Details about Ramazan Gencay

Access statistics for papers by Ramazan Gencay.

Last updated 2009-11-05. Update your information in the RePEc Author Service.

Short-id: pge80

Working Papers

2009

1. Asymmetry of Information Flow Between Volatilities Across Time Scales
   Working Paper Series, Rimini Centre for Economic Analysis
   Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)
2. Crash of ’87 - Was it Expected? Aggregate Market Fears and Long Range Dependence
   Working Paper Series, Rimini Centre for Economic Analysis
3. Errors-in-Variables Estimation with No Instruments
   Working Paper Series, Rimini Centre for Economic Analysis
4. Hierarchical Information and the Rate of Information Diffusion
   Working Paper Series, Rimini Centre for Economic Analysis
5. Informed trading in an electronic foreign exchange market
   Working Paper Series, Rimini Centre for Economic Analysis
6. Option Pricing with Modular Neural Networks
   Working Paper Series, Rimini Centre for Economic Analysis
7. Profitability in an electronic foreign exchange market: informed trading or differences in valuation?
   Working Paper Series, Rimini Centre for Economic Analysis
8. Trading Frequency and Volatility Clustering
   Working Paper Series, Rimini Centre for Economic Analysis

2008

9. Liquidity-Induced Dynamics in Futures Markets
   EERI Research Paper Series, Economics and Econometrics Research Institute (EERI)
   Also in MPRA Paper, University Library of Munich, Germany (2008)

2007

10. Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures
    Working Papers, Bank of Canada
11. Unit Root Tests with Wavelets
    MPRA Paper, University Library of Munich, Germany

2006

12. Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events
    Working Papers, Bank of Canada View citations

2004

13. Information flow between volatilities across time scales
    MPRA Paper, University Library of Munich, Germany

2001

14. Overnight Borrowing, Interest Rates and Extreme Value Theory
    Departmental Working Papers, Bilkent University, Department of Economics View citations
    See also Journal Article in European Economic Review (2006)

1998

15. A Visual Goodness-of-Fit Test for Econometric Models
    Departmental Working Papers, Bilkent University, Department of Economics
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (1998)
16. A Visual Test for Noise Filtering in Nonlinear Time Series
    Departmental Working Papers, Bilkent University, Department of Economics
17. A Visual Test of Normality for Econometric Models
    Departmental Working Papers, Bilkent University, Department of Economics
18. Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in Journal of Econometrics (2000)

1996

19. Technical Trading Rules and the Size of the Risk Premium in Security Returns
    Working Papers, University of Guelph, Department of Economics

Journal Articles

2008

1. Editorial for "Challenge"
   Finance Research Letters, 2008, 5, (1), 1-1
2. Overnight interest rates and aggregate market expectations
   Economics Letters, 2008, 100, (1), 27-30

2007

3. Applications of extreme value theory to collateral valuation
   Journal of Financial Transformation, 2007, 20, 88-93

2006

4. Overnight borrowing, interest rates and extreme value theory
   European Economic Review, 2006, 50, (3), 547-563 View citations
   See also Working Paper (2001)

2005

5. Multiscale systematic risk
   Journal of International Money and Finance, 2005, 24, (1), 55-70 View citations

2004

6. Editorial
   Finance Research Letters, 2004, 1, (1), 1-1
7. Extreme value theory and Value-at-Risk: Relative performance in emerging markets
   International Journal of Forecasting, 2004, 20, (2), 287-303 View citations

2003

8. 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
   International Review of Economics & Finance, 2003, 12, (4), 525-529
9. Foreign exchange trading models and market behavior
   Journal of Economic Dynamics and Control, 2003, 27, (6), 909-935 View citations
10. High volatility, thick tails and extreme value theory in value-at-risk estimation
    Insurance: Mathematics and Economics, 2003, 33, (2), 337-356 View citations

2002

11. Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
    International Economic Review, 2002, 43, (2), 463-492 View citations

2001

12. Software reviews
    International Journal of Forecasting, 2001, 17, (2), 305-317
13. Time-to-Expiry Seasonalities in Eurofutures
    Studies in Nonlinear Dynamics & Econometrics, 2001, 4, (4)

2000

14. Pricing and hedging derivative securities with neural networks and a homogeneity hint
    Journal of Econometrics, 2000, 94, (1-2), 93-115 View citations
    See also Working Paper (1998)
15. Statistical properties of genetic learning in a model of exchange rate
    Journal of Economic Dynamics and Control, 2000, 24, (5-7), 981-1005 View citations

1999

16. Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules
    Journal of International Economics, 1999, 47, (1), 91-107 View citations

1998

17. A Visual Goodness-of-Fit Test for Econometric Models
    Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (3)
    See also Working Paper (1998)
18. Optimization of technical trading strategies and the profitability in security markets
    Economics Letters, 1998, 59, (2), 249-254 View citations
19. The predictability of security returns with simple technical trading rules
    Journal of Empirical Finance, 1998, 5, (4), 347-359 View citations

1996

20. A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators
    Economics Letters, 1996, 52, (2), 129-135 View citations
21. Forecast Comparisons of Residential Housing Prices by Parametric and Semiparametric Regression
    Canadian Journal of Economics, 1996, 29, (s1), 515-19
22. Semiparametric Estimation of a Hedonic Price Function
    Journal of Applied Econometrics, 1996, 11, (6), 633-48 View citations
23. The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms
    Studies in Nonlinear Dynamics & Econometrics, 1996, 1, (3)

1995

24. Tests of the Risk Premium on Foreign Currency Futures Implied by the Intertemporal Asset Pricing Theory
    Applied Financial Economics, 1995, 5, (2), 85-94

1992

25. Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis
    Journal of Applied Econometrics, 1992, 7, (S), S41-60 View citations

1988

26. International chaos?
    European Economic Review, 1988, 32, (8), 1569-1584 View citations

Editor

1. Finance Research Letters
   Elsevier