Sermin Gungor : Citation Profile


Are you Sermin Gungor?

Bank of Canada

4

H index

0

i10 index

36

Citations

RESEARCH PRODUCTION:

3

Articles

8

Papers

RESEARCH ACTIVITY:

   9 years (2009 - 2018). See details.
   Cites by year: 4
   Journals where Sermin Gungor has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 4 (10 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu522
   Updated: 2019-09-14    RAS profile: 2015-08-30    
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Relations with other researchers


Works with:

Yang, Jun (3)

Luger, Richard (3)

Bulusu, Narayan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Sermin Gungor.

Is cited by:

Pesaran, M (6)

Yamagata, Takashi (6)

Fontaine, Jean-Sebastien (4)

Guidolin, Massimo (3)

Ravazzolo, Francesco (3)

Walton, Adrian (3)

Rivadeneyra, Francisco (3)

Bianchi, Daniele (3)

Garriott, Corey (3)

Ouellet Leblanc, Guillaume (2)

Khalaf, Lynda (2)

Cites to:

Vayanos, Dimitri (16)

Pedersen, Lasse (8)

Amihud, Yakov (6)

Dufour, Jean-Marie (6)

Fontaine, Jean-Sebastien (5)

Shanken, Jay (5)

Adrian, Tobias (5)

Khalaf, Lynda (5)

Roll, Richard (5)

Luger, Richard (4)

Yang, Jun (3)

Main data


Where Sermin Gungor has published?


Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada4
Staff Analytical Notes / Bank of Canada3

Recent works citing Sermin Gungor (2018 and 2017)


YearTitle of citing document
2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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2018Government of Canada Fixed-Income Market Ecology. (2018). Garriott, Corey ; Usche, Andr ; Berger-Soucy, Lanne. In: Discussion Papers. RePEc:bca:bocadp:18-10.

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2018Alternative Futures for Government of Canada Debt Management. (2018). Rivadeneyra, Francisco ; Garriott, Corey ; Walton, Adrian ; Nolin, Guillaume ; Lefebvre, Sophie. In: Discussion Papers. RePEc:bca:bocadp:18-15.

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2018The Government of Canada Debt Securities Data Set. (2018). Rivadeneyra, Francisco ; Rondon, Gabriel Rodriguez ; Gao, Jeffrey. In: Technical Reports. RePEc:bca:bocatr:112.

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2019Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach. (2019). Ouellet Leblanc, Guillaume ; Shotlander, Ryan ; Bedard-Page, Guillaume ; Arora, Rohan. In: Technical Reports. RePEc:bca:bocatr:115.

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2017Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects. (2017). Gungor, Sermin ; Luger, Richard . In: Staff Working Papers. RePEc:bca:bocawp:17-10.

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2017What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?. (2017). Fontaine, Jean-Sebastien ; Walton, Adrian ; Pinnington, James . In: Staff Working Papers. RePEc:bca:bocawp:17-54.

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2018The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market. (2018). Gao, Jeffrey ; Thompson, Jacob ; Jin, Jianjian . In: Staff Working Papers. RePEc:bca:bocawp:18-35.

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2018What Drives Interbank Loans? Evidence from Canada. (2018). Guérin, Pierre ; Bulusu, Narayan ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:18-5.

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2019Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market. (2019). Arora, Rohan ; Yang, Jun ; Sandhu, Jabir ; Leblanc, Guillaume Ouellet. In: Staff Analytical Notes. RePEc:bca:bocsan:19-25.

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2017Asset Pricing and Excess Returns over the Market Return. (2017). Horenstein, Alex ; Ahn, Seung C. In: Working Papers. RePEc:mia:wpaper:2017-12.

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2017Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section. (2017). Ravazzolo, Francesco ; Guidolin, Massimo ; Bianchi, Daniele. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:1:p:110-129.

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2017Funding Constraints and Market Illiquidity in the European Treasury Bond Market. (2017). Moinas, Sophie ; Valentex, Giorgio ; Nguyen, Minh. In: TSE Working Papers. RePEc:tse:wpaper:31753.

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Works by Sermin Gungor:


YearTitleTypeCited
2017The Life Cycle of Government of Canada Bonds in Core Funding Markets In: Bank of Canada Review.
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article5
2018Government of Canada Securities in the Cash, Repo and Securities Lending Markets In: Discussion Papers.
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paper1
2013Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances In: Staff Working Papers.
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paper1
2014Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy In: Staff Working Papers.
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paper2
2014Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings In: Staff Working Papers.
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paper1
2015Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns In: Staff Working Papers.
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paper4
2017Has Liquidity in Canadian Government Bond Markets Deteriorated? In: Staff Analytical Notes.
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paper5
2018Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated? In: Staff Analytical Notes.
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paper2
2018Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated? In: Staff Analytical Notes.
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paper0
2009Exact distribution-free tests of mean-variance efficiency In: Journal of Empirical Finance.
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article6
2013Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach In: Journal of Business & Economic Statistics.
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article9

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