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Information about:
Ramazan Gencay

Personal Details | Affiliation | Works
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Personal Details

First Name: Ramazan
Middle Name:
Last Name: Gencay
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RePEc Short-ID: pge80

Email:
Homepage: http://www.sfu.ca/~rgencay
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Editor | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Yi Xue & Ramazan Gencay, 2009. "Trading Frequency and Volatility Clustering," Working Paper Series wp31_09, Rimini Centre for Economic Analysis, revised Jan 2009. [Downloadable!]

  2. Ramazan Gencay & Nikola Gradojevic, 2009. "Crash of ’87 - Was it Expected? Aggregate Market Fears and Long Range Dependence," Working Paper Series wp28_09, Rimini Centre for Economic Analysis, revised Jan 2009. [Downloadable!]

  3. Nikola Gradojevic & Ramazan Gencay & Dragan Kukolj, 2009. "Option Pricing with Modular Neural Networks," Working Paper Series wp32_09, Rimini Centre for Economic Analysis, revised Jan 2009. [Downloadable!]

  4. Yi Xue & Ramazan Gencay, 2009. "Hierarchical Information and the Rate of Information Diffusion," Working Paper Series wp29_09, Rimini Centre for Economic Analysis, revised Jan 2009. [Downloadable!]

  5. Ramazan Gencay & Nikola Gradojevic, 2009. "Errors-in-Variables Estimation with No Instruments," Working Paper Series wp30_09, Rimini Centre for Economic Analysis, revised Jan 2009. [Downloadable!]

  6. Ramazan Gencay & Nikola Gradojevic, 2009. "Informed trading in an electronic foreign exchange market," Working Paper Series wp24_09, Rimini Centre for Economic Analysis, revised Jan 2009. [Downloadable!]

  7. Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk, 2009. "Profitability in an electronic foreign exchange market: informed trading or differences in valuation?," Working Paper Series wp25_09, Rimini Centre for Economic Analysis, revised Jan 2009. [Downloadable!]

  8. Fagan, Stephen & Gencay, Ramazan, 2008. "Liquidity-Induced Dynamics in Futures Markets," MPRA Paper 6677, University Library of Munich, Germany. [Downloadable!]
    Other versions:

  9. Alejandro García & Ramazan Gençay, 2007. "Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures," Working Papers 07-25, Bank of Canada. [Downloadable!]

  10. Gencay, Ramazan & Fan, Yanqin, 2007. "Unit Root Tests with Wavelets," MPRA Paper 9832, University Library of Munich, Germany. [Downloadable!]

  11. Alejandro García & Ramazan Gençay, 2006. "Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events," Working Papers 06-17, Bank of Canada. [Downloadable!]

  12. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2004. "Information flow between volatilities across time scales," MPRA Paper 10355, University Library of Munich, Germany. [Downloadable!]

  13. Ramazan Gencay & Faruk Selcuk, 2004. "Asymmetry of Information Flow Between Volatilities Across Time Scales," Econometric Society 2004 North American Winter Meetings 90, Econometric Society. [Downloadable!]
    Other versions:

  14. Faruk Selcuk & Ramazan Gencay, 2001. "Overnight Borrowing, Interest Rates and Extreme Value Theory," Departmental Working Papers 0103, Bilkent University, Department of Economics. [Downloadable!]
    Published as:

  15. Faruk Selcuk & R.Gencay, 1998. "A Visual Goodness-of-Fit Test for Econometric Models," Departmental Working Papers 988, Bilkent University, Department of Economics.
    Published as:

  16. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO. [Downloadable!]
    Published as:

  17. R.Gencay & Faruk Selcuk, 1998. "A Visual Test of Normality for Econometric Models," Departmental Working Papers 983, Bilkent University, Department of Economics.

  18. Serdar Sayan & Faruk Selcuk & R.Gencay, 1998. "A Visual Test for Noise Filtering in Nonlinear Time Series," Departmental Working Papers 986, Bilkent University, Department of Economics.

  19. Gencay, R & Stengos, T, 1996. "Technical Trading Rules and the Size of the Risk Premium in Security Returns," Working Papers 1996-11, University of Guelph, Department of Economics.
    Published as:

Articles

  1. Gradojevic, Nikola & Gencay, Ramazan, 2008. "Overnight interest rates and aggregate market expectations," Economics Letters, Elsevier, vol. 100(1), pages 27-30, July. [Downloadable!] (restricted)

  2. Gençay, Ramo & Bhattacharyya, Sugato & Whited, Toni & Yaron, Amir, 2008. "Editorial for "Challenge"," Finance Research Letters, Elsevier, vol. 5(1), pages 1-1, March. [Downloadable!] (restricted)

  3. Garcia, Alejandro & Gencay, Ramazan, 2007. "Applications of extreme value theory to collateral valuation," Journal of Financial Transformation, Capco Institute, vol. 20, pages 88-93.

  4. Gencay, Ramazan & Selcuk, Faruk, 2006. "Overnight borrowing, interest rates and extreme value theory," European Economic Review, Elsevier, vol. 50(3), pages 547-563, April. [Downloadable!] (restricted)
    Other versions:

  5. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February. [Downloadable!] (restricted)

  6. Gencay, Ramazan & Selcuk, Faruk, 2004. "Extreme value theory and Value-at-Risk: Relative performance in emerging markets," International Journal of Forecasting, Elsevier, vol. 20(2), pages 287-303. [Downloadable!] (restricted)

  7. Gencay, Ramo & Bhattacharyya, Sugato & Whited, Toni, 2004. "Editorial," Finance Research Letters, Elsevier, vol. 1(1), pages 1-1, March. [Downloadable!] (restricted)

  8. Gencay, Ramazan & Dacorogna, Michel & Olsen, Richard & Pictet, Olivier, 2003. "Foreign exchange trading models and market behavior," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 909-935, April. [Downloadable!] (restricted)

  9. Terzi, Andrea, 2003. "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: 0-1," International Review of Economics & Finance, Elsevier, vol. 12(4), pages 525-529. [Downloadable!] (restricted)

  10. Gencay, Ramazan & Selcuk, Faruk & Ulugulyagci, Abdurrahman, 2003. "High volatility, thick tails and extreme value theory in value-at-risk estimation," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 337-356, October. [Downloadable!] (restricted)

  11. Ramazan GenÁay & Giuseppe Ballocchi & Michel Dacorogna & Richard Olsen & Olivier Pictet, 2002. "Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(2), pages 463-492, May. [Downloadable!] (restricted)

  12. Gencay, Ramazan & Selcuk, Faruk, 2001. "Software reviews," International Journal of Forecasting, Elsevier, vol. 17(2), pages 305-317. [Downloadable!] (restricted)

  13. Giuseppe Ballocchi & Michael Dacorogna & Ramazan Gençay & Barbara Piccinato, 2001. "Time-to-Expiry Seasonalities in Eurofutures," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 4(4), pages 19-32. [Downloadable!] (restricted)

  14. Ramazan Gençay & Faruk Selçuk & Abdurrahman Ulugülyagci, 2001. "EVIM: A Software Package for Extreme Value Analysis in MATLAB," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 5(3), pages 1080-1080. [Downloadable!] (restricted)

  15. Giuseppe Ballocchi & Michael Dacorogna & Ramazan Gençay & Barbara Piccinato, 2001. "Time-to-Expiry Seasonalities in Eurofutures," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 4(4). [Downloadable!]

  16. Arifovic, Jasmina & Gencay, Ramazan, 2000. "Statistical properties of genetic learning in a model of exchange rate," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 981-1005, June. [Downloadable!] (restricted)

  17. Garcia, Rene & Gencay, Ramazan, 2000. "Pricing and hedging derivative securities with neural networks and a homogeneity hint," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 93-115. [Downloadable!] (restricted)
    Other versions:

  18. Gencay, Ramazan, 1999. "Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules," Journal of International Economics, Elsevier, vol. 47(1), pages 91-107, February. [Downloadable!] (restricted)

  19. Gencay, Ramazan, 1998. "The predictability of security returns with simple technical trading rules," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 347-359, October. [Downloadable!] (restricted)

  20. Ramazan Gençay & Faruk Selçuk, 1998. "A Visual Goodness-of-Fit Test for Econometric Models," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 3(3), pages 157-167. [Downloadable!] (restricted)
    Other versions:

  21. Gencay, Ramazan, 1998. "Optimization of technical trading strategies and the profitability in security markets," Economics Letters, Elsevier, vol. 59(2), pages 249-254, May. [Downloadable!] (restricted)

  22. Ramazan Gençay & Faruk Selçuk, 1998. "A Visual Goodness-of-Fit Test for Econometric Models," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 3(3). [Downloadable!]

  23. Ramazan Gencay & Thanasis Stengos, 1997. "Technical Trading Rules and the Size of the Risk Premium in Security Returns," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(2), pages 23-34. [Downloadable!] (restricted)
    Other versions:

  24. Ramazan Gencay & Xian Yang, 1996. "Forecast Comparisons of Residential Housing Prices by Parametric and Semiparametric Regression," Canadian Journal of Economics, Canadian Economics Association, vol. 29(s1), pages 515-19, April. [Downloadable!] (restricted)

  25. Ramazan Gencay & W. Davis Dechert, 1996. "The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 1(3). [Downloadable!]

  26. Anglin, Paul M & Gencay, Ramazan, 1996. "Semiparametric Estimation of a Hedonic Price Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 633-48, Nov.-Dec.. [Downloadable!] (restricted)

  27. Ramazan Gencay & W. Dechert, 1996. "The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 1(3), pages 145-154. [Downloadable!] (restricted)

  28. Gencay, Ramazan & Xian, Yang, 1996. "A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators," Economics Letters, Elsevier, vol. 52(2), pages 129-135, August. [Downloadable!] (restricted)

  29. Gencay, Ramazan, 1995. "Tests of the Risk Premium on Foreign Currency Futures Implied by the Intertemporal Asset Pricing Theory," Applied Financial Economics, Taylor and Francis Journals, vol. 5(2), pages 85-94, April. [Downloadable!] (restricted)

  30. Dechert, W D & Gencay, R, 1992. "Lyapunov Exponents as a Nonparametric Diagnostic for Stability Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S41-60, Suppl. De. [Downloadable!] (restricted)

  31. Frank, Murray & Gencay, Ramazan & Stengos, Thanasis, 1988. "International chaos?," European Economic Review, Elsevier, vol. 32(8), pages 1569-1584, October. [Downloadable!] (restricted)

Editor

  1. Finance Research Letters, Elsevier.

NEP Fields

13 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2007-04-09
  2. NEP-CMP: Computational Economics (1) 2009-07-28
  3. NEP-CTA: Contract Theory & Applications (2) 2009-07-28 2009-07-28
  4. NEP-ECM: Econometrics (2) 2009-07-28 2009-07-28
  5. NEP-ENE: Energy Economics (1) 2008-01-12
  6. NEP-FIN: Finance (1) 2006-06-24
  7. NEP-FMK: Financial Markets (4) 2006-06-24 2008-01-12 2008-10-28 2009-07-28 Author is listed
  8. NEP-HIS: Business, Economic & Financial History (1) 2009-07-28
  9. NEP-IAS: Insurance Economics (1) 2002-04-15
  10. NEP-IFN: International Finance (3) 2002-04-15 2009-07-28 2009-07-28
  11. NEP-MST: Market Microstructure (6) 2008-01-12 2008-10-28 2009-07-28 2009-07-28 2009-07-28 2009-07-28 Author is listed
  12. NEP-ORE: Operations Research (1) 2009-07-28
  13. NEP-RMG: Risk Management (2) 2007-04-09 2008-01-12
  14. NEP-UPT: Utility Models & Prospect Theory (1) 2009-07-28
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This page was last updated on 2009-11-5.

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