Sermin Gungor is a Research Advisor in the Financial Markets Department. Her research spans a diverse area of financial economics and econometrics, with a focus on asset pricing. Sermin holds a Ph.D. in Economics from Emory University and a MSc in Financial Economics and Econometrics from the University of Essex. She also received a bachelor’s degree in Economics from Marmara University. Her prior work experience includes a lecturer position in Istanbul Commerce University.
Staff Analytical Notes
This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank’s measures have improved since the financial crisis. Furthermore, GoC market liquidity deteriorated following several stressful events: the euro crisis in 2011, the taper tantrum in 2013 and the oil price shock in 2015. In all three cases, the deterioration remained within historical norms and liquidity returned to normal levels afterwards.
Staff Discussion Papers
Staff Working Papers
Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type EffectsWe develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns.
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying CovariancesWe develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.
- “The Life-cycle of Trading Activity and Liquidity of Government of Canada Bonds: Evidence from Cash, Repo, and Securities Lending Markets” (with N. Bulusu), Canadian Journal of Economics, forthcoming.
- “Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects”
(with R. Luger), Journal of Econometrics, forthcoming.
- “Exact Inference in Predictive Quantile Regressions with an Application to Stock Returns”
(with R. Luger), Journal of Financial Econometrics, forthcoming.
- "Multivariate Tests of Mean-Variance Efficiency and Spanning with Large Number of Assets and Time-Varying Covariances"
(with R. Luger), Journal of Business & Economic Statistics, 34:2, 161-175, 2016.
- “Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings”
(with R. Luger), L'Actualité économique, 91, 35-65, 2015.
- "Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach"
(with R. Luger), Journal of Business & Economic Statistics, 31:1, 66-77, 2013.
- "Exact Distribution-Free Tests of Mean-Variance Efficiency"
(with R. Luger), Journal of Empirical Finance, 16, 816-829, 2009.