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 0 0 9 1,039
A Visual Test for Noise Filtering in Nonlinear Time Series 0 0 0 0 0 0 1 1,175
A Visual Test of Normality for Econometric Models 0 0 0 0 0 0 0 1,527
A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage 1 1 1 1 1 2 3 26
Asymmetry of Information Flow Between Volatilities Across Time Scales 0 0 0 53 0 0 1 198
Asymmetry of Information Flow Between Volatilities Across Time Scales 0 0 0 93 1 1 8 411
Commodity futures hedging, risk aversion and the hedging horizon 0 2 2 123 0 2 5 625
Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence 0 0 2 45 0 0 4 123
Errors-in-Variables Estimation with No Instruments 0 0 0 20 1 1 1 149
Hedging through a Limit Order Book with Varying Liquidity 0 0 1 32 0 2 4 104
Hierarchical Information and the Rate of Information Diffusion 0 0 0 26 0 0 3 187
Information flow between volatilities across time scales 0 0 0 20 0 1 1 105
Informativeness of trade size in foreign exchange markets 0 0 0 0 0 0 1 29
Informed Trading in an Electronic Foreign Exchange Market 0 0 0 41 0 0 1 125
Informed traders' arrival in foreign exchange markets: Does geography matter? 0 0 0 0 0 0 1 32
Liquidity-Induced Dynamics in Futures Markets 0 0 0 64 0 0 1 166
Liquidity-Induced Dynamics in Futures Markets 0 0 1 131 0 1 5 302
Long-run international diversification 0 0 1 29 0 2 6 228
Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures 0 0 0 44 0 0 0 152
Muddying the waters: Who Induces Volatility in an Emerging Market? 0 0 1 11 0 0 4 62
Option Pricing with Modular Neural Networks 1 1 2 58 1 2 4 181
Overnight Borrowing, Interest Rates and Extreme Value Theory 0 0 0 332 0 0 2 1,346
Overnight Interest Rates and Aggregate Market Expectations 0 0 0 11 0 0 0 77
Price Impact of Aggressive Liquidity Provision 0 0 1 33 0 0 3 87
Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint 0 0 2 667 0 2 11 2,321
Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation? 0 0 0 40 0 0 3 144
Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events 0 0 0 132 0 0 0 506
Technical Trading Rules and the Size of the Risk Premium in Security Returns 0 0 0 0 0 0 1 802
Trading Frequency and Volatility Clustering 0 0 0 50 0 1 1 192
Unit Root Tests with Wavelets 0 0 0 128 0 1 2 343
WHEN ARE WAVELETS USEFUL FORECASTERS? 0 1 1 87 0 1 2 57
Total Working Papers 2 5 15 2,271 4 19 88 12,821
1 registered items for which data could not be found


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 0 0 89 0 0 1 466
A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators 0 0 0 35 1 1 2 141
A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage 0 0 0 13 1 1 6 72
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 1 1 2 1,217 2 2 12 2,668
Application of wavelet decomposition in time-series forecasting 0 0 4 50 1 1 14 185
Applications of extreme value theory to collateral valuation 0 0 0 0 0 0 0 145
Asymmetry of information flow between volatilities across time scales 0 0 1 34 0 1 2 132
Clustering and Classification in Option Pricing 0 0 0 27 0 0 4 160
Commodity futures hedging, risk aversion and the hedging horizon 0 0 2 13 0 0 6 136
Contagion in a network of heterogeneous banks 0 1 1 17 1 3 4 53
Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence 0 0 3 25 0 0 5 80
Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures 0 0 0 83 1 1 7 460
Differentiating intraday seasonalities through wavelet multi-scaling 0 0 1 26 0 1 5 75
EVIM: A Software Package for Extreme Value Analysis in MATLAB 0 0 2 1,787 0 0 9 4,831
Economic links and credit spreads 0 0 0 10 0 0 2 97
Editorial 0 0 0 13 0 0 0 63
Editorial for "Challenge" 0 0 0 8 0 0 3 58
Editorial for Challenge 0 0 0 21 0 0 1 64
Effective return, risk aversion and drawdowns 0 0 1 7 0 0 2 56
Enhancing the predictability of crude oil markets with hybrid wavelet approaches 0 0 0 3 0 1 4 19
Exploring exchange rate returns at different time horizons 0 0 0 7 0 0 0 50
Extreme value theory and Value-at-Risk: Relative performance in emerging markets 0 0 4 254 0 2 10 664
Forecast Comparisons of Residential Housing Prices by Parametric and Semiparametric Regression 0 0 0 6 0 0 1 193
Foreign exchange trading models and market behavior 0 1 2 265 0 1 5 539
Fuzzy logic, trading uncertainty and technical trading 0 0 5 175 0 3 15 497
Hierarchical information and the rate of information diffusion 0 0 0 7 0 0 1 73
High volatility, thick tails and extreme value theory in value-at-risk estimation 0 0 1 113 0 0 4 388
Human vs. high-frequency traders, penny jumping, and tick size 0 0 0 13 0 1 3 88
Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment 0 0 0 14 0 0 2 84
Informativeness of trade size in foreign exchange markets 0 0 1 12 0 0 2 63
Informed traders’ arrival in foreign exchange markets: Does geography matter? 0 0 0 9 2 2 3 56
International chaos? 0 0 0 36 0 0 1 175
Intraday dynamics of stock market returns and volatility 0 0 0 15 0 0 1 79
Investment horizon effect on asset allocation between value and growth strategies 0 0 0 52 0 0 3 322
Is it Brownian or fractional Brownian motion? 0 1 1 21 2 3 6 81
Jump detection with wavelets for high-frequency financial time series 0 0 1 20 0 0 2 74
Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules 0 0 0 244 0 1 7 627
Long-run wavelet-based correlation for financial time series 0 1 1 11 0 2 4 124
Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis 0 0 2 180 0 0 3 583
MUTUAL FUND PERFORMANCE IN DEVELOPING AND ADVANCED WORLD NETWORKS 0 0 0 9 0 1 5 55
Multi-scale tests for serial correlation 0 0 1 26 0 0 3 125
Multiscale systematic risk 0 0 0 114 0 0 1 340
OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS 0 0 2 29 0 2 8 79
Optimization of technical trading strategies and the profitability in security markets 0 0 4 232 0 0 9 491
Overnight borrowing, interest rates and extreme value theory 0 0 2 63 0 0 2 402
Overnight interest rates and aggregate market expectations 0 0 0 20 0 0 0 87
Price impact and bursts in liquidity provision 0 0 0 6 0 0 0 14
Pricing and hedging derivative securities with neural networks and a homogeneity hint 0 0 7 202 0 4 19 609
Private information and its origins in an electronic foreign exchange market 0 0 0 9 0 0 1 68
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates 0 0 1 359 0 1 3 869
Recovering cointegration via wavelets in the presence of non-linear patterns 0 0 4 16 0 0 7 31
Resilience to the financial crisis in customer-supplier networks 0 0 0 0 0 0 0 7
Scaling properties of foreign exchange volatility 0 0 0 23 0 0 1 103
Scaling, self-similarity and multifractality in FX markets 0 0 0 4 0 0 1 40
Semiparametric Estimation of a Hedonic Price Function 0 1 9 557 0 3 14 1,157
Short‐run wavelet‐based covariance regimes for applied portfolio management 0 0 0 1 0 0 0 12
Software reviews 0 0 0 24 0 0 2 111
Statistical properties of genetic learning in a model of exchange rate 0 0 0 50 0 0 1 280
Technical Trading Rules and the Size of the Risk Premium in Security Returns 0 0 1 170 0 1 4 435
Tests for serial correlation of unknown form in dynamic least squares regression with wavelets 0 0 0 3 0 0 1 33
The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms 0 0 0 151 0 0 3 531
The predictability of security returns with simple technical trading rules 0 0 2 258 0 2 9 581
Time-to-Expiry Seasonalities in Eurofutures 0 0 0 81 0 0 1 296
Trading frequency and volatility clustering 0 0 0 39 0 0 0 158
UNIT ROOT TESTS WITH WAVELETS 0 0 1 53 0 0 4 161
Using genetic algorithms to select architecture of a feedforward artificial neural network 0 0 0 6 0 0 2 47
Total Journal Articles 1 6 69 7,437 11 41 263 21,843


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An Introduction to High-Frequency Finance 3 5 28 216 5 10 57 530
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics 2 9 34 253 4 15 65 542
Total Books 5 14 62 469 9 25 122 1,072


Statistics updated 2025-07-04