Access Statistics for Ramazan Gencay

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Visual Goodness-of-Fit Test for Econometric Models 0 0 0 0 2 5 19 880
A Visual Test for Noise Filtering in Nonlinear Time Series 0 0 0 0 1 3 8 1,127
A Visual Test of Normality for Econometric Models 0 0 0 0 2 5 26 1,436
Asymmetry of Information Flow Between Volatilities Across Time Scales 2 5 9 9 6 11 11 11
Asymmetry of Information Flow Between Volatilities Across Time Scales 1 3 8 74 2 6 20 307
Crash of ’87 - Was it Expected? Aggregate Market Fears and Long Range Dependence 0 8 13 13 0 6 6 6
Errors-in-Variables Estimation with No Instruments 3 14 19 19 9 20 23 23
Hierarchical Information and the Rate of Information Diffusion 1 8 9 9 5 22 22 22
Information flow between volatilities across time scales 0 1 4 5 0 2 15 16
Informed trading in an electronic foreign exchange market 0 10 10 10 1 10 10 10
Liquidity-Induced Dynamics in Futures Markets 0 1 20 45 4 6 71 82
Liquidity-Induced Dynamics in Futures Markets 1 5 29 92 2 11 68 176
Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures 0 2 10 28 0 3 17 76
Option Pricing with Modular Neural Networks 4 31 36 36 9 23 28 28
Overnight Borrowing, Interest Rates and Extreme Value Theory 2 7 21 304 5 15 72 1,180
Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint 3 6 26 591 9 27 117 1,976
Profitability in an electronic foreign exchange market: informed trading or differences in valuation? 0 9 10 10 4 15 15 15
Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events 0 5 26 85 6 29 100 318
Technical Trading Rules and the Size of the Risk Premium in Security Returns 0 0 0 0 2 5 21 713
Trading Frequency and Volatility Clustering 4 27 27 27 8 38 39 39
Unit Root Tests with Wavelets 1 8 33 36 3 18 62 67
Total Working Papers 22 150 310 1,393 80 280 770 8,508

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Visual Goodness-of-Fit Test for Econometric Models 0 4 15 66 0 7 44 294
A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators 0 0 4 21 0 1 13 78
An Introduction to High-Frequency Finance: Michael M. Dacorogna, Ramazan Gencay, Ulrich Muller, Richard B. Olsen, and Olivier V. Pictet. San Diego, CA: Academic Press, 2001. 383 pp., $79.95, ISBN: 0-12-279671-3 17 40 187 801 27 78 375 1,543
EVIM: A Software Package for Extreme Value Analysis in MATLAB 0 37 174 982 2 113 516 2,648
Editorial 0 1 2 10 0 1 7 37
Editorial for "Challenge" 0 1 1 1 0 3 6 9
Extreme value theory and Value-at-Risk: Relative performance in emerging markets 4 7 34 160 7 14 65 381
Forecast Comparisons of Residential Housing Prices by Parametric and Semiparametric Regression 0 1 1 3 0 1 3 148
Foreign exchange trading models and market behavior 3 11 23 148 7 17 52 289
High volatility, thick tails and extreme value theory in value-at-risk estimation 0 1 8 75 0 2 23 208
International chaos? 0 3 6 17 0 3 16 97
Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules 3 15 39 151 8 28 117 366
Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis 3 7 24 157 5 15 46 465
Multiscale systematic risk 0 2 3 52 0 3 11 120
Optimization of technical trading strategies and the profitability in security markets 2 3 20 118 5 7 41 230
Overnight borrowing, interest rates and extreme value theory 0 3 6 43 0 3 27 275
Overnight interest rates and aggregate market expectations 0 1 5 6 0 2 14 28
Pricing and hedging derivative securities with neural networks and a homogeneity hint 0 1 8 86 2 4 21 192
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates 1 5 31 271 4 10 80 628
Semiparametric Estimation of a Hedonic Price Function 6 9 27 273 9 16 46 604
Software reviews 0 2 3 18 0 2 8 71
Statistical properties of genetic learning in a model of exchange rate 0 2 7 28 0 3 15 176
Technical Trading Rules and the Size of the Risk Premium in Security Returns 0 8 15 118 0 8 28 270
Tests of the Risk Premium on Foreign Currency Futures Implied by the Intertemporal Asset Pricing Theory 0 1 2 24 1 3 11 72
The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms 0 5 16 87 0 8 49 360
The predictability of security returns with simple technical trading rules 2 10 33 132 3 14 53 240
Time-to-Expiry Seasonalities in Eurofutures 0 3 9 71 0 4 16 237
Total Journal Articles 41 183 703 3,919 80 370 1,703 10,066

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Statistics updated 2009-11-04