Ramazan Gencay
(Deceased since 2018-12)
Names
first: | Ramazan |
last: | Gencay |
Contact
homepage: | https://en.wikipedia.org/wiki/Ramazan_Gen%C3%A7ay |
Research profile
author of:
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Foreign exchange trading models and market behavior
by Gencay, Ramazan & Dacorogna, Michel & Olsen, Richard & Pictet, Olivier -
Statistical properties of genetic learning in a model of exchange rate
by Arifovic, Jasmina & Gencay, Ramazan -
Optimization of technical trading strategies and the profitability in security markets
by Gencay, Ramazan -
Forecast Comparisons of Residential Housing Prices by Parametric and Semiparametric Regression.
by Ramazan Gencay & Xian Yang -
Technical Trading Rules and the Size of the Risk Premium in Security Returns.
by Gencay, R. & Stengos, T. -
Software reviews
by Gencay, Ramazan & Selcuk, Faruk -
Multiscale systematic risk
by Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon -
Pricing and hedging derivative securities with neural networks and a homogeneity hint
by Garcia, Rene & Gencay, Ramazan -
A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators
by Gencay, Ramazan & Xian, Yang -
Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules
by Gencay, Ramazan -
Asymmetry of Information Flow Between Volatilities Across Time Scales
by Ramazan Gencay & Faruk Selcuk -
Extreme value theory and Value-at-Risk: Relative performance in emerging markets
by Gencay, Ramazan & Selcuk, Faruk -
Semiparametric Estimation of a Hedonic Price Function.
by Anglin, Paul M. & Gencay, Ramazan -
The predictability of security returns with simple technical trading rules
by Gencay, Ramazan -
Overnight borrowing, interest rates and extreme value theory
by Gencay, Ramazan & Selcuk, Faruk -
International chaos?
by Frank, Murray & Gencay, Ramazan & Stengos, Thanasis -
High volatility, thick tails and extreme value theory in value-at-risk estimation
by Gencay, Ramazan & Selcuk, Faruk & Ulugulyagci, Abdurrahman -
Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis.
by Dechert, W. D. & Gencay, R. -
Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events
by Alejandro García & Ramazan Gençay -
Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint
by René Garcia & Ramazan Gençay -
Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures
by Alejandro García & Ramazan Gençay -
Editorial
by Gencay, Ramo & Bhattacharyya, Sugato & Whited, Toni -
Liquidity-Induced Dynamics in Futures Markets
by Fagan, Stephen & Gencay, Ramazan -
Overnight interest rates and aggregate market expectations
by Gradojevic, Nikola & Gencay, Ramazan -
Unit Root Tests with Wavelets
by Gencay, Ramazan & Fan, Yanqin -
Information flow between volatilities across time scales
by Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon -
Liquidity-Induced Dynamics in Futures Markets
by Stephen Fagan & Ramazan Gencay -
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: 0-12-279671-3
by Terzi, Andrea -
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
by Ramazan GenÁay & Giuseppe Ballocchi & Michel Dacorogna & Richard Olsen & Olivier Pictet -
Editorial for "Challenge"
by Gençay, Ramo & Bhattacharyya, Sugato & Whited, Toni & Yaron, Amir -
Time-to-Expiry Seasonalities in Eurofutures
by Ballocchi Giuseppe & Dacorogna Michael & Gençay Ramazan & Piccinato Barbara -
Applications of extreme value theory to collateral valuation
by Garcia, Alejandro & Gencay, Ramazan -
The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms
by Gencay Ramazan & Dechert W. Davis -
A Visual Goodness-of-Fit Test for Econometric Models
by Gençay Ramazan & Selçuk Faruk -
Hierarchical Information and the Rate of Information Diffusion
by Yi Xue & Ramazan Gencay -
Informed Trading in an Electronic Foreign Exchange Market
by Ramazan Gencay & Nikola Gradojevic -
Option Pricing with Modular Neural Networks
by Nikola Gradojevic & Ramazan Gencay & Dragan Kukolj -
Trading Frequency and Volatility Clustering
by Yi Xue & Ramazan Gencay -
Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation?
by Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk -
Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence
by Ramazan Gencay & Nikola Gradojevic -
Errors-in-Variables Estimation with No Instruments
by Ramazan Gencay & Nikola Gradojevic -
Overnight Interest Rates and Aggregate Market Expectations
by Nikola Gradojevic & Ramazan Gençay -
Asymmetry of Information Flow Between Volatilities Across Time Scales
by Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk & Brandon Whitcher -
EVIM: A Software Package for Extreme Value Analysis in MATLAB
by Gençay Ramazan & Selçuk Faruk & Ulugülyagci Abdurrahman -
Technical Trading Rules and the Size of the Risk Premium in Security Returns
by Gencay Ramazan & Stengos Thanasis -
Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence
by Gençay, Ramazan & Gradojevic, Nikola -
Asymmetry of information flow between volatilities across time scales
by Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk & Brandon Whitcher -
UNIT ROOT TESTS WITH WAVELETS
by Fan, Yanqin & Gençay, Ramazan -
Editorial for Challenge
by Gençay, Ramo & Yaron, Amir & Hackbarth, Dirk & Eisfeldt, Andrea -
Investment horizon effect on asset allocation between value and growth strategies
by In, Francis & Kim, Sangbae & Gençay, Ramazan -
Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures
by Ramazan Gencay & Aslihan Salih -
Clustering and Classification in Option Pricing
by Nikola Gradojevic & Dragan Kukolj & Ramazan Gencay -
Hierarchical information and the rate of information diffusion
by Xue, Yi & Gençay, Ramazan -
Using genetic algorithms to select architecture of a feedforward artificial neural network
by Arifovic, Jasmina & Gençay, Ramazan -
Differentiating intraday seasonalities through wavelet multi-scaling
by Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon -
Scaling properties of foreign exchange volatility
by Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon -
Intraday dynamics of stock market returns and volatility
by Selçuk, Faruk & Gençay, Ramazan -
Effective return, risk aversion and drawdowns
by Dacorogna, Michel M. & Gençay, Ramazan & Müller, Ulrich A. & Pictet, Olivier V. -
Fuzzy logic, trading uncertainty and technical trading
by Gradojevic, Nikola & Gençay, Ramazan -
Exploring exchange rate returns at different time horizons
by Nekhili, Ramzi & Altay-Salih, Aslihan & Gençay, Ramazan -
Trading frequency and volatility clustering
by Xue, Yi & Gençay, Ramazan -
Commodity futures hedging, risk aversion and the hedging horizon
by Thomas Conlon & John Cotter & Ramazan Gencay -
Scaling, self-similarity and multifractality in FX markets
by Xu, Zhaoxia & Gençay, Ramazan -
Hedging through a Limit Order Book with Varying Liquidity
by Rossella Agliardi & Ramazan GenÃay -
Price Impact of Aggressive Liquidity Provision
by Ramazan Gencay & Soheil Mahmoodzadeh & Jakub Rojcek & Michael C. Tseng -
Overnight Borrowing, Interest Rates and Extreme Value Theory
by Faruk Selcuk & Ramazan Gencay -
Jump detection with wavelets for high-frequency financial time series
by Yi Xue & Ramazan Genay & Stephen Fagan -
OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS
by ROSSELLA AGLIARDI & RAMAZAN GENÇAY -
Long-run international diversification
by Thomas Conlon & John Cotter & Ramazan Gençay -
Long-run wavelet-based correlation for financial time series
by Conlon, Thomas & Cotter, John & Gençay, Ramazan -
Muddying the waters: Who Induces Volatility in an Emerging Market?
by Paula A. Yepes-Henao & Diego A. Agudelo & Ramazan Gencay -
Private information and its origins in an electronic foreign exchange market
by Gençay, Ramazan & Gradojevic, Nikola -
Multi-scale tests for serial correlation
by Gençay, Ramazan & Signori, Daniele -
Is it Brownian or fractional Brownian motion?
by Li, Meiyu & Gençay, Ramazan & Xue, Yi -
Tests for serial correlation of unknown form in dynamic least squares regression with wavelets
by Li, Meiyu & Gençay, Ramazan -
Price impact and bursts in liquidity provision
by R. Gençay & S. Mahmoodzadeh & J. Rojček & M. C. Tseng -
A Visual Goodness-of-Fit Test for Econometric Models
by Faruk Selcuk & Ramazan Gencay -
Informativeness of trade size in foreign exchange markets
by Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan -
A Visual Test of Normality for Econometric Models
by R. Gencay & Faruk Selcuk -
An Introduction to High-Frequency Finance
by Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard -
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
by Gençay, Ramazan & Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon J. -
Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment
by Berger, Theo & Gençay, Ramazan -
Informed traders' arrival in foreign exchange markets: Does geography matter?
by Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk -
Human vs. high-frequency traders, penny jumping, and tick size
by Mahmoodzadeh, Soheil & Gençay, Ramazan -
A Visual Test for Noise Filtering in Nonlinear Time Series
by Serdar Sayan & Faruk Selcuk & Ramazan Gencay -
Application of wavelet decomposition in time-series forecasting
by Zhang, Keyi & Gençay, Ramazan & Ege Yazgan, M. -
Informed traders’ arrival in foreign exchange markets: Does geography matter?
by Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk -
Informativeness of trade size in foreign exchange markets
by Nikola Gradojevic & Deniz Erdemlioglu & Ramazan Gençay -
WHEN ARE WAVELETS USEFUL FORECASTERS?
by Ramazan Gencay & Ege Yazgan -
Commodity futures hedging, risk aversion and the hedging horizon
by Thomas Conlon & John Cotter & Ramazan Gençay -
Economic links and credit spreads
by Gençay, Ramazan & Signori, Daniele & Xue, Yi & Yu, Xiao & Zhang, Keyi -
Contagion in a network of heterogeneous banks
by Gençay, Ramazan & Pang, Hao & Tseng, Michael C. & Xue, Yi -
A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage
by Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan -
Enhancing the predictability of crude oil markets with hybrid wavelet approaches
by Uddin, Gazi Salah & Gençay, Ramazan & Bekiros, Stelios & Sahamkhadam, Maziar -
MUTUAL FUND PERFORMANCE IN DEVELOPING AND ADVANCED WORLD NETWORKS
by KEYI ZHANG & RAMAZAN GENÇAY -
Short‐run wavelet‐based covariance regimes for applied portfolio management
by Theo Berger & Ramazan Gençay -
A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage
by Nikola Gradojevic & Deniz Erdemlioglu & Ramazan Gençay -
Resilience to the financial crisis in customer-supplier networks
by Xiao Yu & Ramazan Gençay & Keyi Zhang
editor of:
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Finance Research Letters
edited by R. GenÃay