Ramazan Gencay : Citation Profile


Deceased: 2018-12

19

H index

31

i10 index

1562

Citations

RESEARCH PRODUCTION:

63

Articles

30

Papers

2

Books

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   30 years (1988 - 2018). See details.
   Cites by year: 52
   Journals where Ramazan Gencay has often published
   Relations with other researchers
   Recent citing documents: 108.    Total self citations: 24 (1.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pge80
   Updated: 2020-09-22    RAS profile:    
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Relations with other researchers


Works with:

Gradojevic, Nikola (5)

cotter, john (3)

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 (25)

Masih, Abul (24)

Bekiros, Stelios (24)

Fernandez, Viviana (24)

Baruník, Jozef (22)

Vacha, Lukas (22)

Uddin, Gazi (18)

Gallegati, Marco (16)

Verona, Fabio (16)

Andersen, Torben (14)

Kiani, Khurshid (14)

Cites to:

Bollerslev, Tim (29)

Lo, Andrew (16)

Dacorogna, Michel (16)

Lebaron, Blake (14)

Engle, Robert (13)

Mandelbrot, Benoît (13)

Brock, William (12)

Diebold, Francis (12)

Campbell, John (12)

Olsen, Richard (11)

Summers, Lawrence (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
Journal of Economic Dynamics and Control4
Finance Research Letters3
Economic Modelling3
Quantitative Finance3
Journal of Applied Econometrics2
Journal of Empirical Finance2
European Economic Review2
International Journal of Forecasting2
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 / HAL2
Staff Working Papers / Bank of Canada2
Working Papers / Geary Institute, University College Dublin2

Recent works citing Ramazan Gencay (2020 and 2019)


YearTitle of citing document
2019GARCH based VaR estimation: An empirical evidence from BRICS stock markets. (2019). Rao, Prabhakar ; Guptha, Siva Kiran. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:201-218.

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2019GARCH based VaR estimation: An empirical evidence from BRICS stock markets. (2019). Rao, Prabhakar ; Guptha, Siva Kiran. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:201-218.

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2019Mr Phillips and the medium-run: temporal instability vs. frequency stability. (2019). Giri, Federico ; Gallegati, Marco ; Fratianni, Michele. In: Mo.Fi.R. Working Papers. RePEc:anc:wmofir:155.

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

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2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Yue, YE ; Kanniainen, Juho. 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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2019Feature Engineering for Mid-Price Prediction with Deep Learning. (2019). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Mirone, Giorgio ; Ntakaris, Adamantios. In: Papers. RePEc:arx:papers:1904.05384.

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2019Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1904.12346.

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2019The 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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2020On 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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2020Non-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). Cr, St'Ephane ; Chataigner, Marc ; Dixon, Matthew. In: Papers. RePEc:arx:papers:2007.10462.

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

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2019Dynamics of Mexican Inflation: A Wavelet Analysis. (2019). Daniel, Samano ; Josue, Cortes Espada ; Rubi, Gutierrez Villanueva. In: Working Papers. RePEc:bdm:wpaper:2019-17.

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2019REAL INTEREST RATE PARITY AND FOURIER QUANTILE UNIT ROOT TEST. (2019). Chang, Tsangyao ; Bahmani-Oskooee, Mohsen ; Ranjbar, Omid ; Elmi, Zahra ; Bahmanioskooee, Mohsen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:71:y:2019:i:3:p:348-358.

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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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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). Ghazi, Shukur ; Aziz, Ali Abdul ; Kristofer, Mnsson. 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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2019Factibilidad del uso de contratos de futuros del Chicago Mercantile Exchange para la cobertura del riesgo de precio en el ganado bovino chileno. (2019). Monje, Juan Cabas ; Sepulveda, Ricardo Troncoso. In: Revista Lecturas de Economía. RePEc:col:000174:017438.

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2019Identifying horizon-based heterogeneity in the cross section of portfolio returns. (2019). Lundberg, Clark. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00123.

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2019Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets. (2019). Santillan-Salgado, Roberto J ; de Jesus-Gutierrez, Raul. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-12.

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2019Dynamic expected shortfall: A spectral decomposition of tail risk across time horizons. (2019). Peng, Hongfeng ; Shi, Jing ; Liao, Yin ; Bu, DI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188918302483.

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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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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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2019The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data. (2019). Huang, Chia-Hsing ; Meng, Xiangcai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:131-148.

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2019Complex analytic wavelets in the measurement of macroeconomic risks. (2019). Bruzda, Joanna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818302493.

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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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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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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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2019The role of technical indicators in exchange rate forecasting. (2019). Panopoulou, Ekaterini ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:197-221.

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2019Temporal and spectral dependence between crude oil and agricultural commodities: A wavelet-based copula approach. (2019). Oglend, Atle ; Yahya, Muhammad ; Dahl, Roy Endre. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:277-296.

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2019Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes. (2019). Heni, Boubaker ; Souhir, Ben Amor ; Lotfi, Belkacem. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:635-655.

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2019Crude oil futures trading and uncertainty. (2019). Czudaj, Robert. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:793-811.

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2019CO2 emissions and economic activity: A short-to-medium run perspective. (2019). Fosten, Jack. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:415-429.

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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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2019Time frequency relationship between energy consumption, economic growth and environmental degradation in the United States: Evidence from transportation sector. (2019). Raza, Syed ; Sharif, Arshian ; Shah, Nida. In: Energy. RePEc:eee:energy:v:173:y:2019:i:c:p:706-720.

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2019Visiting effects of crude oil price on economic growth in BRICS countries: Fresh evidence from wavelet-based quantile-on-quantile tests. (2019). Chen, Cuiqiong ; Mo, Bin ; Jiang, Yonghong ; Nie, HE. In: Energy. RePEc:eee:energy:v:178:y:2019:i:c:p:234-251.

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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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2019Does corporate hedging enhance shareholder value? A meta-analysis. (2019). Huan, Xing ; Conlon, Thomas ; Bessler, Wolfgang. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:222-232.

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2019Intraday volume-volatility nexus in the FX markets: Evidence from an emerging market. (2019). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:1-12.

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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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2019Wavelet variance ratio cointegration test and wavestrapping. (2019). Erolu, Burak Alparslan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:171:y:2019:i:c:p:298-319.

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2019A wavelet analysis of the relationship between oil and natural gas prices. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Balcilar, Mehmet ; Mukherjee, Zinnia. In: Resources Policy. RePEc:eee:jrpoli:v:60:y:2019:i:c:p:118-124.

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2019Risk analysis of high frequency precious metals returns by using long memory model. (2019). Shahbaz, Muhammad ; Naeem, Muhammad ; Mustafa, Faisal ; Saleem, Kashif. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:399-409.

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2019Connectedness and hedging between gold and Islamic securities: A new evidence from time-frequency domain approaches. (2019). Awartani, Basel ; Abdoh, Hussein ; Maghyereh, Aktham I. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:13-28.

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2019Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets. (2019). Brooks, Robert ; Dash, Saumya Ranjan ; Maitra, Debasish ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x18305912.

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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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2019Modeling non-stationarities in high-frequency financial time series. (2019). Raberto, Marco ; Scalas, Enrico ; Trinh, Mailan ; Ponta, Linda ; Cincotti, Silvano. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:521:y:2019:i:c:p:173-196.

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2019Growth volatility and inequality in the U.S.: A wavelet analysis. (2019). Miller, Stephen ; GUPTA, RANGAN ; Wohar, Mark E ; Chang, Shinhye. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:521:y:2019:i:c:p:48-73.

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2019Trading as sharp movements in oil prices and technical trading signals emitted with big data concerns. (2019). Huang, Paoyu ; Ni, Yensen ; Day, Min-Yuh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:349-372.

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2019A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio. (2019). Belkacem, Lotfi ; Boubaker, Heni ; Karmous, Aida. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312695.

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2019Estimation of intraday stock market resiliency: Short-Time Fourier Transform approach. (2019). Olbrys, Joanna ; Mursztyn, Michal. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313901.

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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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2019Intra-day dynamics of exchange rates: New evidence from quantile regression. (2019). Kuck, Konstantin ; Maderitsch, Robert. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:247-257.

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2019Repeated wavelet transform based ARIMA model for very short-term wind speed forecasting. (2019). Mohapatra, Abheejeet ; Singh, S N. In: Renewable Energy. RePEc:eee:renene:v:136:y:2019:i:c:p:758-768.

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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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2019Comovement and disintegration of EU sovereign bond markets during the crisis. (2019). Vacha, Lukas ; Baxa, Jaromir ; Molik, Filip. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:541-556.

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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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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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2019Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time. (2019). Petrov, Vladimir ; Olsen, Richard ; Golub, Anton . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:54-:d:219095.

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

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2019Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach. (2019). He, Ling-Yun ; Wang, Zi-Jie ; Liu, Li-Na ; Zhao, Lu-Tao. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:14:p:3892-:d:249220.

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2020Neural Network pricing of American put options. (2020). Sequeira, Bernardo ; Lopes, Sara D ; Gaspar, Raquel M. In: Working Papers REM. RePEc:ise:remwps:wp01222020.

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2019.

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2019Wavelet Multiresolution Analysis of the Liquidity Effect and Monetary Neutrality. (2019). Habimana, Olivier. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9725-1.

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2019Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method. (2019). Tomar, Nutan Kumar ; Kumar, Sumit ; Kundu, Arindam. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9846-1.

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2019Technical Trading Behaviour: Evidence from Chinese Rebar Futures Market. (2019). Liu, Guanqing . In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9851-4.

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2020Risk-Constrained Kelly Portfolios Under Alpha-Stable Laws. (2020). Härdle, Wolfgang ; Hardle, Wolfgang K ; Wesselhofft, Niels. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09913-y.

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2019Incorporating financial market volatility to improve forecasts of directional changes in Australian share market returns. (2019). Natoli, Riccardo ; Kulendran, Nada ; Erdugan, Riza. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:33:y:2019:i:4:d:10.1007_s11408-019-00338-z.

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2020A new unbiased additive robust volatility estimation using extreme values of asset prices. (2020). Maheswaran, S ; Shaik, Muneer. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00355-3.

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2020Mortgage-related bank penalties and systemic risk among U.S. banks. (2020). Kočenda, Evžen ; Broza, Vaclav ; Kocenda, Evzen . In: KIER Working Papers. RePEc:kyo:wpaper:1024.

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2019Do High-frequency-based Measures Improve Conditional Covariance Forecasts?. (2019). Dumitrescu, Elena Ivona ; Banulescu-Radu, Denisa. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2709.

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2020The impact of exchange rate, oil price and gold price on the Kuwaiti stock market: a wavelet analysis. (2020). SAITI, BURHAN ; Ahmad, Basheer Altarturi. In: European Journal of Comparative Economics. RePEc:liu:liucej:v:17:y:2020:i:1:p:31-54.

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2020On the Applicability of the Black-Scholes Model to the Inverse Quantity of Price (Under Peer-Review). (2020). Tahara, Hiroki. In: OSF Preprints. RePEc:osf:osfxxx:fgnca.

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2019Refinement of the hedging ratio using copula-GARCH models. (2019). Raïs, Hassen ; Rais, Hassen ; Louhichi, Wael. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:5:d:10.1057_s41260-019-00133-5.

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2019A New Nonlinear Wavelet-Based Unit Root Test with Structural Breaks. (2019). Aydin, Mucahit. In: MPRA Paper. RePEc:pra:mprapa:98693.

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2020Lead-lag and relationship between money growth and inflation in Turkey: New evidence from a wavelet analysis. (2020). Türsoy, Turgut ; Mar, Muhammad ; Tursoy, Turgut. In: MPRA Paper. RePEc:pra:mprapa:99595.

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2020An energy-based measure for long-run horizon risk quantification. (2020). Maurer, Frantz ; Tzagkarakis, George . In: Annals of Operations Research. RePEc:spr:annopr:v:289:y:2020:i:2:d:10.1007_s10479-020-03609-5.

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2020Dynamic long-range dependences in the Swiss stock market. (2020). Ferreira, Paulo. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1549-x.

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2019Directed continuous-time random walk with memory. (2019). Klamut, Jarosaw ; Gubiec, Tomasz. In: The European Physical Journal B: Condensed Matter and Complex Systems. RePEc:spr:eurphb:v:92:y:2019:i:4:d:10.1140_epjb_e2019-90453-y.

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2019Bodenwertermittlung mit statistischen Methoden. (2019). Wersing, Martin ; Schulz, Rainer ; Kolbe, Jens ; Werwatz, Axel. In: Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research). RePEc:spr:gjorer:v:5:y:2019:i:1:d:10.1365_s41056-019-00038-9.

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2019Cross-market information spillover and the performance of technical trading in the foreign exchange market. (2019). Chang, Yung-Ho. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:43:y:2019:i:2:d:10.1007_s12197-018-9440-3.

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2019Hedonic pricing models and residual house price volatility. (2019). Lisi, Gaetano. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:12:y:2019:i:2:d:10.1007_s12076-019-00232-2.

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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.
[Full Text][Citation analysis]
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]
article7
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]
paper65
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: 65
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.
[Full Text][Citation analysis]
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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article63
2007Unit Root Tests with Wavelets.(2007) In: MPRA Paper.
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This paper has another version. Agregated cites: 63
paper
2004Asymmetry of Information Flow Between Volatilities Across Time Scales In: Econometric Society 2004 North American Winter Meetings.
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paper37
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: 37
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: 37
article
2000Statistical properties of genetic learning in a model of exchange rate In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article24
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]
article6
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.
[Full Text][Citation analysis]
article6
2020A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage In: Economic Modelling.
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article0
2008Overnight interest rates and aggregate market expectations In: Economics Letters.
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article8
2009Overnight Interest Rates and Aggregate Market Expectations.(2009) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2016Is it Brownian or fractional Brownian motion? In: Economics Letters.
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article1
2017Informativeness of trade size in foreign exchange markets In: Economics Letters.
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article4
2017Informativeness of trade size in foreign exchange markets.(2017) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 4
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]
article2
2019Enhancing the predictability of crude oil markets with hybrid wavelet approaches In: Economics Letters.
[Full Text][Citation analysis]
article0
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]
article41
2015Multi-scale tests for serial correlation In: Journal of Econometrics.
[Full Text][Citation analysis]
article21
1988International chaos? In: European Economic Review.
[Full Text][Citation analysis]
article25
2018Long-run wavelet-based correlation for financial time series In: European Journal of Operational Research.
[Full Text][Citation analysis]
article0
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.
[Full Text][Citation analysis]
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]
article45
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.
[Full Text][Citation analysis]
article59
2003High volatility, thick tails and extreme value theory in value-at-risk estimation In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article25
2001Software reviews In: International Journal of Forecasting.
[Full Text][Citation analysis]
article0
2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets In: International Journal of Forecasting.
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article55
2020Contagion in a network of heterogeneous banks In: Journal of Banking & Finance.
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article0
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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This paper has another version. Agregated cites: 4
paper
2013Fuzzy logic, trading uncertainty and technical trading In: Journal of Banking & Finance.
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article11
2015Economic links and credit spreads In: Journal of Banking & Finance.
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article10
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.
[Full Text][Citation analysis]
article112
2001An Introduction to Wavelets and Other Filtering Methods in Finance and Economics In: Elsevier Monographs.
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book109
2001An Introduction to High-Frequency Finance In: Elsevier Monographs.
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book373
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]
article56
2001Differentiating intraday seasonalities through wavelet multi-scaling In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
article53
2001Using genetic algorithms to select architecture of a feedforward artificial neural network In: Physica A: Statistical Mechanics and its Applications.
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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.
[Full Text][Citation analysis]
article26
2006Intraday dynamics of stock market returns and volatility In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
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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paper4
2008Liquidity-Induced Dynamics in Futures Markets.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2015Informed traders arrival in foreign exchange markets: Does geography matter? In: Post-Print.
[Citation analysis]
paper5
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: 5
article
2002Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates In: International Economic Review.
[Full Text][Citation analysis]
article18
1996Semiparametric Estimation of a Hedonic Price Function. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article75
1992Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article28
2004Information flow between volatilities across time scales In: MPRA Paper.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
paper1
2009Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation? In: Working Paper series.
[Full Text][Citation analysis]
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.
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paper13
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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article14
2012Commodity futures hedging, risk aversion and the hedging horizon.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2013Jump detection with wavelets for high-frequency financial time series In: Quantitative Finance.
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article8
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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paper1
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 July, 2 2020. Contact: CitEc Team