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Details about Ramazan Gencay

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Access statistics for papers by Ramazan Gencay.

Last updated 2019-01-28. Update your information in the RePEc Author Service.

Short-id: pge80


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Working Papers

2018

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

2017

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

2016

  1. Price Impact of Aggressive Liquidity Provision
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2015

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

2012

  1. Commodity futures hedging, risk aversion and the hedging horizon
    Working Papers, Geary Institute, University College Dublin Downloads View citations (6)
    See also Journal Article in The European Journal of Finance (2016)
  2. Hedging through a Limit Order Book with Varying Liquidity
    Working Paper series, Rimini Centre for Economic Analysis Downloads

2009

  1. Asymmetry of Information Flow Between Volatilities Across Time Scales
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (2)
    Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) Downloads View citations (2)

    See also Journal Article in Quantitative Finance (2010)
  2. Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Journal of Empirical Finance (2010)
  3. Errors-in-Variables Estimation with No Instruments
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (5)
  4. Hierarchical Information and the Rate of Information Diffusion
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2012)
  5. Informed Trading in an Electronic Foreign Exchange Market
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
  6. Option Pricing with Modular Neural Networks
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (9)
  7. Overnight Interest Rates and Aggregate Market Expectations
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
    See also Journal Article in Economics Letters (2008)
  8. Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation?
    Working Paper series, Rimini Centre for Economic Analysis Downloads View citations (1)
  9. Trading Frequency and Volatility Clustering
    Working Paper series, Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Journal of Banking & Finance (2012)

2008

  1. Liquidity-Induced Dynamics in Futures Markets
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    Also in EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels (2008) Downloads View citations (2)

2007

  1. Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures
    Staff Working Papers, Bank of Canada Downloads
  2. Unit Root Tests with Wavelets
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Econometric Theory (2010)

2006

  1. Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events
    Staff Working Papers, Bank of Canada Downloads View citations (1)

2004

  1. Information flow between volatilities across time scales
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)

2001

  1. Overnight Borrowing, Interest Rates and Extreme Value Theory
    Working Papers, Department of Economics, Bilkent University Downloads View citations (1)
    See also Journal Article in European Economic Review (2006)

1998

  1. A Visual Goodness-of-Fit Test for Econometric Models
    Working Papers, Department of Economics, Bilkent University
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (1998)
  2. A Visual Test for Noise Filtering in Nonlinear Time Series
    Working Papers, Department of Economics, Bilkent University
  3. A Visual Test of Normality for Econometric Models
    Working Papers, Department of Economics, Bilkent University
  4. Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint
    CIRANO Working Papers, CIRANO Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2000)

1996

  1. 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 in Studies in Nonlinear Dynamics & Econometrics (1997)

Journal Articles

2018

  1. 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 Downloads View citations (2)
  2. Long-run wavelet-based correlation for financial time series
    European Journal of Operational Research, 2018, 271, (2), 676-696 Downloads
  3. Price impact and bursts in liquidity provision
    Quantitative Finance, 2018, 18, (7), 1129-1148 Downloads

2017

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

2016

  1. Commodity futures hedging, risk aversion and the hedging horizon
    The European Journal of Finance, 2016, 22, (15), 1534-1560 Downloads View citations (5)
    See also Working Paper (2012)
  2. Is it Brownian or fractional Brownian motion?
    Economics Letters, 2016, 145, (C), 52-55 Downloads

2015

  1. Economic links and credit spreads
    Journal of Banking & Finance, 2015, 55, (C), 157-169 Downloads View citations (7)
  2. Informed traders’ arrival in foreign exchange markets: Does geography matter?
    Empirical Economics, 2015, 49, (4), 1431-1462 Downloads View citations (2)
    See also Working Paper (2015)
  3. Multi-scale tests for serial correlation
    Journal of Econometrics, 2015, 184, (1), 62-80 Downloads View citations (17)

2013

  1. Fuzzy logic, trading uncertainty and technical trading
    Journal of Banking & Finance, 2013, 37, (2), 578-586 Downloads View citations (7)
  2. Jump detection with wavelets for high-frequency financial time series
    Quantitative Finance, 2013, 14, (8), 1427-1444 Downloads View citations (7)
  3. Private information and its origins in an electronic foreign exchange market
    Economic Modelling, 2013, 33, (C), 86-93 Downloads View citations (5)

2012

  1. Hierarchical information and the rate of information diffusion
    Journal of Economic Dynamics and Control, 2012, 36, (9), 1372-1401 Downloads View citations (1)
    See also Working Paper (2009)
  2. Trading frequency and volatility clustering
    Journal of Banking & Finance, 2012, 36, (3), 760-773 Downloads View citations (5)
    See also Working Paper (2009)

2011

  1. Clustering and Classification in Option Pricing
    Review of Economic Analysis, 2011, 3, (2), 109-128 Downloads
  2. Investment horizon effect on asset allocation between value and growth strategies
    Economic Modelling, 2011, 28, (4), 1489-1497 Downloads View citations (12)

2010

  1. Asymmetry of information flow between volatilities across time scales
    Quantitative Finance, 2010, 10, (8), 895-915 Downloads View citations (28)
    See also Working Paper (2009)
  2. Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence
    Journal of Empirical Finance, 2010, 17, (2), 270-282 Downloads View citations (10)
    See also Working Paper (2009)
  3. Editorial for Challenge
    Finance Research Letters, 2010, 7, (1), 1-1 Downloads
  4. UNIT ROOT TESTS WITH WAVELETS
    Econometric Theory, 2010, 26, (05), 1305-1331 Downloads View citations (58)
    See also Working Paper (2007)

2008

  1. Editorial for "Challenge"
    Finance Research Letters, 2008, 5, (1), 1-1 Downloads
  2. Overnight interest rates and aggregate market expectations
    Economics Letters, 2008, 100, (1), 27-30 Downloads View citations (7)
    See also Working Paper (2009)

2007

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

2006

  1. Intraday dynamics of stock market returns and volatility
    Physica A: Statistical Mechanics and its Applications, 2006, 367, (C), 375-387 Downloads View citations (7)
  2. Overnight borrowing, interest rates and extreme value theory
    European Economic Review, 2006, 50, (3), 547-563 Downloads View citations (13)
    See also Working Paper (2001)

2005

  1. Multiscale systematic risk
    Journal of International Money and Finance, 2005, 24, (1), 55-70 Downloads View citations (109)

2004

  1. Editorial
    Finance Research Letters, 2004, 1, (1), 1-1 Downloads
  2. Extreme value theory and Value-at-Risk: Relative performance in emerging markets
    International Journal of Forecasting, 2004, 20, (2), 287-303 Downloads View citations (52)

2003

  1. 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 Downloads
  2. Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures
    Annals of Economics and Finance, 2003, 4, (1), 73-101 Downloads View citations (4)
  3. Foreign exchange trading models and market behavior
    Journal of Economic Dynamics and Control, 2003, 27, (6), 909-935 Downloads View citations (18)
  4. High volatility, thick tails and extreme value theory in value-at-risk estimation
    Insurance: Mathematics and Economics, 2003, 33, (2), 337-356 Downloads View citations (24)
  5. Scaling, self-similarity and multifractality in FX markets
    Physica A: Statistical Mechanics and its Applications, 2003, 323, (C), 578-590 Downloads View citations (27)

2002

  1. Exploring exchange rate returns at different time horizons
    Physica A: Statistical Mechanics and its Applications, 2002, 313, (3), 671-682 Downloads View citations (12)
  2. Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
    International Economic Review, 2002, 43, (2), 463-492 Downloads View citations (18)

2001

  1. Differentiating intraday seasonalities through wavelet multi-scaling
    Physica A: Statistical Mechanics and its Applications, 2001, 289, (3), 543-556 Downloads View citations (50)
  2. EVIM: A Software Package for Extreme Value Analysis in MATLAB
    Studies in Nonlinear Dynamics & Econometrics, 2001, 5, (3), 1-29 Downloads View citations (1)
  3. Effective return, risk aversion and drawdowns
    Physica A: Statistical Mechanics and its Applications, 2001, 289, (1), 229-248 Downloads View citations (7)
  4. Scaling properties of foreign exchange volatility
    Physica A: Statistical Mechanics and its Applications, 2001, 289, (1), 249-266 Downloads View citations (57)
  5. Software reviews
    International Journal of Forecasting, 2001, 17, (2), 305-317 Downloads
  6. Time-to-Expiry Seasonalities in Eurofutures
    Studies in Nonlinear Dynamics & Econometrics, 2001, 4, (4), 1-6 Downloads View citations (1)
  7. Using genetic algorithms to select architecture of a feedforward artificial neural network
    Physica A: Statistical Mechanics and its Applications, 2001, 289, (3), 574-594 Downloads View citations (4)

2000

  1. Pricing and hedging derivative securities with neural networks and a homogeneity hint
    Journal of Econometrics, 2000, 94, (1-2), 93-115 Downloads View citations (57)
    See also Working Paper (1998)
  2. Statistical properties of genetic learning in a model of exchange rate
    Journal of Economic Dynamics and Control, 2000, 24, (5-7), 981-1005 Downloads View citations (22)

1999

  1. Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules
    Journal of International Economics, 1999, 47, (1), 91-107 Downloads View citations (58)

1998

  1. A Visual Goodness-of-Fit Test for Econometric Models
    Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (3), 1-13 Downloads
    See also Working Paper (1998)
  2. Optimization of technical trading strategies and the profitability in security markets
    Economics Letters, 1998, 59, (2), 249-254 Downloads View citations (40)
  3. The predictability of security returns with simple technical trading rules
    Journal of Empirical Finance, 1998, 5, (4), 347-359 Downloads View citations (44)

1997

  1. Technical Trading Rules and the Size of the Risk Premium in Security Returns
    Studies in Nonlinear Dynamics & Econometrics, 1997, 2, (2), 1-14 Downloads View citations (16)
    See also Working Paper (1996)

1996

  1. A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators
    Economics Letters, 1996, 52, (2), 129-135 Downloads View citations (9)
  2. Forecast Comparisons of Residential Housing Prices by Parametric and Semiparametric Regression
    Canadian Journal of Economics, 1996, 29, (s1), 515-19 Downloads View citations (2)
  3. Semiparametric Estimation of a Hedonic Price Function
    Journal of Applied Econometrics, 1996, 11, (6), 633-48 Downloads View citations (72)
  4. The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms
    Studies in Nonlinear Dynamics & Econometrics, 1996, 1, (3), 1-12 Downloads View citations (7)

1992

  1. Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis
    Journal of Applied Econometrics, 1992, 7, (S), S41-60 Downloads View citations (30)

1988

  1. International chaos?
    European Economic Review, 1988, 32, (8), 1569-1584 Downloads View citations (23)

Books

2001

  1. An Introduction to High-Frequency Finance
    Elsevier Monographs, Elsevier Downloads View citations (361)
  2. An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
    Elsevier Monographs, Elsevier Downloads View citations (99)

Editor

  1. Finance Research Letters
    Elsevier
 
Page updated 2019-08-19