Ramazan Gencay : Citation Profile


Deceased: 2018-12

19

H index

30

i10 index

1533

Citations

RESEARCH PRODUCTION:

63

Articles

30

Papers

2

Books

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   30 years (1988 - 2018). See details.
   Cites by year: 51
   Journals where Ramazan Gencay has often published
   Relations with other researchers
   Recent citing documents: 138.    Total self citations: 24 (1.54 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pge80
   Updated: 2020-08-09    RAS profile:    
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Relations with other researchers


Works with:

Gradojevic, Nikola (6)

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)

Baruník, Jozef (22)

Vacha, Lukas (22)

Bekiros, Stelios (21)

Fernandez, Viviana (21)

Uddin, Gazi (18)

Gallegati, Marco (16)

Verona, Fabio (16)

Shephard, Neil (14)

Bask, Mikael (14)

Cites to:

Bollerslev, Tim (29)

Dacorogna, Michel (16)

Lo, Andrew (16)

Lebaron, Blake (14)

Engle, Robert (13)

Mandelbrot, Benoît (13)

Brock, William (12)

Diebold, Francis (12)

Campbell, John (12)

Olsen, Richard (11)

Timmermann, Allan (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
Journal of Banking & Finance5
Studies in Nonlinear Dynamics & Econometrics5
Journal of Economic Dynamics and Control4
Finance Research Letters3
Economic Modelling3
Quantitative Finance3
European Economic Review2
Journal of Econometrics2
Journal of Empirical Finance2
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
Staff Working Papers / Bank of Canada2
Working Papers / Geary Institute, University College Dublin2
Post-Print / HAL2

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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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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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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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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2018Front‐Running and Market Quality: An Evolutionary Perspective on High Frequency Trading. (2018). Schenk-Hoppé, Klaus ; Lensberg, Terje ; SchenkHoppe, Klaus Reiner ; Hens, Thorsten. In: International Review of Finance. RePEc:bla:irvfin:v:18:y:2018:i:4:p:727-741.

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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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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). Trokic, Mirza ; Gogebakan, Kemal Caglar ; Eroglu, Burak. In: Working Papers. RePEc:bli:wpaper:1707.

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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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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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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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2017How does information disclosure affect liquidity? Evidence from an Emerging Market. (2017). Arango, Ignacio ; Agudelo, Diego A. 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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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 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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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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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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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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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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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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2017An Investigation of Stationarity Properties of the Turkish Tourism Income Variable. (2017). Ertugrul, Hasan ; Ayhan, F ; Yildirim, S. In: International Econometric Review (IER). RePEc:erh:journl:v:9:y:2017:i:2:p:37-49.

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2020Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach. (2020). Hamori, Shigeyuki ; Yang, LU. 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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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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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]
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.
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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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paper59
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: 59
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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article61
2007Unit Root Tests with Wavelets.(2007) In: MPRA Paper.
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This paper has another version. Agregated cites: 61
paper
2004Asymmetry of Information Flow Between Volatilities Across Time Scales In: Econometric Society 2004 North American Winter Meetings.
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paper36
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: 36
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: 36
article
2000Statistical properties of genetic learning in a model of exchange rate In: Journal of Economic Dynamics and Control.
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article24
2003Foreign exchange trading models and market behavior In: Journal of Economic Dynamics and Control.
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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]
article5
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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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.
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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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article3
2017Informativeness of trade size in foreign exchange markets.(2017) In: Post-Print.
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This paper has another version. Agregated cites: 3
paper
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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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]
article9
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.
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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]
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 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.
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article25
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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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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article10
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.
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article110
2001An Introduction to Wavelets and Other Filtering Methods in Finance and Economics In: Elsevier Monographs.
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book104
2001An Introduction to High-Frequency Finance In: Elsevier Monographs.
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book372
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.
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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.
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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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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.
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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.
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article73
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.
[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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paper11
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.
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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