Economics · Bilkent University
Taner Yiğit
Associate Professor of Economics
Department of Economics, Bilkent University
ECONOMETRICS · TIME SERIES ANALYSIS · FINANCIAL ECONOMETRICS · APPLIED FINANCE · NETWORKS
My research focuses on econometric methods for time-series and financial data, with particular interests in nonlinear dependence, forecasting, financial risk, and financial networks. My current research includes new methods for measuring and exploiting nonlinear dependence, joint VaR–ES forecasting, and models of clearing and contagion in financial networks.
Current Research
Research →Auto-Hellinger Correlation for Serial Dependence: Rank-Based Tests
Submitted to the Journal of Time Series Analysis
PDF
Iterated Forecast Combination for Joint VaR–ES Prediction: Stabilizing Performance under Rule-Selection Uncertainty
Working paper
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Structural Model of Clearing and Contagion in Financial Networks
Working paper
PDF
Recent Publication
Publications →Nonparametric Seasonal Cointegration Tests
Teaching
Teaching →ECON 301 — Econometrics
ECON 510 — Graduate Econometrics
Curriculum Vitae
CV →An updated curriculum vitae will be available here.