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 1 1 11 1,025
A Visual Test for Noise Filtering in Nonlinear Time Series 0 0 0 0 1 1 7 1,172
A Visual Test of Normality for Econometric Models 0 0 0 0 0 0 3 1,523
Asymmetry of Information Flow Between Volatilities Across Time Scales 0 0 3 52 0 0 16 188
Asymmetry of Information Flow Between Volatilities Across Time Scales 0 0 0 91 0 2 5 392
Commodity futures hedging, risk aversion and the hedging horizon 0 0 1 112 5 7 18 488
Crash of '87 - Was it Expected? Aggregate Market Fears and Long Range Dependence 0 0 0 41 0 1 2 115
Errors-in-Variables Estimation with No Instruments 0 0 0 15 3 3 13 101
Hedging through a Limit Order Book with Varying Liquidity 0 0 3 29 0 1 7 92
Hierarchical Information and the Rate of Information Diffusion 0 0 0 25 4 4 8 172
Information flow between volatilities across time scales 0 0 0 18 0 0 3 91
Informativeness of trade size in foreign exchange markets 0 0 0 0 2 2 7 21
Informed Trading in an Electronic Foreign Exchange Market 0 0 0 39 0 0 4 120
Informed traders' arrival in foreign exchange markets: Does geography matter? 0 0 0 0 1 2 8 22
Liquidity-Induced Dynamics in Futures Markets 0 0 2 127 2 3 11 286
Liquidity-Induced Dynamics in Futures Markets 0 0 1 60 0 2 8 157
Long-run international diversification 1 1 3 23 3 5 11 95
Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures 0 0 0 41 0 1 6 145
Muddying the waters: Who Induces Volatility in an Emerging Market? 1 1 1 4 5 9 21 38
Option Pricing with Modular Neural Networks 0 0 1 48 3 4 7 147
Overnight Borrowing, Interest Rates and Extreme Value Theory 0 0 1 328 1 1 8 1,326
Overnight Interest Rates and Aggregate Market Expectations 0 0 0 9 0 1 5 68
Price Impact of Aggressive Liquidity Provision 0 1 1 29 0 2 14 63
Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint 0 1 6 649 2 7 33 2,250
Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation? 0 0 0 37 1 3 6 133
Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events 0 0 0 128 1 2 4 494
Technical Trading Rules and the Size of the Risk Premium in Security Returns 0 0 0 0 0 0 9 794
Trading Frequency and Volatility Clustering 0 1 2 47 4 5 12 177
Unit Root Tests with Wavelets 1 1 5 121 2 4 13 320
WHEN ARE WAVELETS USEFUL FORECASTERS? 0 1 2 78 2 6 10 38
Total Working Papers 3 7 32 2,151 43 79 290 12,053


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 87 0 1 2 452
A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators 0 0 2 35 0 0 4 134
A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage 0 0 3 3 2 7 14 14
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 0 0 1 1,177 2 5 29 2,556
Application of wavelet decomposition in time-series forecasting 2 2 9 32 4 7 30 99
Applications of extreme value theory to collateral valuation 0 0 0 0 1 2 9 136
Asymmetry of information flow between volatilities across time scales 0 0 1 28 0 1 7 109
Clustering and Classification in Option Pricing 0 1 2 26 0 2 7 141
Commodity futures hedging, risk aversion and the hedging horizon 0 0 2 3 3 5 17 35
Contagion in a network of heterogeneous banks 0 1 6 6 1 5 18 18
Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence 0 0 0 20 0 0 0 66
Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures 0 3 6 62 0 11 34 377
Differentiating intraday seasonalities through wavelet multi-scaling 0 0 4 16 0 1 9 51
EVIM: A Software Package for Extreme Value Analysis in MATLAB 4 10 48 1,714 9 31 117 4,554
Economic links and credit spreads 0 0 0 4 0 0 8 65
Editorial 0 0 0 13 0 0 1 61
Editorial for "Challenge" 0 0 0 8 0 0 2 50
Editorial for Challenge 0 0 0 21 0 0 1 59
Effective return, risk aversion and drawdowns 1 1 1 5 3 6 13 45
Enhancing the predictability of crude oil markets with hybrid wavelet approaches 0 0 1 1 0 0 6 6
Exploring exchange rate returns at different time horizons 0 0 0 7 0 0 3 44
Extreme value theory and Value-at-Risk: Relative performance in emerging markets 0 1 9 237 0 4 25 628
Forecast Comparisons of Residential Housing Prices by Parametric and Semiparametric Regression 0 0 0 6 2 2 3 190
Foreign exchange trading models and market behavior 0 0 0 259 1 1 4 516
Fuzzy logic, trading uncertainty and technical trading 1 3 6 140 4 8 22 402
Hierarchical information and the rate of information diffusion 0 0 0 7 1 1 7 61
High volatility, thick tails and extreme value theory in value-at-risk estimation 0 0 0 104 1 2 6 364
Human vs. high-frequency traders, penny jumping, and tick size 0 0 0 6 1 3 14 58
Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment 0 0 4 9 0 2 21 49
Informativeness of trade size in foreign exchange markets 0 0 0 4 2 2 7 39
Informed traders’ arrival in foreign exchange markets: Does geography matter? 0 0 0 7 1 4 12 42
International chaos? 0 0 0 36 0 0 2 169
Intraday dynamics of stock market returns and volatility 0 1 1 14 0 4 14 70
Investment horizon effect on asset allocation between value and growth strategies 0 1 4 39 2 11 40 263
Is it Brownian or fractional Brownian motion? 0 0 1 16 0 0 4 63
Jump detection with wavelets for high-frequency financial time series 1 2 5 17 1 3 13 62
Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules 2 3 6 229 2 4 18 582
Long-run wavelet-based correlation for financial time series 0 1 1 2 2 6 15 26
Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis 0 0 0 175 0 0 2 569
MUTUAL FUND PERFORMANCE IN DEVELOPING AND ADVANCED WORLD NETWORKS 0 0 5 5 0 0 15 22
Multi-scale tests for serial correlation 0 0 3 23 1 2 12 106
Multiscale systematic risk 1 3 7 95 2 5 19 286
OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS 0 3 5 9 0 4 11 33
Optimization of technical trading strategies and the profitability in security markets 1 4 7 199 1 5 17 428
Overnight borrowing, interest rates and extreme value theory 0 0 2 59 0 1 10 385
Overnight interest rates and aggregate market expectations 0 0 0 18 0 1 5 77
Price impact and bursts in liquidity provision 0 0 0 2 0 0 2 8
Pricing and hedging derivative securities with neural networks and a homogeneity hint 1 5 14 162 3 14 50 484
Private information and its origins in an electronic foreign exchange market 0 0 0 5 0 0 3 52
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates 0 0 1 352 1 1 5 848
Scaling properties of foreign exchange volatility 0 0 0 15 0 0 2 84
Scaling, self-similarity and multifractality in FX markets 0 0 0 1 1 2 3 32
Semiparametric Estimation of a Hedonic Price Function 2 10 39 471 5 20 64 985
Software reviews 0 0 0 24 0 0 1 109
Statistical properties of genetic learning in a model of exchange rate 0 0 0 48 0 0 6 268
Technical Trading Rules and the Size of the Risk Premium in Security Returns 0 2 3 166 0 2 7 420
Tests for serial correlation of unknown form in dynamic least squares regression with wavelets 0 0 0 3 1 3 5 22
The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms 1 2 2 147 1 2 4 520
The predictability of security returns with simple technical trading rules 1 1 6 232 2 4 27 515
Time-to-Expiry Seasonalities in Eurofutures 0 0 0 81 0 0 6 295
Trading frequency and volatility clustering 0 0 1 38 1 2 7 148
UNIT ROOT TESTS WITH WAVELETS 0 2 3 41 1 4 14 119
Using genetic algorithms to select architecture of a feedforward artificial neural network 0 2 2 6 1 3 7 39
Total Journal Articles 18 64 223 6,777 66 216 862 19,510


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 2 2 29 70 6 17 79 186
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics 3 15 44 110 8 29 100 237
Total Books 5 17 73 180 14 46 179 423


Statistics updated 2020-09-04