Ramazan Gencay : Citation Profile


Deceased: 2018-12

20

H index

32

i10 index

1741

Citations

RESEARCH PRODUCTION:

65

Articles

31

Papers

2

Books

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   30 years (1988 - 2018). See details.
   Cites by year: 58
   Journals where Ramazan Gencay has often published
   Relations with other researchers
   Recent citing documents: 143.    Total self citations: 24 (1.36 %)

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   Permalink: http://citec.repec.org/pge80
   Updated: 2021-11-28    RAS profile:    
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Relations with other researchers


Works with:

Gradojevic, Nikola (4)

cotter, john (2)

Yazgan, Ege (2)

Conlon, Thomas (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Ramazan Gencay.

Is cited by:

Gradojevic, Nikola (35)

Fernandez, Viviana (25)

Baruník, Jozef (24)

Vacha, Lukas (24)

Bekiros, Stelios (24)

Masih, Abul (24)

Uddin, Gazi (22)

Conlon, Thomas (22)

Verona, Fabio (18)

Kočenda, Evžen (16)

Gallegati, Marco (16)

Cites to:

Bollerslev, Tim (31)

Lo, Andrew (16)

Dacorogna, Michel (16)

Engle, Robert (14)

Lebaron, Blake (14)

Mandelbrot, Benoît (13)

Brock, William (12)

Diebold, Francis (12)

Campbell, John (12)

Olsen, Richard (11)

Shleifer, Andrei (10)

Main data


Where Ramazan Gencay has published?


Journals with more than one article published# docs
Economics Letters8
Physica A: Statistical Mechanics and its Applications7
Studies in Nonlinear Dynamics & Econometrics5
Journal of Banking & Finance5
Quantitative Finance4
Journal of Economic Dynamics and Control4
Finance Research Letters3
Economic Modelling3
Journal of Empirical Finance2
International Journal of Forecasting2
Journal of Applied Econometrics2
European Economic Review2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Working Paper series / Rimini Centre for Economic Analysis10
Working Papers / Department of Economics, Bilkent University4
MPRA Paper / University Library of Munich, Germany3
Post-Print / HAL3
Staff Working Papers / Bank of Canada2
Working Papers / Geary Institute, University College Dublin2

Recent works citing Ramazan Gencay (2021 and 2020)


YearTitle of citing document
2020Grain Imports Risk Hedging in Morocco. (2020). Harbouze, Rachid ; Boubrahimi, Nabil ; el Mekki, Abdelkader Ait ; Jouamaa, Mohammed Adil. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:307656.

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2020Gated Neural Networks for Option Pricing: Rationality by Design. (2016). Yang, Yongxin ; Hospedales, Timothy M ; Zheng, YU. In: Papers. RePEc:arx:papers:1609.07472.

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2020Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992.

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2021The option pricing model based on time values: an application of the universal approximation theory on unbounded domains. (2019). Wang, Ming-Xi ; Qu, Yang. In: Papers. RePEc:arx:papers:1910.01490.

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2020Asset Prices with Investor Protection in Approximate Fractional Economy. (2019). Huang, Nan-Jing ; Wang, Ming-Hui ; Yang, Ben-Zhang ; Yue, Jia. In: Papers. RePEc:arx:papers:1911.00281.

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2020Neural networks for option pricing and hedging: a literature review. (2019). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1911.05620.

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2020Revisiting the Epps effect using volume time averaging: An exercise in R. (2019). Gebbie, Tim ; Bukuru, Roger ; Chang, Patrick. In: Papers. RePEc:arx:papers:1912.02416.

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2021On the statistics of scaling exponents and the Multiscaling Value at Risk. (2020). di Matteo, T ; Brandi, Giuseppe. In: Papers. RePEc:arx:papers:2002.04164.

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2020Multi-frequency-band tests for white noise under heteroskedasticity. (2020). Zhu, Ke ; Liu, Mengya. In: Papers. RePEc:arx:papers:2004.09161.

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2021Non-Extensive Value-at-Risk Estimation During Times of Crisis. (2020). Tehrani, Reza ; Asadi, Nazanin ; Namaki, Ali ; Hajihasani, Ahmad. In: Papers. RePEc:arx:papers:2005.09036.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2020Deep Local Volatility. (2020). Dixon, Matthew ; Cr, St'Ephane ; Chataigner, Marc. In: Papers. RePEc:arx:papers:2007.10462.

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2020Data-Driven Option Pricing using Single and Multi-Asset Supervised Learning. (2020). Tanksale, Atharva ; Rajani, Sharan ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2008.00462.

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2020The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool. (2020). Brandi, Giuseppe ; Antoniades, Ioannis P ; di Matteo, T ; Magafas, L G. In: Papers. RePEc:arx:papers:2010.08890.

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2021Multiscale characteristics of the emerging global cryptocurrency market. (2020). Zd, Stanislaw Dro ; Wkatorek, Marcin ; Stanuszek, Marek ; O'Swikecimka, Pawel ; Minati, Ludovico ; Kwapie, Jaroslaw. In: Papers. RePEc:arx:papers:2010.15403.

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2020Nowcasting Networks. (2020). Crepey, Stephane ; Chataigner, Marc ; Pu, Jiang. In: Papers. RePEc:arx:papers:2011.13687.

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2021Extensive networks would eliminate the demand for pricing formulas. (2021). Park, Kyunghyun ; Jeon, Jaegi ; Huh, Jeonggyu. In: Papers. RePEc:arx:papers:2101.09064.

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2021Black-box model risk in finance. (2021). Snow, Derek ; Szpruch, Lukasz ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2102.04757.

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2021Power-Law Return-Volatility Cross Correlations of Bitcoin. (2021). Takaishi, T. In: Papers. RePEc:arx:papers:2102.08187.

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2021No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging. (2021). Nakagawa, Kei ; Minami, Kentaro ; Ito, Katsuya ; Imajo, Kentaro ; Imaki, Shota. In: Papers. RePEc:arx:papers:2103.01775.

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2021Financial Markets Prediction with Deep Learning. (2021). Wang, Degang ; Cao, YU ; Liu, Benyuan ; Sun, Tong. In: Papers. RePEc:arx:papers:2104.05413.

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20213D Tensor-based Deep Learning Models for Predicting Option Price. (2021). Luo, Shijun ; Zhou, Shen ; Ge, Muyang ; Tian, Boping. In: Papers. RePEc:arx:papers:2106.02916.

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2020The Pricing Kernel Puzzle: A Real Phenomenon or a Statistical Artifact?. (2020). Anwar, Sajid ; Siddiqi, Hammad. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:2:p:485-491.

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2020Dynamics of FII flows and stock market returns in a major developing country: How does economic uncertainty matter?. (2020). Tiwari, Aviral ; Shahbaz, Muhammad ; Hammoudeh, Shawkat ; Jena, Sangram Keshari. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:8:p:2263-2284.

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2020Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006.

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2020A wavelet-based variance ratio unit root test for a system of equations. (2020). Kristofer, Mnsson ; Ghazi, Shukur ; Aziz, Ali Abdul. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:3:p:16:n:2.

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2020Bank Default Risk Propagation along Supply Chains: Evidence from the U.K.. (2020). Roland, I ; Kabiri, A ; Manole, V ; Spatareanu, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2058.

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2020Bank default risk propagation along supply chains: evidence from the UK. (2020). Malone, Vlad ; Kabiri, Ali ; Spatareanu, Mariana ; Roland, Isabelle. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1699.

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2021Monetary Policy and Business Cycle Synchronization in Europe. (2021). MESTRE, Roman ; Odry, Remi. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-19.

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2021Can the Leading US Energy Stock Prices be Predicted using the Ichimoku Cloud?. (2021). Kamalov, Firuz ; Gurrib, Ikhlaas ; Elshareif, Elgilani. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-7.

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2021Energy Market Risk Management under Uncertainty: A VaR Based on Wavelet Approach. (2021). Canepa, Alessandra ; Al-Saraireh, Ahmad ; Alqaralleh, Huthaifa Sameeh. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-05-17.

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2020Chaotic signals inside some tick-by-tick financial time series. (2020). Escot, Lorenzo ; Sandubete, Julio E. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s0960077920302526.

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2020Macroeconomic transmission of Eurozone shocks to India—A mean-adjusted Bayesian VAR approach. (2020). Swamy, Vighneswara. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:126-150.

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2021Time-frequency connectedness between Asian electricity sectors. (2021). TAGHIZADEH-HESARY, Farhad ; Ngo, Thanh ; Naeem, Muhammad Abubakr ; Arif, Muhammad ; Hasan, Mudassar ; Taghizadehhesary, Farhad. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:208-224.

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2020Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189.

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2020A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage. (2020). Gradojevic, Nikola ; Genay, Ramazan ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:57-73.

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2020Chinas liberalizing stock market, crude oil, and safe-haven assets: A linkage study based on a novel multivariate wavelet-vine copula approach. (2020). Li, Min ; Zhong, Rui ; Wang, Hao ; Ji, Hao. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:187-204.

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2020Happiness sentiments and the prediction of cross-border country exchange-traded fund returns. (2020). Lee, Chien-Chiang ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301510.

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2020Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis. (2020). Hau, Liya ; Ge, Yajing ; Meng, Liang ; Zhu, Huiming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301534.

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2021On diagnostic checking in ARMA models with conditionally heteroscedastic martingale difference using wavelet methods. (2021). Liou, Chu Pheuil ; Duchesne, Pierre . In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:169-187.

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2020A conditional fuzzy inference approach in forecasting. (2020). Verousis, Thanos ; Sermpinis, Georgios ; Stasinakis, Charalampos ; Hassanniakalager, Arman. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:1:p:196-216.

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2021Option valuation under no-arbitrage constraints with neural networks. (2021). Zhai, Jia ; Liu, Xiaoquan ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:361-374.

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2021Volatility cascades in cryptocurrency trading. (2021). Tsiakas, Ilias ; Gradojevic, Nikola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:252-265.

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2021Forecasting WTI crude oil futures returns: Does the term structure help?. (2021). O'Sullivan, Conall ; Bredin, Don ; Spencer, Simon. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002565.

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2020Time-frequency causality and connectedness between international prices of energy, food, industry, agriculture and metals. (2020). Tiwari, Aviral ; Shahbaz, Muhammad ; Nasreen, Samia ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930324x.

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2020Network connectedness of green bonds and asset classes. (2020). Ugolini, Andrea ; Reboredo, Juan ; Lucena, Fernando Antonio. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304268.

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2020Optimal hedging under biased energy futures markets. (2020). Torro, Hipolit ; Furio, Dolores. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s014098832030089x.

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2020Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis. (2020). Yoon, Seong-Min ; Jiang, Zhuhua. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301754.

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2020Multiscale lead-lag relationships in oil and refined product return dynamics: A symbolic wavelet transfer entropy approach. (2020). Singh, Abhay Kumar ; de Mello, Lurion ; DeMello, Lurion ; Storhas, Dominik P. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s014098832030267x.

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2021Green markets integration in different time scales: A regional analysis. (2021). Brahim, Mariem ; Abid, Ilyes ; Mzoughi, Hela ; Urom, Christian. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001596.

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2020The impact of oil price shocks on clean energy stocks: Fresh evidence from multi-scale perspective. (2020). Cai, Guixin ; Zhang, Hao ; Yang, Dongxiao. In: Energy. RePEc:eee:energy:v:196:y:2020:i:c:s0360544220302061.

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2020Are shocks to disaggregated renewable energy consumption permanent or temporary for the USA? Wavelet based unit root test with smooth structural shifts. (2020). Pata, Ugur Korkut ; Aydin, Mucahit. In: Energy. RePEc:eee:energy:v:207:y:2020:i:c:s0360544220313529.

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2020Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis. (2020). Zhu, Huiming ; Qiao, Xingzhi ; Hau, Liya. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s105752192030185x.

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2020Stock-bond return correlations: Moving away from “one-frequency-fits-all” by extending the DCC-MIDAS approach. (2020). Iania, Leonardo ; Allard, Anne-Florence ; Smedts, Kristien. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302015.

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2021Direction-of-change forecasting in commodity futures markets. (2021). Quinn, Barry ; Papailias, Fotis ; Liu, Jiadong. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s105752192100020x.

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2020Rough volatility of Bitcoin. (2020). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231930337x.

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2020Arbitrage detection using max plus product iteration on foreign exchange rate graphs. (2020). Taylor, Stephen ; Cui, Zhenyu. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319304362.

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2021Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds. (2021). Vo, Xuan Vinh ; Balli, Hatice ; Naeem, Muhammad Abubakr ; Ha, Thi Thu. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320304207.

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2020The yield curve and the stock market: Mind the long run. (2020). Verona, Fabio ; Faria, Gonalo. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s138641811930134x.

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2021Can technical trading beat the foreign exchange market in times of crisis?. (2021). Yamani, Ehab. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300818.

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2021A time–frequency comovement and causality relationship between Bitcoin hashrate and energy commodity markets. (2021). Kang, Sanghoon ; Ur, Mobeen. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028320302763.

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2021COVID-19 and time-frequency connectedness between green and conventional financial markets. (2021). Hasan, Mudassar ; Arif, Muhammad ; Naeem, Muhammad Abubakr ; Alawi, Suha M. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s104402832100048x.

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2020Forecasting the urban skyline with extreme value theory. (2020). Wan, Phyllis ; Auerbach, Jonathan. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:814-828.

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2021The evolution of price discovery in an electronic market. (2021). Hjalmarsson, Erik ; Zikes, Filip ; Chaboud, Alain . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:130:y:2021:i:c:s0378426621001308.

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2021Frequency dependent risk. (2021). Varneskov, Rasmus T ; Neuhierl, Andreas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:644-675.

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2020Is Housing the Business Cycle? A Multiresolution Analysis for OECD Countries. (2020). Zhou, Xiaoxia ; Liow, Kim Hiang ; Huang, Yuting. In: Journal of Housing Economics. RePEc:eee:jhouse:v:49:y:2020:i:c:s1051137720300280.

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2020Seasonal patterns of global oil consumption: Implications for long term energy policy. (2020). Inchauspe, Julian ; Park, Jason. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:42:y:2020:i:3:p:536-556.

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2020The tail dependence structure between investor sentiment and commodity markets. (2020). Abdoh, Hussein ; Maghyereh, Aktham. In: Resources Policy. RePEc:eee:jrpoli:v:68:y:2020:i:c:s0301420720302828.

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2021Asymmetric and time-frequency spillovers among commodities using high-frequency data. (2021). Vo, Xuan Vinh ; Shahzad, Syed Jawad Hussain ; Caporin, Massimiliano ; Hasan, Mudassar ; Arif, Muhammad ; Naeem, Muhammad Abubakr. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309879.

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2021Do crude oil price bubbles occur?. (2021). Yue, Xiao-Guang ; Umar, Muhammad ; Su, Chi-Wei ; Khan, Khalid. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720309661.

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2021Dynamics of connectedness across crude oil, precious metals and exchange rate: Evidence from time and frequency domains. (2021). Dar, Arif ; Bhanja, Niyati ; Paul, Manas ; Shah, Adil Ahmad. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001689.

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2020Gold, platinum, and expected Bitcoin returns. (2020). Wang, Mei ; Burggraf, Tobias ; Duc, Toan Luu. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:56:y:2020:i:c:s1042444x20300177.

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2020Stochastic resonance of drawdown risk in energy market prices. (2020). Dong, Yang ; Li, Jiang-Cheng ; Hu, Xiao-Bing ; Wen, Shu-Hui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317479.

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2020Hedging effectiveness of precious metals across frequencies: Evidence from Wavelet based Dynamic Conditional Correlation analysis. (2020). Kumar, Surya Bhushan ; Das, Debojyoti ; Bhatia, Vaneet. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119320242.

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2020Commodity futures and a wavelet-based risk assessment. (2020). Czudaj, Robert ; Berger, Theo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:554:y:2020:i:c:s037843712030114x.

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2020Forecasting the crude oil prices based on Econophysics and Bayesian approach. (2020). Li, Jiang-Cheng ; Leng, NA. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:554:y:2020:i:c:s0378437120303241.

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2020Dynamic interdependence of cryptocurrency markets: An analysis across time and frequency. (2020). Bouri, Elie ; Saeed, Tareq ; Aftab, Muhammad ; Qureshi, Saba. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:559:y:2020:i:c:s0378437120305641.

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2021The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool. (2021). di Matteo, T ; Magafas, L ; Brandi, Giuseppe ; Antoniades, I P. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308591.

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2021Multiscale and partial correlation networks analysis of risk connectedness in global equity markets. (2021). Zhai, Kaikai ; You, Wanhai ; Zhao, Wanru ; Ren, Yinghua. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:573:y:2021:i:c:s0378437121001837.

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2020Analysis of the five-factor asset pricing model with wavelet multiscaling approach. (2020). Kangalli, Sinem Guler ; Uyar, Umut ; Bera, Anil Kumar. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:414-423.

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2021Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information. (2021). Yamani, Ehab. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:74-89.

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2021Features of overreactions in the cryptocurrency market. (2021). Czudaj, Robert ; Borgards, Oliver. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:31-48.

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2020Composite hedge and utility maximization for optimal futures hedging. (2020). Feng, Yun ; Cui, Yan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:15-32.

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2020Causal relationship between spot and futures prices with multiple time horizons: A nonparametric wavelet Granger causality test. (2020). Chou, Ray Y ; Chang, Tzu-Pu ; Torun, Erdost. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919300455.

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2020Does bitcoin co-move and share risk with Sukuk and world and regional Islamic stock markets? Evidence using a time-frequency approach. (2020). Sensoy, Ahmet ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Maitra, Debasish ; Ur, Mobeen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919307822.

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2020Modelling the asymmetric linkages between spot gold prices and African stocks. (2020). Owusu Junior, Peterson ; Tweneboah, George ; Kumah, Seyram Pearl . In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919311882.

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2021Multiscale stock-bond correlation: Implications for risk management. (2021). McMillan, David ; Alomari, Mohammad ; al Rababaa, Abdel Razzaq. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000568.

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2020A novel hybrid approach to forecast crude oil futures using intraday data. (2020). Apergis, Nicholas ; Visalakshmi, S ; Manickavasagam, Jeevananthan . In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:158:y:2020:i:c:s0040162520309525.

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2021Liquidity Provision and Co-insurance in Bank Syndicates. (2021). Yankov, Vladimir ; Zikes, Filip ; Kiernan, Kevin F. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-60.

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2020Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach. (2020). Yang, Lu ; Hamori, Shigeyuki. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:14:p:3700-:d:386267.

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2020Probabilistic Quantification in the Analysis of Flood Risks in Cross-Border Areas of Poland and Germany. (2020). Kumiski, Ukasz ; Wojtaszek, Henryk ; Nadolny, Micha. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:22:p:6020-:d:446907.

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2020Bubbles in Crude Oil and Commodity Energy Index: New Evidence. (2020). Galyfianakis, Georgios ; Floros, Christos. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:24:p:6648-:d:463170.

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2020Parsimonious Heterogeneous ARCH Models for High Frequency Modeling. (2020). Morettin, Pedro Alberto ; Ruilova, Juan Carlos. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:38-:d:322796.

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2020Analytical Gradients of Dynamic Conditional Correlation Models. (2020). Caporin, Massimiliano ; Lucchetti, Riccardo ; Palomba, Giulio . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:49-:d:328491.

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2020Neural Network Pricing of American Put Options. (2020). Sequeira, Bernardo ; Lopes, Sara D ; Gaspar, Raquel M. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:73-:d:379508.

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2020Deep Local Volatility. (2020). Dixon, Matthew ; Crepey, Stephane ; Chataigner, Marc. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:82-:d:393770.

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2020Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data. (2020). Vo, Duc. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:89-:d:404223.

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2020Information and Communication Technology Solutions for the Circular Economy. (2020). Daskalakis, Emmanouil ; Demestichas, Konstantinos. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:18:p:7272-:d:409245.

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2020Sustainable Financial Risk Modelling Fitting the SDGs: Some Reflections. (2020). Walter, Christian. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:18:p:7789-:d:416749.

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2020Geopolitical Risk and Tourism Stocks of Emerging Economies. (2020). Shahzad, Syed Jawad Hussain ; Naeem, Muhammad Abubakr ; Hasan, Mudassar ; Nor, Safwan Mohd ; Arif, Muhammad. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:21:p:9261-:d:441495.

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2021Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market. (2021). Wu, Jing ; Birge, John ; Babich, Volodymyr ; Agca, Senay. In: Working Papers. RePEc:gwi:wpaper:2021-18.

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More than 100 citations found, this list is not complete...

Ramazan Gencay is editor of


Journal
Finance Research Letters

Works by Ramazan Gencay:


YearTitleTypeCited
2006Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events In: Staff Working Papers.
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paper1
2007Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures In: Staff Working Papers.
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paper0
2001Overnight Borrowing, Interest Rates and Extreme Value Theory In: Working Papers.
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paper13
2006Overnight borrowing, interest rates and extreme value theory.(2006) In: European Economic Review.
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This paper has another version. Agregated cites: 13
article
1998A Visual Test of Normality for Econometric Models In: Working Papers.
[Citation analysis]
paper0
1998A Visual Test for Noise Filtering in Nonlinear Time Series In: Working Papers.
[Citation analysis]
paper0
1998A Visual Goodness-of-Fit Test for Econometric Models In: Working Papers.
[Citation analysis]
paper0
1998A Visual Goodness-of-Fit Test for Econometric Models.(1998) In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2017WHEN ARE WAVELETS USEFUL FORECASTERS? In: Working Papers.
[Full Text][Citation analysis]
paper0
1996The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article8
1997Technical Trading Rules and the Size of the Risk Premium in Security Returns In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article19
1996Technical Trading Rules and the Size of the Risk Premium in Security Returns..(1996) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 19
paper
2001Time-to-Expiry Seasonalities in Eurofutures In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article1
2001EVIM: A Software Package for Extreme Value Analysis in MATLAB In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article1
2016Price Impact of Aggressive Liquidity Provision In: Swiss Finance Institute Research Paper Series.
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paper0
1998Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper72
2000Pricing and hedging derivative securities with neural networks and a homogeneity hint.(2000) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 72
article
1996Forecast Comparisons of Residential Housing Prices by Parametric and Semiparametric Regression. In: Canadian Journal of Economics.
[Full Text][Citation analysis]
article3
2018Muddying the waters: Who Induces Volatility in an Emerging Market? In: Documentos de Trabajo CIEF.
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paper3
2003Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures In: Annals of Economics and Finance.
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article10
2010UNIT ROOT TESTS WITH WAVELETS In: Econometric Theory.
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article68
2007Unit Root Tests with Wavelets.(2007) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68
paper
2004Asymmetry of Information Flow Between Volatilities Across Time Scales In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
paper45
2009Asymmetry of Information Flow Between Volatilities Across Time Scales.(2009) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
paper
2010Asymmetry of information flow between volatilities across time scales.(2010) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
article
2000Statistical properties of genetic learning in a model of exchange rate In: Journal of Economic Dynamics and Control.
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article25
2003Foreign exchange trading models and market behavior In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article18
2012Hierarchical information and the rate of information diffusion In: Journal of Economic Dynamics and Control.
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article1
2009Hierarchical Information and the Rate of Information Diffusion.(2009) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article7
2011Investment horizon effect on asset allocation between value and growth strategies In: Economic Modelling.
[Full Text][Citation analysis]
article14
2013Private information and its origins in an electronic foreign exchange market In: Economic Modelling.
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article8
2020A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage In: Economic Modelling.
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article1
2020A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage.(2020) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2008Overnight interest rates and aggregate market expectations In: Economics Letters.
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article9
2009Overnight Interest Rates and Aggregate Market Expectations.(2009) In: Working Paper series.
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paper
2016Is it Brownian or fractional Brownian motion? In: Economics Letters.
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article2
2017Informativeness of trade size in foreign exchange markets In: Economics Letters.
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article5
2017Informativeness of trade size in foreign exchange markets.(2017) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
2017Tests for serial correlation of unknown form in dynamic least squares regression with wavelets In: Economics Letters.
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article2
2017Application of wavelet decomposition in time-series forecasting In: Economics Letters.
[Full Text][Citation analysis]
article3
2019Enhancing the predictability of crude oil markets with hybrid wavelet approaches In: Economics Letters.
[Full Text][Citation analysis]
article3
1996A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators In: Economics Letters.
[Full Text][Citation analysis]
article11
1998Optimization of technical trading strategies and the profitability in security markets In: Economics Letters.
[Full Text][Citation analysis]
article42
2015Multi-scale tests for serial correlation In: Journal of Econometrics.
[Full Text][Citation analysis]
article24
1988International chaos? In: European Economic Review.
[Full Text][Citation analysis]
article27
2018Long-run wavelet-based correlation for financial time series In: European Journal of Operational Research.
[Full Text][Citation analysis]
article4
2010Crash of 87 -- Was it expected?: Aggregate market fears and long-range dependence In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article12
2009Crash of 87 - Was it Expected? Aggregate Market Fears and Long Range Dependence.(2009) In: Working Paper series.
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This paper has another version. Agregated cites: 12
paper
1998The predictability of security returns with simple technical trading rules In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article49
2004Editorial In: Finance Research Letters.
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article0
2008Editorial for Challenge In: Finance Research Letters.
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article0
2010Editorial for Challenge In: Finance Research Letters.
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article0
1999Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules In: Journal of International Economics.
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article63
2003High volatility, thick tails and extreme value theory in value-at-risk estimation In: Insurance: Mathematics and Economics.
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article28
2001Software reviews In: International Journal of Forecasting.
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article0
2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets In: International Journal of Forecasting.
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article58
2020Contagion in a network of heterogeneous banks In: Journal of Banking & Finance.
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article1
2012Trading frequency and volatility clustering In: Journal of Banking & Finance.
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article5
2009Trading Frequency and Volatility Clustering.(2009) In: Working Paper series.
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This paper has another version. Agregated cites: 5
paper
2013Fuzzy logic, trading uncertainty and technical trading In: Journal of Banking & Finance.
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article12
2015Economic links and credit spreads In: Journal of Banking & Finance.
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article13
2017Human vs. high-frequency traders, penny jumping, and tick size In: Journal of Banking & Finance.
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article1
2005Multiscale systematic risk In: Journal of International Money and Finance.
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article131
2001An Introduction to Wavelets and Other Filtering Methods in Finance and Economics In: Elsevier Monographs.
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book130
2001An Introduction to High-Frequency Finance In: Elsevier Monographs.
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book393
2001Effective return, risk aversion and drawdowns In: Physica A: Statistical Mechanics and its Applications.
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article8
2001Scaling properties of foreign exchange volatility In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article62
2001Differentiating intraday seasonalities through wavelet multi-scaling In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article56
2001Using genetic algorithms to select architecture of a feedforward artificial neural network In: Physica A: Statistical Mechanics and its Applications.
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article5
2002Exploring exchange rate returns at different time horizons In: Physica A: Statistical Mechanics and its Applications.
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article17
2003Scaling, self-similarity and multifractality in FX markets In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article30
2006Intraday dynamics of stock market returns and volatility In: Physica A: Statistical Mechanics and its Applications.
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article8
2003An 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: 0-1 In: International Review of Economics & Finance.
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article0
2008Liquidity-Induced Dynamics in Futures Markets In: EERI Research Paper Series.
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paper2
2008Liquidity-Induced Dynamics in Futures Markets.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2015Informed traders arrival in foreign exchange markets: Does geography matter? In: Post-Print.
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paper4
2015Informed traders’ arrival in foreign exchange markets: Does geography matter?.(2015) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2002Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates In: International Economic Review.
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article19
1996Semiparametric Estimation of a Hedonic Price Function. In: Journal of Applied Econometrics.
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article77
1992Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis. In: Journal of Applied Econometrics.
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article32
2004Information flow between volatilities across time scales In: MPRA Paper.
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paper4
2011Clustering and Classification in Option Pricing In: Review of Economic Analysis.
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article0
2012Hedging through a Limit Order Book with Varying Liquidity In: Working Paper series.
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paper0
2009Informed Trading in an Electronic Foreign Exchange Market In: Working Paper series.
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paper2
2009Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation? In: Working Paper series.
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paper1
2009Errors-in-Variables Estimation with No Instruments In: Working Paper series.
[Full Text][Citation analysis]
paper9
2009Option Pricing with Modular Neural Networks In: Working Paper series.
[Full Text][Citation analysis]
paper18
2007Applications of extreme value theory to collateral valuation In: Journal of Financial Transformation.
[Citation analysis]
article1
2016Commodity futures hedging, risk aversion and the hedging horizon In: The European Journal of Finance.
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article29
2012Commodity futures hedging, risk aversion and the hedging horizon.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 29
paper
2013Jump detection with wavelets for high-frequency financial time series In: Quantitative Finance.
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article9
2018Price impact and bursts in liquidity provision In: Quantitative Finance.
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article0
2019Resilience to the financial crisis in customer-supplier networks In: Quantitative Finance.
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article0
2015Long-run international diversification In: Working Papers.
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paper1
2020Short‐run wavelet‐based covariance regimes for applied portfolio management In: Journal of Forecasting.
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article1
2017OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article0
2019MUTUAL FUND PERFORMANCE IN DEVELOPING AND ADVANCED WORLD NETWORKS In: The Singapore Economic Review (SER).
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team