Sermin Gungor

University of Western Ontario

Visiting Associate Professor

Social Science Center

Social Science Center, Room 4056

London, Ottawa N6A 5C2

Canada

SCHOLARLY PAPERS

6

DOWNLOADS

574

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Funding Risk, Market Liquidity, Market Volatility and the Cross-Section of Asset Returns

Number of pages: 55 Posted: 30 Jan 2015 Last Revised: 29 Oct 2016
Bank of Canada, Université de Montréal - CIREQ - Département de sciences économiques and University of Western Ontario
Downloads 299 (125,567)
Citation 6

Abstract:

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Funding risk, Stock returns, Limits to arbitrage, Market liquidity, Volatility

2.

Intermediary Leverage Shocks and Funding Conditions

Number of pages: 56 Posted: 11 Aug 2020 Last Revised: 06 Jan 2021
Bank of Canada, Université de Montréal - CIREQ - Département de sciences économiques and University of Western Ontario
Downloads 120 (284,066)

Abstract:

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Broker-dealers, Leverage, Asset pricing

3.

Search-for-Yield in Canadian Fixed-Income Mutual Funds and Monetary Policy

Bank of Canada Working Paper No. 2014-3
Number of pages: 36 Posted: 19 Feb 2014
Sermin Gungor and Jesus A. Sierra Jimenez
University of Western Ontario and Vancouver Island University (VIU) - Faculty of Management
Downloads 52 (460,808)

Abstract:

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Mutual funds, active management, low-for-long, monetary policy, linear factor model

4.

Exact Inference in Predictive Quantile Regressions with an Application to Stock Returns

Number of pages: 42 Posted: 02 Oct 2017
Sermin Gungor and Richard Luger
University of Western Ontario and Université Laval
Downloads 46 (485,236)

Abstract:

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Predictability, Quantile regression, Multiple testing, Persistent predictor

5.

Government of Canada Securities in the Cash, Repo and Securities Lending Markets

Bank of Canada Staff Discussion Paper 2018-4
Number of pages: 45 Posted: 13 Feb 2018
Narayan Bulusu and Sermin Gungor
Bank of Canada and University of Western Ontario
Downloads 30 (563,556)
Citation 2

Abstract:

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Financial markets, Wholesale funding

6.

Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects

Number of pages: 57 Posted: 02 Oct 2017
Sermin Gungor and Richard Luger
University of Western Ontario and Université Laval
Downloads 27 (581,468)

Abstract:

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Stock returns, Predictive regression, Multiple predictors, Unit roots