Now showing items 1-3 of 3

    • Commonality in FX liquidity: High-frequency evidence 

      Şensoy, Ahmet; Uzun, Sevcan; Lucey, B. M. (Elsevier, 2020-06)
      We test the existence and reveal the main properties of commonality in liquidity for the foreign exchange (FX) markets at the high-frequency level. Accordingly, commonality in FX liquidity exists even at the high-frequency ...
    • Multiscale systematic risk 

      Gençay, R.; Selçuk, F.; Whitcher, B. (Pergamon Press, 2005)
      In this paper we propose a new approach to estimating systematic risk (the beta of an asset). The proposed method is based on a wavelet multiscaling approach that decomposes a given time series on a scale-by-scale basis. ...
    • A tale of two risks in the EMU sovereign debt markets 

      Akyıldırım, E.; Nguyen, D. K.; Şensoy, Ahmet (Elsevier B.V., 2018-09)
      We introduce time-varying systematic yield risk (SYR) and systematic liquidity risk (SLR) measures for sovereign bond markets of the major European Monetary Union (EMU) country members. Using daily sovereign bond data, our ...