Ibrahim Ergen

Tail dependence and indicators of systemic risk for large US depositories

Eliana Balla, Ibrahim Ergen, Marco Migueis · Journal of Financial Stability · 2014 · 59 citations · Full text

Empirical Finance, Tail Dependence, Extremal Dependence +17

Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach

Ibrahim Ergen, Islam Rizvanoghlu · Energy Economics · 2016 · 50 citations

Augmented Garch Approach, Economics, Volatility Modeling +6

Two-step methods in VaR prediction and the importance of fat tails

Ibrahim Ergen · Quantitative Finance · 2014 · 18 citations

Cyber Risk and Financial Stability

Jennifer Elliott, Christopher Wilson, Tanai Khiaonarong et al. · IMF staff discussion note · 2020 · 16 citations

Financial Institutions, Engineering, Information Security +19

Cyber Risk and Financial Stability: It’s a Small World After All

Jennifer Elliott, Christopher Wilson, Tanai Khiaonarong et al. · IMF Staff Discussion Notes · 2020 · 14 citations

Financial Institutions, Engineering, Information Security +22