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Tolga Cenesizoglu

Associate Professor,  Department of Finance


Tolga Cenesizoglu

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email: tolga.cenesizoglu@hec.ca
Phone: 514 340-5668
Secretary: 514 340-6608
Fax: 514 340-5632
Office: 4.232

Personal page

Education

  • B.Sc. (Industrial Engineering), Bogazici University
  • M.A. (Economics), University of California, San Diego
  • M.Sc. (Statistics), University of California, San Diego
  • Ph.D. (Economics), University of California, San Diego

Expertise

  • Asset pricing
  • Financial economics
  • Econometrics
  • Forecasting
  • Macroeconomics

This publication selection covers the last five years.


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Journal articles (8)


CENESIZOGLU, Tolga, LAROCQUE, Denis, NORMANDIN, Michel; « The Conventional Monetary Policy and Term Structure of Interest Rates During the Financial Crisis », Macroeconomic Dynamics, 2019 (status : online).

CENESIZOGLU, Tolga, GRASS, Gunnar; « Bid- and ask-side liquidity in the NYSE limit order book », Journal of Financial Markets, vol. 38, 2018, p. 14-38.

CENESIZOGLU, Tolga, DE OLIVEIRA FERRAZOLI RIBEIRO, Fabio, REEVES, Jonathan; « Beta forecasting at long horizons », International Journal of Forecasting, vol. 33, no 4, 2017, p. 936-957.

CENESIZOGLU, Tolga, LIU, Qianqiu, REEVES, Jonathan, WU, Haifeng; « Monthly Beta Forecasting with Low-, Medium- and High-Frequency Stock Returns », Journal of Forecasting, vol. 35, no 6, 2016, p. 528-541.

CENESIZOGLU, Tolga; « The Reaction of Stock Returns to News About Fundamentals », Management Science, vol. 61, no 5, Mai 2015, p. 1072-1093.

PINEAU, Pierre-Olivier, DUPUIS, Debbie J., CENESIZOGLU, Tolga; « Assessing the value of power interconnections under climate and natural gas price risks », Energy, vol. 82, 2015, p. 128-137.

CENESIZOGLU, Tolga, ESSID, Badye Omar; « The Effect of Monetary Policy on Credit Spreads », The Journal of Financial Research, Vol. 35, no 4, Décembre 2012, p. 581-613.

CENESIZOGLU, Tolga, TIMMERMANN, Allan; « Do return prediction models add economic value? », Journal of Banking & Finance, vol. 36, no 11, Novembre 2012, p. 2974-2987.



This award and honor selection covers the last five years.


CENESIZOGLU, Tolga, ESSID, Badye Omar
Prix du meilleur article : «The Effect of Monetary Policy on Credit Spreads», The Journal of Financial Research, 2013


This selection of supervision activities covers the last five years.

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Master's thesis direction – MSc in Management (3)

In codirection with : DORION, Christian
Les déterminants macroéconomiques de la prime de risque de volatilité, by Philippe Hébert
January 2016

In codirection with : PAPAGEORGIOU, Nicolas
Stratégies d'allocation d'actifs basées sur les changements de régime, by Carl Dussault
January 2014


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Supervised project supervision – MSc in Management (4)

Default Correlation and Pricing a Kth-To-default Basket CDS , by Pourya Anasori
March 2015

Regime Change: Implications of Macro Shifts on Asset Class and Portfolio Performance , by Francis Grégoire
May 2013

Données à haute fréquence: application du modèle MIDAS à la couverture de portefeuille , by Philippe Berthiaume
January 2013

Les rendements des fonds de couverture sont-ils neutres au marché? Une étude des quantiles conditionnels , by Daphnée Roy
January 2013

Winter 2018

2-201-15
2-201-15A

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