. 70, pp. 202-229. (joint work with Barış Soybilgen & Thanasis Stengos) Data Files; Paper; Online Appendix;
Proportional Reinsurance and Investment in Multiple Risky Assets under Borrowing Constraints. Scandinavian Actuarial Journal (2020), Vol. 2020 (5), pp. 396-418. Paper;
Analysis Of The Seeds Of The Debt Crisis In Europe. The European Journal of Finance (2017), Vol. 23 (15), pp. 1589-1610. (joint work with Thanasis Stengos & Ege Yazgan) Data Files; Paper;
Maximizing Survival, Growth, and Goal Reaching Under Borrowing Constraints. Quantitative Finance (2015), Vol. 15 (22), pp. 2053-2065;
Minimizing The Lifetime Ruin Under Borrowing and Short-Selling Constraints. Scandinavian Actuarial Journal (2014), Vol. 2014 (6), pp. 535-560;
Erratum "Minimizing The Lifetime Ruin Under Borrowing and Short-Selling Constraints". Scandinavian Actuarial Journal (2015).
Work-in-Progress:
A Comprehensive Analysis of Risk Measure Model Combinations (joint work with Burak Alparslan Eroğlu & Taner Yiğit);
Solving Clearing Payments without Fixed Point Theorem (joint work with Burak Alparslan Eroğlu & Taner Yiğit);
Portfolio Compression versus Symmetrization (joint work with Burak Alparslan Eroğlu & Taner Yiğit);
Effect of Asymmetic Interconnectedness on Financial Crises (joint work with Burak Alparslan Eroğlu & Taner Yiğit);
Analysis of The World Economy: A Stochastic Optimal Control Approach (joint work with Burak Alparslan Eroğlu & Taner Yiğit);
Stochastic Differential Portfolio Games under Investment Constraints;
Book Chapters:
The Dynamics of Jump Intensity in Stock Prices: BIST 100 Example in Economics and Finance Studies (2023), eds. S. Alpatuğ, pp. 105-120, Özgür Yayınları. (joint work with Burak Alparslan Eroğlu);
Estimation of the Value-at-Risk and Expected Shortfall With Long Memory GAS Models, in Global Agenda in Social Sciences (2021) , eds. İ. Şiriner, M. Aydın, pp. 75-84, IJOPEC PUBLICATION (2021). (joint work with Burak Alparslan Eroğlu);
Taylor Rule for Turkey under Multiple Structural Breaks: Estimating the Forward-Looking Taylor Rule for Turkey under Multiple Structural Breaks, in Current Issues in Turkish Economy: Problems and Policy Suggestions (2019) , eds. M. Tekçe, Ç. Yurtseven, pp. 11-24, Peter Lang. (joint work with Burak Alparslan Eroğlu & Barış Soybilgen).
National Journal Publications:
Borsa Istanbul 100 Endeksi için Dinamik Riske Maruz Değer ve Beklenen Kayıp Analizi (Dynamic Value-at-Risk and Expected Shortfall Analysis for Borsa Istanbul 100 Index). Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi (2022), (50), 71-86. (joint work with Burak Eroğlu);
Reexamination of the BIST 100 Stock Volatility with Heterogeneous Autoregressive Realized Volatility Model. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi (2021), Vol. 25(2), 457-476. (joint work with Burak Eroğlu & Deniz İkizlerli);
The Impact of US Monetary Policy Announcements on Equity Prices: Evidence from Borsa Istanbul. Business and Economics Research Journal (2020), Vol. 11(4), pp. 939-952. (joint work with Burak Eroğlu & Deniz İkizlerli).
Theses:
Portfolio Optimisation for Distance to Barrier and Survival Time Maximisation, 2011, PhD Thesis, Imperial College London, U.K.;
Inflation Modelling, 2006, Master's Thesis, Istanbul Bilgi University, TURKEY.