Ramazan Gencay
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- Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events (RePEc:bca:bocawp:06-17)
by Alejandro García & Ramazan Gençay - Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures (RePEc:bca:bocawp:07-25)
by Alejandro García & Ramazan Gençay - Overnight Borrowing, Interest Rates and Extreme Value Theory (RePEc:bil:wpaper:0103)
by Faruk Selcuk & Ramazan Gencay - A Visual Test of Normality for Econometric Models (RePEc:bil:wpaper:9803)
by R.Gencay & Faruk Selcuk - A Visual Test for Noise Filtering in Nonlinear Time Series (RePEc:bil:wpaper:9806)
by Serdar Sayan & Faruk Selcuk & Ramazan Gencay - A Visual Goodness-of-Fit Test for Econometric Models (RePEc:bil:wpaper:9808)
by Faruk Selcuk & Ramazan Gencay - When Are Wavelets Useful Forecasters? (RePEc:bli:wpaper:1704)
by Ramazan Gencay & Ege Yazgan - The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms (RePEc:bpj:sndecm:v:1:y:1996:i:3:n:2)
by Gencay Ramazan & Dechert W. Davis - Technical Trading Rules and the Size of the Risk Premium in Security Returns (RePEc:bpj:sndecm:v:2:y:1997:i:2:n:1)
by Gencay Ramazan & Stengos Thanasis - Recovering cointegration via wavelets in the presence of non-linear patterns (RePEc:bpj:sndecm:v:25:y:2021:i:5:p:255-265:n:1)
by Martínez Compains Jorge & Rodríguez Carreño Ignacio & Gençay Ramazan & Trani Tommaso & Ramos Vilardell Daniel - A Visual Goodness-of-Fit Test for Econometric Models (RePEc:bpj:sndecm:v:3:y:1998:i:3:n:3)
by Gençay Ramazan & Selçuk Faruk - Time-to-Expiry Seasonalities in Eurofutures (RePEc:bpj:sndecm:v:4:y:2001:i:4:n:4)
by Ballocchi Giuseppe & Dacorogna Michael & Gençay Ramazan & Piccinato Barbara - EVIM: A Software Package for Extreme Value Analysis in MATLAB (RePEc:bpj:sndecm:v:5:y:2001:i:3:n:al1)
by Gençay Ramazan & Selçuk Faruk & Ulugülyagci Abdurrahman - Price Impact of Aggressive Liquidity Provision (RePEc:chf:rpseri:rp1621)
by Ramazan Gencay & Soheil Mahmoodzadeh & Jakub Rojcek & Michael C Tseng - Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint (RePEc:cir:cirwor:98s-35)
by René Garcia & Ramazan Gençay - Forecast Comparisons of Residential Housing Prices by Parametric and Semiparametric Regression (RePEc:cje:issued:v:29:y:1996:i:s1:p:515-19)
by Ramazan Gencay & Xian Yang - Muddying the waters: Who Induces Volatility in an Emerging Market? (RePEc:col:000122:016974)
by Paula A. Yepes-Henao & Diego A. Agudelo & Ramazan Gencay - Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures (RePEc:cuf:journl:y:2003:v:4:i:1:p:73-101)
by Ramazan Gencay & Aslihan Salih - Unit Root Tests With Wavelets (RePEc:cup:etheor:v:26:y:2010:i:05:p:1305-1331_99)
by Fan, Yanqin & Gençay, Ramazan - Asymmetry of Information Flow Between Volatilities Across Time Scales (RePEc:ecm:nawm04:90)
by Ramazan Gencay & Faruk Selcuk - Statistical properties of genetic learning in a model of exchange rate (RePEc:eee:dyncon:v:24:y:2000:i:5-7:p:981-1005)
by Arifovic, Jasmina & Gencay, Ramazan - Foreign exchange trading models and market behavior (RePEc:eee:dyncon:v:27:y:2003:i:6:p:909-935)
by Gencay, Ramazan & Dacorogna, Michel & Olsen, Richard & Pictet, Olivier - Hierarchical information and the rate of information diffusion (RePEc:eee:dyncon:v:36:y:2012:i:9:p:1372-1401)
by Xue, Yi & Gençay, Ramazan - Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment (RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46)
by Berger, Theo & Gençay, Ramazan - Investment horizon effect on asset allocation between value and growth strategies (RePEc:eee:ecmode:v:28:y:2011:i:4:p:1489-1497)
by In, Francis & Kim, Sangbae & Gençay, Ramazan - Private information and its origins in an electronic foreign exchange market (RePEc:eee:ecmode:v:33:y:2013:i:c:p:86-93)
by Gençay, Ramazan & Gradojevic, Nikola - A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage (RePEc:eee:ecmode:v:85:y:2020:i:c:p:57-73)
by Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan - Overnight interest rates and aggregate market expectations (RePEc:eee:ecolet:v:100:y:2008:i:1:p:27-30)
by Gradojevic, Nikola & Gencay, Ramazan - Is it Brownian or fractional Brownian motion? (RePEc:eee:ecolet:v:145:y:2016:i:c:p:52-55)
by Li, Meiyu & Gençay, Ramazan & Xue, Yi - Informativeness of trade size in foreign exchange markets (RePEc:eee:ecolet:v:150:y:2017:i:c:p:27-33)
by Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan - Tests for serial correlation of unknown form in dynamic least squares regression with wavelets (RePEc:eee:ecolet:v:155:y:2017:i:c:p:104-110)
by Li, Meiyu & Gençay, Ramazan - Application of wavelet decomposition in time-series forecasting (RePEc:eee:ecolet:v:158:y:2017:i:c:p:41-46)
by Zhang, Keyi & Gençay, Ramazan & Ege Yazgan, M. - Enhancing the predictability of crude oil markets with hybrid wavelet approaches (RePEc:eee:ecolet:v:182:y:2019:i:c:p:50-54)
by Uddin, Gazi Salah & Gençay, Ramazan & Bekiros, Stelios & Sahamkhadam, Maziar - A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators (RePEc:eee:ecolet:v:52:y:1996:i:2:p:129-135)
by Gencay, Ramazan & Xian, Yang - Optimization of technical trading strategies and the profitability in security markets (RePEc:eee:ecolet:v:59:y:1998:i:2:p:249-254)
by Gencay, Ramazan - Multi-scale tests for serial correlation (RePEc:eee:econom:v:184:y:2015:i:1:p:62-80)
by Gençay, Ramazan & Signori, Daniele - Pricing and hedging derivative securities with neural networks and a homogeneity hint (RePEc:eee:econom:v:94:y:2000:i:1-2:p:93-115)
by Garcia, Rene & Gencay, Ramazan - International chaos? (RePEc:eee:eecrev:v:32:y:1988:i:8:p:1569-1584)
by Frank, Murray & Gencay, Ramazan & Stengos, Thanasis - Overnight borrowing, interest rates and extreme value theory (RePEc:eee:eecrev:v:50:y:2006:i:3:p:547-563)
by Gencay, Ramazan & Selcuk, Faruk - Long-run wavelet-based correlation for financial time series (RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696)
by Conlon, Thomas & Cotter, John & Gençay, Ramazan - Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence (RePEc:eee:empfin:v:17:y:2010:i:2:p:270-282)
by Gençay, Ramazan & Gradojevic, Nikola - The predictability of security returns with simple technical trading rules (RePEc:eee:empfin:v:5:y:1998:i:4:p:347-359)
by Gencay, Ramazan - Editorial (RePEc:eee:finlet:v:1:y:2004:i:1:p:1-1)
by Gencay, Ramo & Bhattacharyya, Sugato & Whited, Toni - Editorial for "Challenge" (RePEc:eee:finlet:v:5:y:2008:i:1:p:1-1)
by Gençay, Ramo & Bhattacharyya, Sugato & Whited, Toni & Yaron, Amir - Editorial for Challenge (RePEc:eee:finlet:v:7:y:2010:i:1:p:1-1)
by Gençay, Ramo & Yaron, Amir & Hackbarth, Dirk & Eisfeldt, Andrea - Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules (RePEc:eee:inecon:v:47:y:1999:i:1:p:91-107)
by Gencay, Ramazan - High volatility, thick tails and extreme value theory in value-at-risk estimation (RePEc:eee:insuma:v:33:y:2003:i:2:p:337-356)
by Gencay, Ramazan & Selcuk, Faruk & Ulugulyagci, Abdurrahman - Software reviews (RePEc:eee:intfor:v:17:y:2001:i:2:p:305-317)
by Gencay, Ramazan & Selcuk, Faruk - Extreme value theory and Value-at-Risk: Relative performance in emerging markets (RePEc:eee:intfor:v:20:y:2004:i:2:p:287-303)
by Gencay, Ramazan & Selcuk, Faruk - Contagion in a network of heterogeneous banks (RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302985)
by Gençay, Ramazan & Pang, Hao & Tseng, Michael C. & Xue, Yi - Trading frequency and volatility clustering (RePEc:eee:jbfina:v:36:y:2012:i:3:p:760-773)
by Xue, Yi & Gençay, Ramazan - Fuzzy logic, trading uncertainty and technical trading (RePEc:eee:jbfina:v:37:y:2013:i:2:p:578-586)
by Gradojevic, Nikola & Gençay, Ramazan - Economic links and credit spreads (RePEc:eee:jbfina:v:55:y:2015:i:c:p:157-169)
by Gençay, Ramazan & Signori, Daniele & Xue, Yi & Yu, Xiao & Zhang, Keyi - Human vs. high-frequency traders, penny jumping, and tick size (RePEc:eee:jbfina:v:85:y:2017:i:c:p:69-82)
by Mahmoodzadeh, Soheil & Gençay, Ramazan - Multiscale systematic risk (RePEc:eee:jimfin:v:24:y:2005:i:1:p:55-70)
by Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon - An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (RePEc:eee:monogr:9780122796708)
by Gençay, Ramazan & Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon J. - An Introduction to High-Frequency Finance (RePEc:eee:monogr:9780122796715)
by Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard - Effective return, risk aversion and drawdowns (RePEc:eee:phsmap:v:289:y:2001:i:1:p:229-248)
by Dacorogna, Michel M. & Gençay, Ramazan & Müller, Ulrich A. & Pictet, Olivier V. - Scaling properties of foreign exchange volatility (RePEc:eee:phsmap:v:289:y:2001:i:1:p:249-266)
by Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon - Differentiating intraday seasonalities through wavelet multi-scaling (RePEc:eee:phsmap:v:289:y:2001:i:3:p:543-556)
by Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon - Using genetic algorithms to select architecture of a feedforward artificial neural network (RePEc:eee:phsmap:v:289:y:2001:i:3:p:574-594)
by Arifovic, Jasmina & Gençay, Ramazan - Exploring exchange rate returns at different time horizons (RePEc:eee:phsmap:v:313:y:2002:i:3:p:671-682)
by Nekhili, Ramzi & Altay-Salih, Aslihan & Gençay, Ramazan - Scaling, self-similarity and multifractality in FX markets (RePEc:eee:phsmap:v:323:y:2003:i:c:p:578-590)
by Xu, Zhaoxia & Gençay, Ramazan - Intraday dynamics of stock market returns and volatility (RePEc:eee:phsmap:v:367:y:2006:i:c:p:375-387)
by Selçuk, Faruk & Gençay, Ramazan - An Introduction to High-Frequency Finance: Michael M. Dacorogna, Ramazan Gencay, Ulrich Muller, Richard B. Olsen, and Olivier V. Pictet. San Diego, CA: Academic Press, 2001. 383 pp., $79.95, ISBN: 0-1 (RePEc:eee:reveco:v:12:y:2003:i:4:p:525-529)
by Terzi, Andrea - Liquidity-Induced Dynamics in Futures Markets (RePEc:eei:rpaper:eeri_rp_2008_01)
by Stephen Fagan & Ramazan Gencay - Unknown item RePEc:fth:guelph:1988-15 (paper)
- Technical Trading Rules and the Size of the Risk Premium in Security Returns (RePEc:gue:guelph:1996-11)
by Gencay, R & Stengos, T - Informed traders' arrival in foreign exchange markets: Does geography matter? (RePEc:hal:journl:hal-01563055)
by Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk - Informativeness of trade size in foreign exchange markets (RePEc:hal:journl:hal-01745281)
by Nikola Gradojevic & Deniz Erdemlioglu & Ramazan Gençay - A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage (RePEc:hal:journl:hal-02512423)
by Nikola Gradojevic & Deniz Erdemlioglu & Ramazan Gençay - Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates (RePEc:ier:iecrev:v:43:y:2002:i:2:p:463-492)
by Ramazan GenÁay & Giuseppe Ballocchi & Michel Dacorogna & Richard Olsen & Olivier Pictet - Semiparametric Estimation of a Hedonic Price Function (RePEc:jae:japmet:v:11:y:1996:i:6:p:633-48)
by Anglin, Paul M & Gencay, Ramazan - Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis (RePEc:jae:japmet:v:7:y:1992:i:s:p:s41-60)
by Dechert, W D & Gencay, R - Information flow between volatilities across time scales (RePEc:pra:mprapa:10355)
by Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon - Liquidity-Induced Dynamics in Futures Markets (RePEc:pra:mprapa:6677)
by Fagan, Stephen & Gencay, Ramazan - Unit Root Tests with Wavelets (RePEc:pra:mprapa:9832)
by Gencay, Ramazan & Fan, Yanqin - Clustering and Classification in Option Pricing (RePEc:ren:journl:v:3:y:2011:i:2:p:109-128)
by Nikola Gradojevic & Dragan Kukolj & Ramazan Gencay - Hedging through a Limit Order Book with Varying Liquidity (RePEc:rim:rimwps:12_12)
by Rossella Agliardi & Ramazan Gençay - Informed Trading in an Electronic Foreign Exchange Market (RePEc:rim:rimwps:24_09)
by Ramazan Gencay & Nikola Gradojevic - Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation? (RePEc:rim:rimwps:25_09)
by Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk - Overnight Interest Rates and Aggregate Market Expectations (RePEc:rim:rimwps:26_09)
by Nikola Gradojevic & Ramazan Gençay - Asymmetry of Information Flow Between Volatilities Across Time Scales (RePEc:rim:rimwps:27_09)
by Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk & Brandon Whitcher - Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence (RePEc:rim:rimwps:28_09)
by Ramazan Gencay & Nikola Gradojevic - Hierarchical Information and the Rate of Information Diffusion (RePEc:rim:rimwps:29_09)
by Yi Xue & Ramazan Gencay - Errors-in-Variables Estimation with No Instruments (RePEc:rim:rimwps:30_09)
by Ramazan Gencay & Nikola Gradojevic - Trading Frequency and Volatility Clustering (RePEc:rim:rimwps:31_09)
by Yi Xue & Ramazan Gencay - Option Pricing with Modular Neural Networks (RePEc:rim:rimwps:32_09)
by Nikola Gradojevic & Ramazan Gencay & Dragan Kukolj - Applications of extreme value theory to collateral valuation (RePEc:ris:jofitr:0950)
by Garcia, Alejandro & Gencay, Ramazan - Informed traders’ arrival in foreign exchange markets: Does geography matter? (RePEc:spr:empeco:v:49:y:2015:i:4:p:1431-1462)
by Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk - Commodity futures hedging, risk aversion and the hedging horizon (RePEc:taf:eurjfi:v:22:y:2016:i:15:p:1534-1560)
by Thomas Conlon & John Cotter & Ramazan Gençay - Asymmetry of information flow between volatilities across time scales (RePEc:taf:quantf:v:10:y:2010:i:8:p:895-915)
by Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk & Brandon Whitcher - Jump detection with wavelets for high-frequency financial time series (RePEc:taf:quantf:v:14:y:2013:i:8:p:1427-1444)
by Yi Xue & Ramazan Gen�ay & Stephen Fagan - Price impact and bursts in liquidity provision (RePEc:taf:quantf:v:18:y:2018:i:7:p:1129-1148)
by R. Gençay & S. Mahmoodzadeh & J. Rojček & M. C. Tseng - Resilience to the financial crisis in customer-supplier networks (RePEc:taf:quantf:v:19:y:2019:i:8:p:1409-1423)
by Xiao Yu & Ramazan Gençay & Keyi Zhang - Commodity futures hedging, risk aversion and the hedging horizon (RePEc:ucd:wpaper:201218)
by Thomas Conlon & John Cotter & Ramazan Gencay - Long-run international diversification (RePEc:ucd:wpaper:201502)
by Thomas Conlon & John Cotter & Ramazan Gençay - Short‐run wavelet‐based covariance regimes for applied portfolio management (RePEc:wly:jforec:v:39:y:2020:i:4:p:642-660)
by Theo Berger & Ramazan Gençay - Optimal Trading Strategies With Limit Orders (RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500054)
by Rossella Agliardi & Ramazan Gençay - Mutual Fund Performance In Developing And Advanced World Networks (RePEc:wsi:serxxx:v:64:y:2019:i:02:n:s0217590817500254)
by Keyi Zhang & Ramazan Gençay