Details about Ramazan Gencay

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Access statistics for papers by Ramazan Gencay.

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Short-id: pge80

Working Papers

2020

1. A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage
   Post-Print, HAL View citations (2)
   See also Journal Article A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage, Economic Modelling, Elsevier (2020) View citations (2) (2020)

2018

2. Muddying the waters: Who Induces Volatility in an Emerging Market?
   Documentos de Trabajo de Valor Público, Universidad EAFIT View citations (3)

2017

3. Informativeness of trade size in foreign exchange markets
   Post-Print, HAL View citations (6)
   See also Journal Article Informativeness of trade size in foreign exchange markets, Economics Letters, Elsevier (2017) View citations (5) (2017)
4. WHEN ARE WAVELETS USEFUL FORECASTERS?
   Working Papers, The Center for Financial Studies (CEFIS), Istanbul Bilgi University

2016

5. Price Impact of Aggressive Liquidity Provision
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2015

6. Informed traders' arrival in foreign exchange markets: Does geography matter?
   Post-Print, HAL View citations (2)
   See also Journal Article Informed traders’ arrival in foreign exchange markets: Does geography matter?, Empirical Economics, Springer (2015) View citations (5) (2015)
7. Long-run international diversification
   Working Papers, Geary Institute, University College Dublin View citations (1)

2012

8. Commodity futures hedging, risk aversion and the hedging horizon
   Working Papers, Geary Institute, University College Dublin View citations (19)
   See also Journal Article Commodity futures hedging, risk aversion and the hedging horizon, The European Journal of Finance, Taylor & Francis Journals (2016) View citations (35) (2016)
9. Hedging through a Limit Order Book with Varying Liquidity
   Working Paper series, Rimini Centre for Economic Analysis

2009

10. Asymmetry of Information Flow Between Volatilities Across Time Scales
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
    Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) View citations (4)
    See also Journal Article Asymmetry of information flow between volatilities across time scales, Quantitative Finance, Taylor & Francis Journals (2010) View citations (59) (2010)
11. Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence
    Working Paper series, Rimini Centre for Economic Analysis
    See also Journal Article Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence, Journal of Empirical Finance, Elsevier (2010) View citations (13) (2010)
12. Errors-in-Variables Estimation with No Instruments
    Working Paper series, Rimini Centre for Economic Analysis View citations (9)
13. Hierarchical Information and the Rate of Information Diffusion
    Working Paper series, Rimini Centre for Economic Analysis
    See also Journal Article Hierarchical information and the rate of information diffusion, Journal of Economic Dynamics and Control, Elsevier (2012) View citations (2) (2012)
14. Informed Trading in an Electronic Foreign Exchange Market
    Working Paper series, Rimini Centre for Economic Analysis View citations (3)
15. Option Pricing with Modular Neural Networks
    Working Paper series, Rimini Centre for Economic Analysis View citations (25)
16. Overnight Interest Rates and Aggregate Market Expectations
    Working Paper series, Rimini Centre for Economic Analysis View citations (1)
    See also Journal Article Overnight interest rates and aggregate market expectations, Economics Letters, Elsevier (2008) View citations (11) (2008)
17. Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation?
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
18. Trading Frequency and Volatility Clustering
    Working Paper series, Rimini Centre for Economic Analysis
    See also Journal Article Trading frequency and volatility clustering, Journal of Banking & Finance, Elsevier (2012) View citations (11) (2012)

2008

19. Liquidity-Induced Dynamics in Futures Markets
    EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (4)

2007

20. Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures
    Staff Working Papers, Bank of Canada
21. Unit Root Tests with Wavelets
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article UNIT ROOT TESTS WITH WAVELETS, Econometric Theory, Cambridge University Press (2010) View citations (79) (2010)

2006

22. Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events
    Staff Working Papers, Bank of Canada View citations (5)

2004

23. Information flow between volatilities across time scales
    MPRA Paper, University Library of Munich, Germany View citations (6)

2001

24. Overnight Borrowing, Interest Rates and Extreme Value Theory
    Working Papers, Department of Economics, Bilkent University View citations (4)
    See also Journal Article Overnight borrowing, interest rates and extreme value theory, European Economic Review, Elsevier (2006) View citations (13) (2006)

1998

25. A Visual Goodness-of-Fit Test for Econometric Models
    Working Papers, Department of Economics, Bilkent University
    See also Journal Article A Visual Goodness-of-Fit Test for Econometric Models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (1998) (1998)
26. A Visual Test for Noise Filtering in Nonlinear Time Series
    Working Papers, Department of Economics, Bilkent University
27. A Visual Test of Normality for Econometric Models
    Working Papers, Department of Economics, Bilkent University
28. Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint
    CIRANO Working Papers, CIRANO View citations (2)
    See also Journal Article Pricing and hedging derivative securities with neural networks and a homogeneity hint, Journal of Econometrics, Elsevier (2000) View citations (93) (2000)

1996

29. Technical Trading Rules and the Size of the Risk Premium in Security Returns
    Working Papers, University of Guelph, Department of Economics and Finance View citations (3)
    See also Journal Article Technical Trading Rules and the Size of the Risk Premium in Security Returns, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (1997) View citations (18) (1997)

Journal Articles

2021

1. Recovering cointegration via wavelets in the presence of non-linear patterns
   Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (5), 255-265

2020

2. A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage
   Economic Modelling, 2020, 85, (C), 57-73 View citations (2)
   See also Working Paper A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage, Post-Print (2020) View citations (2) (2020)
3. Contagion in a network of heterogeneous banks
   Journal of Banking & Finance, 2020, 111, (C) View citations (4)
4. Short‐run wavelet‐based covariance regimes for applied portfolio management
   Journal of Forecasting, 2020, 39, (4), 642-660 View citations (1)

2019

5. Enhancing the predictability of crude oil markets with hybrid wavelet approaches
   Economics Letters, 2019, 182, (C), 50-54 View citations (7)
6. MUTUAL FUND PERFORMANCE IN DEVELOPING AND ADVANCED WORLD NETWORKS
   The Singapore Economic Review (SER), 2019, 64, (02), 399-421
7. Resilience to the financial crisis in customer-supplier networks
   Quantitative Finance, 2019, 19, (8), 1409-1423

2018

8. Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment
   Journal of Economic Dynamics and Control, 2018, 92, (C), 30-46 View citations (9)
9. Long-run wavelet-based correlation for financial time series
   European Journal of Operational Research, 2018, 271, (2), 676-696 View citations (12)
10. Price impact and bursts in liquidity provision
    Quantitative Finance, 2018, 18, (7), 1129-1148

2017

11. Application of wavelet decomposition in time-series forecasting
    Economics Letters, 2017, 158, (C), 41-46 View citations (14)
12. Human vs. high-frequency traders, penny jumping, and tick size
    Journal of Banking & Finance, 2017, 85, (C), 69-82 View citations (5)
13. Informativeness of trade size in foreign exchange markets
    Economics Letters, 2017, 150, (C), 27-33 View citations (5)
    See also Working Paper Informativeness of trade size in foreign exchange markets, Post-Print (2017) View citations (6) (2017)
14. OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (01), 1-16
15. Tests for serial correlation of unknown form in dynamic least squares regression with wavelets
    Economics Letters, 2017, 155, (C), 104-110 View citations (3)

2016

16. Commodity futures hedging, risk aversion and the hedging horizon
    The European Journal of Finance, 2016, 22, (15), 1534-1560 View citations (35)
    See also Working Paper Commodity futures hedging, risk aversion and the hedging horizon, Working Papers (2012) View citations (19) (2012)
17. Is it Brownian or fractional Brownian motion?
    Economics Letters, 2016, 145, (C), 52-55 View citations (3)

2015

18. Economic links and credit spreads
    Journal of Banking & Finance, 2015, 55, (C), 157-169 View citations (22)
19. Informed traders’ arrival in foreign exchange markets: Does geography matter?
    Empirical Economics, 2015, 49, (4), 1431-1462 View citations (5)
    See also Working Paper Informed traders' arrival in foreign exchange markets: Does geography matter?, Post-Print (2015) View citations (2) (2015)
20. Multi-scale tests for serial correlation
    Journal of Econometrics, 2015, 184, (1), 62-80 View citations (30)

2013

21. Fuzzy logic, trading uncertainty and technical trading
    Journal of Banking & Finance, 2013, 37, (2), 578-586 View citations (19)
22. Jump detection with wavelets for high-frequency financial time series
    Quantitative Finance, 2013, 14, (8), 1427-1444 View citations (10)
23. Private information and its origins in an electronic foreign exchange market
    Economic Modelling, 2013, 33, (C), 86-93 View citations (9)

2012

24. Hierarchical information and the rate of information diffusion
    Journal of Economic Dynamics and Control, 2012, 36, (9), 1372-1401 View citations (2)
    See also Working Paper Hierarchical Information and the Rate of Information Diffusion, Working Paper series (2009) (2009)
25. Trading frequency and volatility clustering
    Journal of Banking & Finance, 2012, 36, (3), 760-773 View citations (11)
    See also Working Paper Trading Frequency and Volatility Clustering, Working Paper series (2009) (2009)

2011

26. Clustering and Classification in Option Pricing
    Review of Economic Analysis, 2011, 3, (2), 109-128
27. Investment horizon effect on asset allocation between value and growth strategies
    Economic Modelling, 2011, 28, (4), 1489-1497 View citations (17)

2010

28. Asymmetry of information flow between volatilities across time scales
    Quantitative Finance, 2010, 10, (8), 895-915 View citations (59)
    See also Working Paper Asymmetry of Information Flow Between Volatilities Across Time Scales, Working Paper series (2009) View citations (2) (2009)
29. Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence
    Journal of Empirical Finance, 2010, 17, (2), 270-282 View citations (13)
    See also Working Paper Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence, Working Paper series (2009) (2009)
30. Editorial for Challenge
    Finance Research Letters, 2010, 7, (1), 1-1
31. UNIT ROOT TESTS WITH WAVELETS
    Econometric Theory, 2010, 26, (5), 1305-1331 View citations (79)
    See also Working Paper Unit Root Tests with Wavelets, MPRA Paper (2007) View citations (1) (2007)

2008

32. Editorial for "Challenge"
    Finance Research Letters, 2008, 5, (1), 1-1
33. Overnight interest rates and aggregate market expectations
    Economics Letters, 2008, 100, (1), 27-30 View citations (11)
    See also Working Paper Overnight Interest Rates and Aggregate Market Expectations, Working Paper series (2009) View citations (1) (2009)

2007

34. Applications of extreme value theory to collateral valuation
    Journal of Financial Transformation, 2007, 20, 88-93 View citations (1)

2006

35. Intraday dynamics of stock market returns and volatility
    Physica A: Statistical Mechanics and its Applications, 2006, 367, (C), 375-387 View citations (8)
36. Overnight borrowing, interest rates and extreme value theory
    European Economic Review, 2006, 50, (3), 547-563 View citations (13)
    See also Working Paper Overnight Borrowing, Interest Rates and Extreme Value Theory, Working Papers (2001) View citations (4) (2001)

2005

37. Multiscale systematic risk
    Journal of International Money and Finance, 2005, 24, (1), 55-70 View citations (153)

2004

38. Editorial
    Finance Research Letters, 2004, 1, (1), 1-1
39. Extreme value theory and Value-at-Risk: Relative performance in emerging markets
    International Journal of Forecasting, 2004, 20, (2), 287-303 View citations (69)

2003

40. 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
41. Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures
    Annals of Economics and Finance, 2003, 4, (1), 73-101 View citations (7)
42. Foreign exchange trading models and market behavior
    Journal of Economic Dynamics and Control, 2003, 27, (6), 909-935 View citations (22)
43. High volatility, thick tails and extreme value theory in value-at-risk estimation
    Insurance: Mathematics and Economics, 2003, 33, (2), 337-356 View citations (31)
44. Scaling, self-similarity and multifractality in FX markets
    Physica A: Statistical Mechanics and its Applications, 2003, 323, (C), 578-590 View citations (35)

2002

45. Exploring exchange rate returns at different time horizons
    Physica A: Statistical Mechanics and its Applications, 2002, 313, (3), 671-682 View citations (21)
46. Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
    International Economic Review, 2002, 43, (2), 463-492 View citations (24)

2001

47. Differentiating intraday seasonalities through wavelet multi-scaling
    Physica A: Statistical Mechanics and its Applications, 2001, 289, (3), 543-556 View citations (68)
48. EVIM: A Software Package for Extreme Value Analysis in MATLAB
    Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (3), 29 View citations (1)
49. Effective return, risk aversion and drawdowns
    Physica A: Statistical Mechanics and its Applications, 2001, 289, (1), 229-248 View citations (12)
50. Scaling properties of foreign exchange volatility
    Physica A: Statistical Mechanics and its Applications, 2001, 289, (1), 249-266 View citations (77)
51. Software reviews
    International Journal of Forecasting, 2001, 17, (2), 305-317
52. Time-to-Expiry Seasonalities in Eurofutures
    Studies in Nonlinear Dynamics & Econometrics, 2001, 4, (4), 6 View citations (1)
53. Using genetic algorithms to select architecture of a feedforward artificial neural network
    Physica A: Statistical Mechanics and its Applications, 2001, 289, (3), 574-594 View citations (6)

2000

54. Pricing and hedging derivative securities with neural networks and a homogeneity hint
    Journal of Econometrics, 2000, 94, (1-2), 93-115 View citations (93)
    See also Working Paper Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint, CIRANO Working Papers (1998) View citations (2) (1998)
55. 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 (26)

1999

56. 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 (70)

1998

57. A Visual Goodness-of-Fit Test for Econometric Models
    Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (3), 13
    See also Working Paper A Visual Goodness-of-Fit Test for Econometric Models, Working Papers (1998) (1998)
58. Optimization of technical trading strategies and the profitability in security markets
    Economics Letters, 1998, 59, (2), 249-254 View citations (43)
59. The predictability of security returns with simple technical trading rules
    Journal of Empirical Finance, 1998, 5, (4), 347-359 View citations (54)

1997

60. Technical Trading Rules and the Size of the Risk Premium in Security Returns
    Studies in Nonlinear Dynamics & Econometrics, 1997, 2, (2), 14 View citations (18)
    See also Working Paper Technical Trading Rules and the Size of the Risk Premium in Security Returns, Working Papers (1996) View citations (3) (1996)

1996

61. A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators
    Economics Letters, 1996, 52, (2), 129-135 View citations (14)
62. Forecast Comparisons of Residential Housing Prices by Parametric and Semiparametric Regression
    Canadian Journal of Economics, 1996, 29, (s1), 515-19 View citations (3)
63. Semiparametric Estimation of a Hedonic Price Function
    Journal of Applied Econometrics, 1996, 11, (6), 633-48 View citations (87)
64. The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms
    Studies in Nonlinear Dynamics & Econometrics, 1996, 1, (3), 12 View citations (9)

1992

65. Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis
    Journal of Applied Econometrics, 1992, 7, (S), S41-60 View citations (39)

1988

66. International chaos?
    European Economic Review, 1988, 32, (8), 1569-1584 View citations (25)

Books

2001

1. An Introduction to High-Frequency Finance
   Elsevier Monographs, Elsevier View citations (498)
2. An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
   Elsevier Monographs, Elsevier View citations (199)

Editor

1. Finance Research Letters
   Elsevier