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C. Coşkun Küçüközmen
(C COSKUN KUCUKOZMEN)

Personal Details

First Name:Cumhur
Middle Name:
Last Name:Kucukozmen
Suffix:
RePEc Short-ID:pku99
http://www.coskunkucukozmen.com
+ 90 232 488 98 68

Affiliation

Uluslararası Ticaret ve Finansman Bölümü
İktisadi ve İdari Bilimler Fakültesi
İzmir Ekonomi Üniversitesi

İzmir, Turkey
http://itf.ieu.edu.tr/
RePEc:edi:utieutr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. C. Guermat & K. Hadri & C. C. Kucukozmen, 2003. "Forecasting Value at Risk in Emerging Arab Stock Markets," Discussion Papers 0303, University of Exeter, Department of Economics.
  2. Kaddour Hadri & C. Guermat & C.C. Kucukozmen, 1999. "Forecasting Volatility With Asymmetric Conditional Models: Evidence From Emerging Arab Stock Markets," Working Papers 1999_06, University of Liverpool, Department of Economics.

Articles

  1. Kayalar, Derya Ezgi & Küçüközmen, C. Coşkun & Selcuk-Kestel, A. Sevtap, 2017. "The impact of crude oil prices on financial market indicators: copula approach," Energy Economics, Elsevier, vol. 61(C), pages 162-173.
  2. I. Hakan Yetkiner & C. Coskun Küçüközmen, 2012. "Guest Editors' Introduction," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S4), pages 3-6, November.
  3. Mert URAL & C. Coskun KUCUKOZMEN, 2011. "Analyzing the Dual Long Memory in Stock Market Returns," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 11(Special I), pages 19-28.
  4. Richard Harris & C. Coskun Kucukozmen, 2001. "The empirical distribution of stock returns: evidence from an emerging European market," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 367-371.
  5. Harris, Richard D. F. & Kucukozmen, C. Coskun, 2001. "Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management," European Journal of Operational Research, Elsevier, vol. 134(3), pages 481-492, November.
  6. Coşkun KÜÇÜKÖZMEN, 1999. "Bankacılıkta Risk Yönetimi Ve Sermaye Yeterliliği Value At Risk Uygulamaları," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 14(156), pages 71-87.
  7. Coşkun KÜÇÜKÖZMEN, 1996. "Mevduat Sigortası," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 11(122), pages 44-53.
    RePEc:taf:apfiec:v:14:y:2004:i:3:p:195-202 is not listed on IDEAS

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

    Sorry, no citations of working papers recorded.

Articles

  1. Kayalar, Derya Ezgi & Küçüközmen, C. Coşkun & Selcuk-Kestel, A. Sevtap, 2017. "The impact of crude oil prices on financial market indicators: copula approach," Energy Economics, Elsevier, vol. 61(C), pages 162-173.

    Cited by:

    1. Mokni, Khaled & Youssef, Manel, 2019. "Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 14-33.
    2. Sun, Xiaolei & Liu, Chang & Wang, Jun & Li, Jianping, 2020. "Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
    3. Areli Bermudez Delgado, Nancy & Bermudez Delgado, Estefanía & Saucedo, Eduardo, 2018. "The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 266-275.
    4. Wen, Shigang & Li, Jianping & Huang, Chuangxia & Zhu, Xiaoqian, 2023. "Extreme risk spillovers among traditional financial and FinTech institutions: A complex network perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 190-202.
    5. Pal, Debdatta & Mitra, Subrata K., 2019. "Oil price and automobile stock return co-movement: A wavelet coherence analysis," Economic Modelling, Elsevier, vol. 76(C), pages 172-181.
    6. Dogah, Kingsley E. & Premaratne, Gamini, 2018. "Sectoral exposure of financial markets to oil risk factors in BRICS countries," Energy Economics, Elsevier, vol. 76(C), pages 228-256.
    7. Jiang, Yong & Ren, Yi-Shuai & Narayan, Seema & Ma, Chao-Qun & Yang, Xiao-Guang, 2022. "Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    8. Waqas Hanif & Jose Arreola Hernandez & Perry Sadorsky & Seong-Min Yoon, 2020. "Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?," Post-Print hal-02567429, HAL.
    9. Yu, L. & Li, Y.P. & Huang, G.H. & Fan, Y.R. & Nie, S., 2018. "A copula-based flexible-stochastic programming method for planning regional energy system under multiple uncertainties: A case study of the urban agglomeration of Beijing and Tianjin," Applied Energy, Elsevier, vol. 210(C), pages 60-74.
    10. Khaled Mokni & Manel Youssef, 2020. "Empirical analysis of the cross‐interdependence between crude oil and agricultural commodity markets," Review of Financial Economics, John Wiley & Sons, vol. 38(4), pages 635-654, October.
    11. Apergis, Nicholas & Pan, Wei-Fong & Reade, James & Wang, Shixuan, 2023. "Modelling Australian electricity prices using indicator saturation," Energy Economics, Elsevier, vol. 120(C).
    12. Maghyereh, Aktham & Abdoh, Hussein, 2020. "Asymmetric effects of oil price uncertainty on corporate investment," Energy Economics, Elsevier, vol. 86(C).
    13. Belhassine, Olfa & Karamti, Chiraz, 2021. "Volatility spillovers and hedging effectiveness between oil and stock markets: Evidence from a wavelet-based and structural breaks analysis," Energy Economics, Elsevier, vol. 102(C).
    14. Syed Jawad Hussain Shahzad & Elie Bouri & Naveed Raza & David Roubaud, 2019. "Asymmetric impacts of disaggregated oil price shocks on uncertainties and investor sentiment," Review of Quantitative Finance and Accounting, Springer, vol. 52(3), pages 901-921, April.
    15. Lu-Tao Zhao & Guan-Rong Zeng & Ling-Yun He & Ya Meng, 2020. "Forecasting Short-Term Oil Price with a Generalised Pattern Matching Model Based on Empirical Genetic Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1151-1169, April.
    16. Mensi, Walid & Hammoudeh, Shawkat & Vinh Vo, Xuan & Hoon Kang, Sang, 2021. "Volatility spillovers between oil and equity markets and portfolio risk implications in the US and vulnerable EU countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    17. Khaled Mokni, 2018. "Empirical Analysis Of The Relationship Between Oil And Precious Metals Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 1-20, March.
    18. Ren, Guorui & Wan, Jie & Liu, Jinfu & Yu, Daren, 2020. "Spatial and temporal correlation analysis of wind power between different provinces in China," Energy, Elsevier, vol. 191(C).
    19. Wang, Xunxiao & Wang, Yudong, 2019. "Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective," Energy Economics, Elsevier, vol. 80(C), pages 995-1009.
    20. Zhu, Pengfei & Tang, Yong & Wei, Yu & Dai, Yimin & Lu, Tuantuan, 2021. "Relationships and portfolios between oil and Chinese stock sectors: A study based on wavelet denoising-higher moments perspective," Energy, Elsevier, vol. 217(C).
    21. Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
    22. You, Wanhai & Guo, Yawei & Zhu, Huiming & Tang, Yong, 2017. "Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression," Energy Economics, Elsevier, vol. 68(C), pages 1-18.
    23. Mahadeo, Scott M.R. & Heinlein, Reinhold & Legrenzi, Gabriella D., 2019. "Energy contagion analysis: A new perspective with application to a small petroleum economy," Energy Economics, Elsevier, vol. 80(C), pages 890-903.
    24. Tian, Meiyu & Li, Wanyang & Wen, Fenghua, 2021. "The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    25. Xiao, Di & Wang, Jun, 2020. "Dynamic complexity and causality of crude oil and major stock markets," Energy, Elsevier, vol. 193(C).
    26. Nguyen, Quynh Nga & Bedoui, Rihab & Majdoub, Najemeddine & Guesmi, Khaled & Chevallier, Julien, 2020. "Hedging and safe-haven characteristics of Gold against currencies: An investigation based on multivariate dynamic copula theory," Resources Policy, Elsevier, vol. 68(C).
    27. Chkir, Imed & Guesmi, Khaled & Brayek, Angham Ben & Naoui, Kamel, 2020. "Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing countries," Research in International Business and Finance, Elsevier, vol. 54(C).
    28. Boubaker, Heni & Larbi, Ons Ben, 2022. "Dynamic dependence and hedging strategies in BRICS stock markets with oil during crises," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 263-279.
    29. Scott M. R. Mahadeo & Reinhold Heinlein & Gabriella Deborah Legrenzi, 2019. "Tracing the Genesis of Contagion in the Oil-Finance Nexus," CESifo Working Paper Series 7925, CESifo.
    30. Ferreira, Paulo & Pereira, Éder & Silva, Marcus, 2020. "The relationship between oil prices and the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    31. Ben-Salha, Ousama & Mokni, Khaled, 2022. "Detrended cross-correlation analysis in quantiles between oil price and the US stock market," Energy, Elsevier, vol. 242(C).
    32. Singhal, Shelly & Choudhary, Sangita & Biswal, Pratap Chandra, 2019. "Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico," Resources Policy, Elsevier, vol. 60(C), pages 255-261.
    33. Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019. "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, vol. 80(C), pages 524-535.
    34. Sadeghi, Abdorasoul & Roudari, Soheil, 2022. "Heterogeneous effects of oil structure and oil shocks on stock prices in different regimes: Evidence from oil-exporting and oil-importing countries," Resources Policy, Elsevier, vol. 76(C).
    35. Kentaka Aruga & Md. Monirul Islam & Arifa Jannat, 2020. "Effects of COVID-19 on Indian Energy Consumption," Sustainability, MDPI, vol. 12(14), pages 1-15, July.
    36. Paul R. Dewick & Shuangzhe Liu, 2022. "Copula Modelling to Analyse Financial Data," JRFM, MDPI, vol. 15(3), pages 1-11, February.
    37. Mouna Youssef & Khaled Mokni, 2023. "Herding behavior in stock markets of oil-importing and oil-exporting countries: the role of oil price," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 44-58, February.
    38. Lu-Tao Zhao & Guan-Rong Zeng & Wen-Jing Wang & Zhi-Gang Zhang, 2019. "Forecasting Oil Price Using Web-based Sentiment Analysis," Energies, MDPI, vol. 12(22), pages 1-18, November.
    39. Hashmi, Shabir Mohsin & Chang, Bisharat Hussain & Huang, Liangfang & Uche, Emmanuel, 2022. "Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model," Resources Policy, Elsevier, vol. 75(C).
    40. Tsuji, Chikashi, 2018. "New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries," Applied Energy, Elsevier, vol. 229(C), pages 1202-1217.
    41. Ho, Anson T.Y. & Huynh, Kim P. & Jacho-Chávez, David T., 2019. "Using nonparametric copulas to measure crude oil price co-movements," Energy Economics, Elsevier, vol. 82(C), pages 211-223.
    42. Mokni, Khaled, 2020. "A dynamic quantile regression model for the relationship between oil price and stock markets in oil-importing and oil-exporting countries," Energy, Elsevier, vol. 213(C).
    43. David Iheke Okorie & Boqiang Lin, 2022. "Crude oil market and Nigerian stocks: An asymmetric information spillover approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4002-4017, October.
    44. Li, Jie & Li, Ping, 2021. "Empirical analysis of the dynamic dependence between WTI oil and Chinese energy stocks," Energy Economics, Elsevier, vol. 93(C).
    45. Osaretin Kayode Omoregie & Sodik Adejonwo Olofin, 2020. "Corporate Performance in Nigeria: The Effect of Oil Price and Exchange Rate Fluctuations," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 170-179.
    46. Liang, Xuedong & Luo, Peng & Li, Xiaoyan & Wang, Xia & Shu, Lingli, 2023. "Crude oil price prediction using deep reinforcement learning," Resources Policy, Elsevier, vol. 81(C).
    47. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2021. "Financial stress, economic policy uncertainty, and oil price uncertainty," Energy Economics, Elsevier, vol. 104(C).
    48. Roudari, Soheil & Mensi, Walid & Kharusi, Sami Al & Ahmadian-Yazdi, Farzaneh, 2023. "Impacts of oil shocks on stock markets in Norway and Japan: Does monetary policy's effectiveness matter?," International Economics, Elsevier, vol. 173(C), pages 343-358.
    49. Fernandes, Mário Correia & Dias, José Carlos & Nunes, João Pedro Vidal, 2021. "Modeling energy prices under energy transition: A novel stochastic-copula approach," Economic Modelling, Elsevier, vol. 105(C).
    50. Balli, Faruk & O Balli, Hatice & Nguyen, Thi Thu Ha, 2023. "Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?," Journal of Commodity Markets, Elsevier, vol. 31(C).
    51. Kassouri, Yacouba & Altıntaş, Halil & Bilgili, Faik, 2020. "An investigation of the financial resource curse hypothesis in oil-exporting countries: The threshold effect of democratic accountability," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
    52. Mokni, Khaled & Mansouri, Faysal, 2017. "Conditional dependence between international stock markets: A long memory GARCH-copula model approach," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 116-131.
    53. Manel Youssef & Khaled Mokni, 2019. "Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries?," Economies, MDPI, vol. 7(3), pages 1-22, July.
    54. Zhu, Pengfei & Tang, Yong & Wei, Yu & Lu, Tuantuan, 2021. "Multidimensional risk spillovers among crude oil, the US and Chinese stock markets: Evidence during the COVID-19 epidemic," Energy, Elsevier, vol. 231(C).
    55. Ji, Qiang & Liu, Bing-Yue & Zhao, Wan-Li & Fan, Ying, 2020. "Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS," International Review of Financial Analysis, Elsevier, vol. 68(C).
    56. Kumar, Pawan & Singh, Vipul Kumar, 2022. "Systemic spillover dynamics of crude oil with Indian Financial indicators in post WPI revision and COVID era," Resources Policy, Elsevier, vol. 77(C).
    57. Kliber, Agata & Łęt, Blanka, 2022. "Degree of connectedness and the transfer of news across the oil market and the European stocks," Energy, Elsevier, vol. 239(PC).

  2. Mert URAL & C. Coskun KUCUKOZMEN, 2011. "Analyzing the Dual Long Memory in Stock Market Returns," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 11(Special I), pages 19-28.

    Cited by:

    1. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
    2. Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).

  3. Richard Harris & C. Coskun Kucukozmen, 2001. "The empirical distribution of stock returns: evidence from an emerging European market," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 367-371.

    Cited by:

    1. Menezes, Carmen F. & Wang, X.Henry, 2005. "Increasing outer risk," Journal of Mathematical Economics, Elsevier, vol. 41(7), pages 875-886, November.
    2. W. D. Walls, "undated". "Modeling heavy tails and skewness in film returns," Working Papers 2014-48, Department of Economics, University of Calgary, revised 23 Sep 2014.
    3. Saadet Kirbas-Kasman & Adnan Kasman, 2003. "Volatility of ISE and Business Cycle," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 3(1), pages 67-84.
    4. Rodolfo Aquino, 2006. "Efficiency of the Philippine stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 13(7), pages 463-470.
    5. John Douglas (J.D.) Opdyke, 2007. "Comparing Sharpe ratios: So where are the p-values?," Journal of Asset Management, Palgrave Macmillan, vol. 8(5), pages 308-336, December.

  4. Harris, Richard D. F. & Kucukozmen, C. Coskun, 2001. "Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management," European Journal of Operational Research, Elsevier, vol. 134(3), pages 481-492, November.

    Cited by:

    1. Yang, Jian & Cabrera, Juan & Wang, Tao, 2010. "Nonlinearity, data-snooping, and stock index ETF return predictability," European Journal of Operational Research, Elsevier, vol. 200(2), pages 498-507, January.

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