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Rehim Kilic

Assistant Professor
Curriculum Vitae [PDF]

Dr. Kilic joined the School of Economics as an Assistant Professor in 2002. Dr. Kilic holds a Ph.D. in Economics from Michigan State University. His research areas are Econometrics and International Finance. Dr. Kilic has published articles in a number of peer reviewed journals, including Econometrics Journal, Studies in Nonlinear Dynamics and Econometrics, and Journal of International Money and Finance. His research includes unit root testing in nonlinear threshold models, testing nonlinearity in economic and financial time series, developing long-memory conditional volatility models, developing persistence measures in nonlinear models, exploring nonlinear models to investigate exchange rate puzzles including purchasing power parity puzzle and uncovered interest rate parity puzzle. His current research includes developing tests for co-integration in nonlinear smooth transition autoregressive models, tests for long memory in economic and financial data, investigating Central Bank intervention in currency markets, examining uncovered interest parity in different horizons in both emerging and developed economies, and testing for growth models. His teaching includes econometrics, statistics and probability, international finance, global financial markets, macroeconomics and forecasting.

Publications

• Kilic, R. (2008) "Further on nonlinearity, persistence, and integration properties of real exchange rates", forthcoming, Journal of International Financial Markets, Institutions and Money.
• Kilic, R. (2007) "Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution", Studies in Nonlinear Dynamics & Econometrics: Vol. 11: No. 3, Article 1.
• Baillie, R. T. and Kilic, R., (2006) "Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?" (Previously circulated as "Asymmetry and Nonlinearity in Uncovered Interest Rate Parity") Journal of International Money and Finance 25, 22-47.
• Kilic, R. , (2004) "Linearity tests and stationarity" The Econometrics Journal 7, 55-62.