Ramazan Gencay

(Deceased since 2018-12)

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Research profile

author of:

• 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:

• Finance Research Letters
  edited by R. GenÃay