Ramazan Gencay : Citation Profile


Deceased: 2018-12

18

H index

26

i10 index

1396

Citations

RESEARCH PRODUCTION:

59

Articles

30

Papers

2

Books

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   30 years (1988 - 2018). See details.
   Cites by year: 46
   Journals where Ramazan Gencay has often published
   Relations with other researchers
   Recent citing documents: 160.    Total self citations: 24 (1.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pge80
   Updated: 2019-04-13    RAS profile:    
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Relations with other researchers


Works with:

Gradojevic, Nikola (6)

cotter, john (3)

Xue, Yi (2)

Yazgan, Ege (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 (24)

Masih, Abul (23)

Fernandez, Viviana (23)

Baruník, Jozef (22)

Bekiros, Stelios (21)

Vacha, Lukas (21)

Uddin, Gazi (18)

Gallegati, Marco (15)

Kiani, Khurshid (14)

Verona, Fabio (14)

Andersen, Torben (14)

Cites to:

Bollerslev, Tim (29)

Lo, Andrew (18)

Dacorogna, Michel (16)

Lebaron, Blake (14)

Mandelbrot, Benoît (13)

Engle, Robert (13)

Campbell, John (12)

Brock, William (12)

Timmermann, Allan (11)

Olsen, Richard (11)

Easley, David (10)

Main data


Where Ramazan Gencay has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications7
Economics Letters7
Studies in Nonlinear Dynamics & Econometrics5
Journal of Economic Dynamics and Control4
Journal of Banking & Finance4
Quantitative Finance3
Finance Research Letters3
Economic Modelling2
Journal of Empirical Finance2
Journal of Econometrics2
European Economic Review2
International Journal of Forecasting2
Journal of Applied 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
Working Papers / Geary Institute, University College Dublin2
Post-Print / HAL2
Staff Working Papers / Bank of Canada2

Recent works citing Ramazan Gencay (2018 and 2017)


YearTitle of citing document
2018Realizing Correlations Across Asset Classes. (2018). Elst, Harry Vander ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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2017Long-memory, self-similarity and scaling of the long-term government bond yields: Evidence from Turkey and the USA. (2017). Bayraci, Seluk. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(612):y:2017:i:3(612):p:71-82.

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2017Wavelets based multiscale analysis of select global equity returns. (2017). Bhandari, Avishek. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(613):y:2017:i:4(613):p:75-88.

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2017Detecting intraday financial market states using temporal clustering. (2017). Hendricks, Dieter ; Wilcox, Diane ; Gebbie, Tim. In: Papers. RePEc:arx:papers:1508.04900.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1602.05489.

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2017Chaos in energy and commodity markets: a controversial matter. (2017). Vellucci, Pierluigi ; Mastroeni, Loretta . In: Papers. RePEc:arx:papers:1611.07432.

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

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2018Stock Price Prediction using Principle Components. (2018). Ghorbani, Mahsa. In: Papers. RePEc:arx:papers:1803.05075.

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2019Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2018Directed Continuous-Time Random Walk with memory. (2018). Klamut, Jaroslaw ; Gubiec, Tomasz. In: Papers. RePEc:arx:papers:1807.01934.

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2018Lagged correlation-based deep learning for directional trend change prediction in financial time series. (2018). Moews, Ben ; Ibikunle, Gbenga ; Herrmann, Michael J. In: Papers. RePEc:arx:papers:1811.11287.

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2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Kanniainen, Juho ; Yue, YE. In: Papers. RePEc:arx:papers:1901.02691.

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2019Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source. (2019). Dacorogna, Michel ; Kratz, Marie ; Brautigam, Marcel. In: Papers. RePEc:arx:papers:1903.03969.

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2018Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236.

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2017Timing the Market with a Combination of Moving Averages. (2017). Glabadanidis, Paskalis. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:353-394.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2017Rent‐Imputation for Welfare Measurement: A Review of Methodologies and Empirical Findings. (2017). Balcazar, Carlos ; Ranzani, Marco ; Olivieri, Sergio ; Ceriani, Lidia ; Tarp, Finn ; Pirttila, Yukka ; Addison, Tony. In: Review of Income and Wealth. RePEc:bla:revinw:v:63:y:2017:i:4:p:881-898.

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2017WAVELET VARIANCE RATIO TEST AND WAVESTRAPPING FOR THE DETERMINATION OF THE COINTEGRATION RANK. (2017). Eroglu, Burak. In: Working Papers. RePEc:bli:wpaper:1706.

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2017FRACTIONAL SEASONAL VARIANCE RATIO UNIT ROOT TESTS. (2017). Eroglu, Burak ; Trokic, Mirza ; Gogebakan, Kemal Caglar. In: Working Papers. RePEc:bli:wpaper:1707.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2017A Study on the Volatility of the Bangladesh Stock Market — Based on GARCH Type Models. (2017). Bhowmik, Roni ; Kumar, Jewel Roy ; Shouyang, Wang ; Chao, WU. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:5:y:2017:i:3:p:193-215:n:1.

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2017Estimation of long memory in volatility using wavelets. (2017). Baruník, Jozef ; Jozef, Barunik ; Lucie, Kraicova . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:3:p:22:n:5.

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2017How does information disclosure affect liquidity? Evidence from an Emerging Market. (2017). Agudelo, Diego A ; Arango, Ignacio. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016944.

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2017How does information disclosure affect liquidity?Evidence from an Emerging Market. (2017). Agudelo, Diego ; Arango, Ignacio. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016990.

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2017Are African stock markets efficient? Evidence from wavelet unit root test for random walk. (2017). Lawal, Adedoyin ; Babajide, Abiola Ayopo ; Somoye, Russel O. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00790.

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2018Time-Frequency varying beta estimation -a continuous wavelets approach-. (2018). Mestre, Roman ; Terraza, Michel. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00401.

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2018Does Agricultural Commodity Price Co-move with Oil Price in the Time-Frequency Space? Evidence from the Republic of Korea. (2018). Meng, Xiangcai . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-04-16.

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2017Evolution of world crude oil market integration and diversification: A wavelet-based complex network perspective. (2017). Sun, Xiaoqi ; Wang, Lijun ; Jia, Xiaoliang ; Huang, Xuan. In: Applied Energy. RePEc:eee:appene:v:185:y:2017:i:p2:p:1788-1798.

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2017Financial distress and customer-supplier relationships. (2017). Lian, Yili. In: Journal of Corporate Finance. RePEc:eee:corfin:v:43:y:2017:i:c:p:397-406.

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2017On the cyclicity of regional house prices: New evidence for U.S. metropolitan statistical areas. (2017). Flor, Michael ; Klarl, Torben. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:134-156.

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2018Macrofinancial imbalances in historical perspective: A global crisis index. (2018). Gallegati, Marco ; Delli Gatti, Domenico. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:190-205.

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2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

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2017Catching the curl: Wavelet thresholding improves forward curve modelling. (2017). Vedenov, Dmitry ; Turvey, Calum ; Eaves, James ; Power, Gabriel J. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:312-321.

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2017Robust minimum variance portfolio optimization modelling under scenario uncertainty. (2017). Xidonas, Panos ; Samitas, Aristeidis ; Soulis, John ; Hassapis, Christis. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:60-71.

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2018The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors. (2018). McNevin, Bruce D ; Nix, Joan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:570-585.

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2018Multi-scale causality and extreme tail inter-dependence among housing prices. (2018). Uddin, Gazi ; Yoon, Seong-Min ; Ahmed, Ali ; Kang, Sang Hoon. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:301-309.

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2018Are business and credit cycles synchronised internally or externally?. (2018). Kurowski, Ukasz ; Rogowicz, Karol. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:124-141.

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2017Herding behavior, market sentiment and volatility: Will the bubble resume?. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Lucey, Brian ; Jlassi, Mouna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:107-131.

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2017Measuring systemic risk of the US banking sector in time-frequency domain. (2017). Teply, Petr ; Kvapilikova, Ivana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:461-472.

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2017Recurrence plots analysis of the CNY exchange markets based on phase space reconstruction. (2017). Yao, Can-Zhong ; Lin, Qing-Wen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:584-596.

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2019Predicting the direction of stock market prices using tree-based classifiers. (2019). Kar, Saibal ; Dey, Sudeepa Roy ; Khaidem, Luckyson ; Saha, Snehanshu ; Basak, Suryoday. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:552-567.

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2019Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses. (2019). SAITI, BURHAN ; Mat, Gairuzazmi Bin ; Rahman, Maya Puspa ; Bhuiyan, Rubaiyat Ahsan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:675-687.

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2017Informativeness of trade size in foreign exchange markets. (2017). Gradojevic, Nikola ; Erdemlioglu, Deniz ; Genay, Ramazan. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:27-33.

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2017Tests for serial correlation of unknown form in dynamic least squares regression with wavelets. (2017). Li, Meiyu ; Genay, Ramazan. In: Economics Letters. RePEc:eee:ecolet:v:155:y:2017:i:c:p:104-110.

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2018Taylor effect in Bitcoin time series. (2018). Takaishi, Tetsuya ; Adachi, Takanori. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:5-7.

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2017Functional linear regression with functional response. (2017). Benatia, David ; Carrasco, Marine ; FLORENS, Jean-Pierre. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:269-291.

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2018Portmanteau-type tests for unit-root and cointegration. (2018). Zhang, Rongmao ; Chan, Ngai Hang. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:307-324.

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2019The scale of predictability. (2019). Bandi, F M ; Tebaldi, C ; Tamoni, A ; Perron, B. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:120-140.

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2017Asset allocation with correlation: A composite trade-off. (2017). Conlon, Thomas ; cotter, john ; Salvador, Enrique ; Carroll, Rachael . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1164-1180.

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2018Copula based multivariate semi-Markov models with applications in high-frequency finance. (2018). Damico, Guglielmo ; Petroni, Filippo. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:2:p:765-777.

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2018Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696.

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2019Wavelet-based option pricing: An empirical study. (2019). Liu, Xiaoquan ; Shen, Liya ; Ma, Chenghu ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1132-1142.

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2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Zeitun, Rami ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

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2017Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain. (2017). Mihov, Atanas ; Naranjo, Andy. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:73-100.

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2017Timescale betas and the cross section of equity returns: Framework, application, and implications for interpreting the Fama–French factors. (2017). Uk, Byoung ; Kim, Tong Suk ; In, Francis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:15-39.

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2017Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65.

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2018Forecasting stock market returns by summing the frequency-decomposed parts. (2018). Verona, Fabio ; Faria, Gonalo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:228-242.

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2017Wavelet-based test of co-movement and causality between oil and renewable energy stock prices. (2017). Ugolini, Andrea ; Reboredo, Juan ; Rivera-Castro, Miguel A. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:241-252.

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2018Crude oil risk forecasting: New evidence from multiscale analysis approach. (2018). He, Kaijian ; Liu, Jia ; Zou, Yingchao . In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:574-583.

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2018Testing for wavelet based time-frequency relationship between oil prices and US economic activity. (2018). Shah, Nida ; Shahbaz, Muhammad ; sbia, rashid ; Raza, Syed ; Amir-Ud, Rafi. In: Energy. RePEc:eee:energy:v:154:y:2018:i:c:p:571-580.

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2017The price of shelter - Downside risk reduction with precious metals. (2017). Potì, Valerio ; Conlon, Thomas ; Bredin, Don ; Poti, Valerio. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:48-58.

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2018Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks. (2018). Uddin, Gazi ; Shahzad, Syed Jawad Hussain ; Yoon, Seong-Min ; Hussain, Syed Jawad ; Hernandez, Jose Areola. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:167-180.

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2017Real and complex wavelets in asset classification: An application to the US stock market. (2017). Bruzda, Joanna. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:115-125.

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2017Optimal hedge ratio in a biased forward market under liquidity constraints. (2017). Dömötör, Barbara ; Domotor, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:259-263.

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2018Does sentiment matter for stock returns? Evidence from Indian stock market using wavelet approach. (2018). Dash, Saumya Ranjan ; Maitra, Debasish. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:32-39.

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2018On the determinants of bitcoin returns: A LASSO approach. (2018). Vravosinos, Orestis ; Stengos, Thanasis ; Panagiotidis, Theodore. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:235-240.

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2018Do co-jumps impact correlations in currency markets?. (2018). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:97-119.

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2017A wavelet-based multivariate multiscale approach for forecasting. (2017). Rua, António. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:581-590.

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2017Network, market, and book-based systemic risk rankings. (2017). van de Leur, Michiel ; Lucas, Andre ; Seeger, Norman J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:84-90.

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2018Measurement error in residential property valuation: An application of forecast combination. (2018). GLENNON, DENNIS ; Mayock, Tom ; Kiefer, Hua. In: Journal of Housing Economics. RePEc:eee:jhouse:v:41:y:2018:i:c:p:1-29.

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2018Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

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2018Does gold act as a safe haven against exchange rate fluctuations? The case of Pakistan rupee. (2018). Qureshi, Saba. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:40:y:2018:i:4:p:685-708.

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2017Analysis of the efficiency–integration nexus of Japanese stock market. (2017). Rizvi, Syed Aun R. ; Aun, Syed ; Arshad, Shaista. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:470:y:2017:i:c:p:296-308.

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2017Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets. (2017). Li, Qingchen ; Zhang, Minjia ; Cao, Guangxi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:472:y:2017:i:c:p:67-76.

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2017Causality and correlations between BSE and NYSE indexes: A Janus faced relationship. (2017). , Neeraj ; Panigrahi, Prasanta K. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:481:y:2017:i:c:p:284-313.

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2017Quantified moving average strategy of crude oil futures market based on fuzzy logic rules and genetic algorithms. (2017). Liu, Xiaojia ; Guan, Qing ; Wang, Lijun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:444-457.

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2017Predictability and co-movement relationships between conventional and Islamic stock market indexes: A multiscale exploration using wavelets. (2017). Saâdaoui, Foued ; Aldohaiman, Mohamed S ; al Dohaiman, Mohamed S ; Naifar, Nader ; Saadaoui, Foued. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:552-568.

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2018Time–frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes. (2018). Kaffel, Bilel ; Abid, Fathi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1028-1045.

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2018Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula. (2018). Lei, Likun ; Yu, Wenhua ; Yang, Kun ; Wei, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1423-1433.

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2018Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis. (2018). Loganathan, Nanthakumar ; Jammazi, Rania ; Sharif, Arshian ; Afshan, Sahar. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:225-244.

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2018The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis. (2018). Uddin, Gazi ; Bekiros, Stelios ; Ahmed, Ali. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:30-39.

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2018Investigation of multifractality in the Brazilian stock market. (2018). Maganini, Natalia Diniz ; Lima, Fabiano Guasti ; da Silva, Antonio Carlos. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:497:y:2018:i:c:p:258-271.

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2018Revisiting the investor sentiment–stock returns relationship: A multi-scale perspective using wavelets. (2018). Lao, Jiashun ; Jiang, Yonghong ; Nie, HE. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:420-427.

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2018A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets. (2018). Das, Debojyoti ; Jana, R K ; Bhowmik, Puja. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:379-393.

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2018Oil–gold time varying nexus: A time–frequency analysis. (2018). Khalfaoui, Rabeh . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:86-104.

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2018Dynamically Adjustable Moving Average (AMA’) technical analysis indicator to forecast Asian Tigers’ futures markets. (2018). Phooi, Jacinta Chan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:336-345.

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2018Forecasting exchange rate using Variational Mode Decomposition and entropy theory. (2018). He, Kaijian ; Chen, Yanhui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:15-25.

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2018Using artificial neural network for investigating of concurrent effects of multi-walled carbon nanotubes and alumina nanoparticles on the viscosity of 10W-40 engine oil. (2018). Esfe, Mohammad Hemmat ; Amiri, Mahmoud Kiannejad ; Afrand, Masoud ; Kamyab, Mohammad Hassan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:610-624.

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2019Measuring stock market resiliency with Discrete Fourier Transform for high frequency data. (2019). Olbrys, Joanna ; Mursztyn, Michal. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:248-256.

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2017Board structure and stock price informativeness in terms of moving average rules. (2017). Huang, Paoyu ; Ni, Yensen. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:161-169.

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2018Long-term stock market volatility and the influence of terrorist attacks in Europe. (2018). Gurdgiev, Constantin ; Corbet, Shaen ; Meegan, Andrew. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:118-131.

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2017Convergence of per capita CO2 emissions across the globe: Insights via wavelet analysis. (2017). Khan, Atif ; Zakaria, Muhammad ; Bibi, Salma ; Ahmed, Mumtaz. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:75:y:2017:i:c:p:86-97.

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2017Time-varying return-volatility relation in international stock markets. (2017). Jin, Xiaoye. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:157-173.

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2017Evaluating exchange rate forecasts along time and frequency. (2017). Caraiani, Petre. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:60-81.

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2018Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach. (2018). Mensi, Walid ; Kang, Sang Hoon ; Al-Yahyaee, Khamis H ; Hkiri, Besma. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:74-102.

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2018Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis. (2018). Lin, Fu-Lai ; Chen, Yu-Fen ; Marsh, Terry ; Yang, Sheng-Yung. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:285-294.

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2018The interconnections between U.S. financial CDS spreads and control variables: New evidence using partial and multivariate wavelet coherences. (2018). Shahbaz, Muhammad ; Hkiri, Besma ; Aloui, Chaker ; Hammoudeh, Shawkat. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:237-257.

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2019Intraday price discovery and volatility spillovers in an emerging market. (2019). Fassas, Athanasios P ; SIRIOPOULOS, COSTAS. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:333-346.

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2019Do gold mining stocks behave like gold or equities? Evidence from the UK and the US. (2019). Dar, Arif ; Bhanja, Niyati ; Paul, Manas . In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:369-384.

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2019Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. (2019). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:50-70.

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2018Predicting daily oil prices: Linear and non-linear models. (2018). Dbouk, Wassim ; Jamali, Ibrahim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:149-165.

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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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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.
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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.
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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]
article7
1997Technical Trading Rules and the Size of the Risk Premium in Security Returns In: Studies in Nonlinear Dynamics & Econometrics.
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article18
1996Technical Trading Rules and the Size of the Risk Premium in Security Returns..(1996) In: Working Papers.
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This paper has another version. Agregated cites: 18
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.
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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.
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paper54
2000Pricing and hedging derivative securities with neural networks and a homogeneity hint.(2000) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 54
article
1996Forecast Comparisons of Residential Housing Prices by Parametric and Semiparametric Regression. In: Canadian Journal of Economics.
[Full Text][Citation analysis]
article2
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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article3
2010UNIT ROOT TESTS WITH WAVELETS In: Econometric Theory.
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article52
2007Unit Root Tests with Wavelets.(2007) In: MPRA Paper.
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paper
2004Asymmetry of Information Flow Between Volatilities Across Time Scales In: Econometric Society 2004 North American Winter Meetings.
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paper32
2009Asymmetry of Information Flow Between Volatilities Across Time Scales.(2009) In: Working Paper series.
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paper
2010Asymmetry of information flow between volatilities across time scales.(2010) In: Quantitative Finance.
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This paper has another version. Agregated cites: 32
article
2000Statistical properties of genetic learning in a model of exchange rate In: Journal of Economic Dynamics and Control.
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article22
2003Foreign exchange trading models and market behavior In: Journal of Economic Dynamics and Control.
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article17
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.
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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]
article2
2011Investment horizon effect on asset allocation between value and growth strategies In: Economic Modelling.
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article12
2013Private information and its origins in an electronic foreign exchange market In: Economic Modelling.
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article4
2008Overnight interest rates and aggregate market expectations In: Economics Letters.
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article7
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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2017Informativeness of trade size in foreign exchange markets In: Economics Letters.
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article1
2017Informativeness of trade size in foreign exchange markets.(2017) In: Post-Print.
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2017Tests for serial correlation of unknown form in dynamic least squares regression with wavelets In: Economics Letters.
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article1
2017Application of wavelet decomposition in time-series forecasting In: Economics Letters.
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article0
1996A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators In: Economics Letters.
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article9
1998Optimization of technical trading strategies and the profitability in security markets In: Economics Letters.
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article40
2015Multi-scale tests for serial correlation In: Journal of Econometrics.
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article17
1988International chaos? In: European Economic Review.
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article25
2018Long-run wavelet-based correlation for financial time series In: European Journal of Operational Research.
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article0
2010Crash of 87 -- Was it expected?: Aggregate market fears and long-range dependence In: Journal of Empirical Finance.
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article11
2009Crash of 87 - Was it Expected? Aggregate Market Fears and Long Range Dependence.(2009) In: Working Paper series.
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1998The predictability of security returns with simple technical trading rules In: Journal of Empirical Finance.
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article44
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.(2010) In: Finance Research Letters.
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article
1999Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules In: Journal of International Economics.
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article56
2003High volatility, thick tails and extreme value theory in value-at-risk estimation In: Insurance: Mathematics and Economics.
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article23
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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article50
2012Trading frequency and volatility clustering In: Journal of Banking & Finance.
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article4
2009Trading Frequency and Volatility Clustering.(2009) In: Working Paper series.
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2013Fuzzy logic, trading uncertainty and technical trading In: Journal of Banking & Finance.
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article6
2015Economic links and credit spreads In: Journal of Banking & Finance.
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article7
2017Human vs. high-frequency traders, penny jumping, and tick size In: Journal of Banking & Finance.
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article0
2005Multiscale systematic risk In: Journal of International Money and Finance.
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article101
2001An Introduction to Wavelets and Other Filtering Methods in Finance and Economics In: Elsevier Monographs.
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book91
2001An Introduction to High-Frequency Finance In: Elsevier Monographs.
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book344
2001Effective return, risk aversion and drawdowns In: Physica A: Statistical Mechanics and its Applications.
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article7
2001Scaling properties of foreign exchange volatility In: Physica A: Statistical Mechanics and its Applications.
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article52
2001Differentiating intraday seasonalities through wavelet multi-scaling In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article46
2001Using genetic algorithms to select architecture of a feedforward artificial neural network In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article4
2002Exploring exchange rate returns at different time horizons In: Physica A: Statistical Mechanics and its Applications.
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article12
2003Scaling, self-similarity and multifractality in FX markets In: Physica A: Statistical Mechanics and its Applications.
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article26
2006Intraday dynamics of stock market returns and volatility In: Physica A: Statistical Mechanics and its Applications.
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article7
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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paper4
2008Liquidity-Induced Dynamics in Futures Markets.(2008) In: MPRA Paper.
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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.
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2002Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates In: International Economic Review.
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article15
1996Semiparametric Estimation of a Hedonic Price Function. In: Journal of Applied Econometrics.
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article69
1992Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis. In: Journal of Applied Econometrics.
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article28
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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paper1
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.
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paper9
2009Option Pricing with Modular Neural Networks In: Working Paper series.
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paper8
2007Applications of extreme value theory to collateral valuation In: Journal of Financial Transformation.
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article1
2016Commodity futures hedging, risk aversion and the hedging horizon In: The European Journal of Finance.
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article9
2012Commodity futures hedging, risk aversion and the hedging horizon.(2012) In: Working Papers.
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2013Jump detection with wavelets for high-frequency financial time series In: Quantitative Finance.
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article7
2018Price impact and bursts in liquidity provision In: Quantitative Finance.
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article0
2015Long-run international diversification In: Working Papers.
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paper0
2017OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2019. Contact: CitEc Team