IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to follow this author

Ramazan Gencay

This is information that was supplied by Ramazan Gencay in registering through RePEc. If you are Ramazan Gencay , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Ramazan
Middle Name:
Last Name:Gencay
Suffix:
RePEc Short-ID:pge80
Email:
Homepage:http://www.sfu.ca/~rgencay
Postal Address:
Phone:
(in no particular order)
Location: Burnaby, Canada
Homepage: http://www.sfu.ca/economics/
Email:
Phone: (778) 782-3508
Fax: (778) 782-5944
Postal: Burnaby, B.C., V5A 1S6
Handle: RePEc:edi:desfuca (more details at EDIRC)
Location: Rimini, Italy
Homepage: http://www.rcfea.org/
Email:
Phone: +390541434142
Fax: +39054155431
Postal: Via Patara, 3, 47921 Rimini (RN)
Handle: RePEc:edi:rcfeait (more details at EDIRC)

This author is featured on the following reading lists, publication compilations or Wikipedia entries:

  1. Turkish Economists
in new window

  1. Thomas Conlon & John Cotter & Ramazan Gencay, 2012. "Commodity futures hedging, risk aversion and the hedging horizon," Working Papers 201218, Geary Institute, University College Dublin.
  2. Rossella Agliardi & Ramazan Gençay, 2012. "Hedging through a Limit Order Book with Varying Liquidity," Working Paper Series 12_12, The Rimini Centre for Economic Analysis.
  3. Yi Xue & Ramazan Gencay, 2009. "Hierarchical Information and the Rate of Information Diffusion," Working Paper Series 29_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
  4. Nikola Gradojevic & Ramazan Gençay, 2009. "Overnight Interest Rates and Aggregate Market Expectations," Working Paper Series 26_09, The Rimini Centre for Economic Analysis.
  5. Nikola Gradojevic & Ramazan Gencay & Dragan Kukolj, 2009. "Option Pricing with Modular Neural Networks," Working Paper Series 32_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
  6. Ramazan Gencay & Nikola Gradojevic, 2009. "Errors-in-Variables Estimation with No Instruments," Working Paper Series 30_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
  7. Ramazan Gencay & Nikola Gradojevic, 2009. "Informed Trading in an Electronic Foreign Exchange Market," Working Paper Series 24_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
  8. Ramazan Gencay & Nikola Gradojevic, 2009. "Crash of ’87 - Was it Expected? Aggregate Market Fears and Long Range Dependence," Working Paper Series 28_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
  9. Yi Xue & Ramazan Gencay, 2009. "Trading Frequency and Volatility Clustering," Working Paper Series 31_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
  10. Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk, 2009. "Profitability in an Electronic Foreign Exchange Market: Informed Trading or Differences in Valuation?," Working Paper Series 25_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
  11. Fagan, Stephen & Gencay, Ramazan, 2008. "Liquidity-Induced Dynamics in Futures Markets," MPRA Paper 6677, University Library of Munich, Germany.
  12. Stephen Fagan & Ramazan Gencay, 2008. "Liquidity-Induced Dynamics in Futures Markets," EERI Research Paper Series EERI_RP_2008_01, Economics and Econometrics Research Institute (EERI), Brussels.
  13. Gencay, Ramazan & Fan, Yanqin, 2007. "Unit Root Tests with Wavelets," MPRA Paper 9832, University Library of Munich, Germany.
  14. Alejandro García & Ramazan Gençay, 2007. "Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures," Working Papers 07-25, Bank of Canada.
  15. 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.
  16. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2004. "Information flow between volatilities across time scales," MPRA Paper 10355, University Library of Munich, Germany.
  17. Ramazan Gencay & Faruk Selcuk, 2004. "Asymmetry of Information Flow Between Volatilities Across Time Scales," Econometric Society 2004 North American Winter Meetings 90, Econometric Society.
  18. Faruk Selcuk & Ramazan Gencay, 2001. "Overnight Borrowing, Interest Rates and Extreme Value Theory," Departmental Working Papers 0103, .
  19. R.Gencay & Faruk Selcuk, 1998. "A Visual Test of Normality for Econometric Models," Departmental Working Papers 983, .
  20. Serdar Sayan & Faruk Selcuk & R.Gencay, 1998. "A Visual Test for Noise Filtering in Nonlinear Time Series," Departmental Working Papers 986, .
  21. Faruk Selcuk & R.Gencay, 1998. "A Visual Goodness-of-Fit Test for Econometric Models," Departmental Working Papers 988, .
  22. René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.
  23. 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 and Finance.
  1. Gradojevic, Nikola & Gençay, Ramazan, 2013. "Fuzzy logic, trading uncertainty and technical trading," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 578-586.
  2. Xue, Yi & Gençay, Ramazan, 2012. "Trading frequency and volatility clustering," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 760-773.
  3. Xue, Yi & Gençay, Ramazan, 2012. "Hierarchical information and the rate of information diffusion," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1372-1401.
  4. In, Francis & Kim, Sangbae & Gençay, Ramazan, 2011. "Investment horizon effect on asset allocation between value and growth strategies," Economic Modelling, Elsevier, vol. 28(4), pages 1489-1497, July.
  5. Nikola Gradojevic & Dragan Kukolj & Ramazan Gencay, 2011. "Clustering and Classification in Option Pricing," Review of Economic Analysis, Rimini Centre for Economic Analysis, vol. 3(2), pages 109-128, October.
  6. Fan, Yanqin & Gençay, Ramazan, 2010. "Unit Root Tests With Wavelets," Econometric Theory, Cambridge University Press, vol. 26(05), pages 1305-1331, October.
  7. Ramazan Gencay & Nikola Gradojevic & Faruk Selcuk & Brandon Whitcher, 2010. "Asymmetry of information flow between volatilities across time scales," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 895-915.
  8. Gençay, Ramazan & Gradojevic, Nikola, 2010. "Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 270-282, March.
  9. Gradojevic, Nikola & Gencay, Ramazan, 2008. "Overnight interest rates and aggregate market expectations," Economics Letters, Elsevier, vol. 100(1), pages 27-30, July.
  10. Gençay, Ramo & Bhattacharyya, Sugato & Whited, Toni & Yaron, Amir, 2008. "Editorial for "Challenge"," Finance Research Letters, Elsevier, vol. 5(1), pages 1-1, March.
  11. Garcia, Alejandro & Gencay, Ramazan, 2007. "Applications of extreme value theory to collateral valuation," Journal of Financial Transformation, Capco Institute, vol. 20, pages 88-93.
  12. Gencay, Ramazan & Selcuk, Faruk, 2006. "Overnight borrowing, interest rates and extreme value theory," European Economic Review, Elsevier, vol. 50(3), pages 547-563, April.
  13. Selçuk, Faruk & Gençay, Ramazan, 2006. "Intraday dynamics of stock market returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 375-387.
  14. Gencay, Ramazan & Selcuk, Faruk & Whitcher, Brandon, 2005. "Multiscale systematic risk," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 55-70, February.
  15. Gencay, Ramo & Bhattacharyya, Sugato & Whited, Toni, 2004. "Editorial," Finance Research Letters, Elsevier, vol. 1(1), pages 1-1, March.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. Ramazan Gencay & Aslihan Salih, 2003. "Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 73-101, May.
  21. Xu, Zhaoxia & Gençay, Ramazan, 2003. "Scaling, self-similarity and multifractality in FX markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 578-590.
  22. Nekhili, Ramzi & Altay-Salih, Aslihan & Gençay, Ramazan, 2002. "Exploring exchange rate returns at different time horizons," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(3), pages 671-682.
  23. 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.
  24. Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon, 2001. "Differentiating intraday seasonalities through wavelet multi-scaling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(3), pages 543-556.
  25. Arifovic, Jasmina & Gençay, Ramazan, 2001. "Using genetic algorithms to select architecture of a feedforward artificial neural network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(3), pages 574-594.
  26. Dacorogna, Michel M. & Gençay, Ramazan & Müller, Ulrich A. & Pictet, Olivier V., 2001. "Effective return, risk aversion and drawdowns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(1), pages 229-248.
  27. Gencay, Ramazan & Selcuk, Faruk, 2001. "Software reviews," International Journal of Forecasting, Elsevier, vol. 17(2), pages 305-317.
  28. Gençay Ramazan & Selçuk Faruk & Ulugülyagci Abdurrahman, 2001. "EVIM: A Software Package for Extreme Value Analysis in MATLAB," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(3), pages 1-29, October.
  29. Ballocchi Giuseppe & Dacorogna Michael & Gençay Ramazan & Piccinato Barbara, 2001. "Time-to-Expiry Seasonalities in Eurofutures," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(4), pages 1-6, January.
  30. Gençay, Ramazan & Selçuk, Faruk & Whitcher, Brandon, 2001. "Scaling properties of foreign exchange volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(1), pages 249-266.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. Gençay Ramazan & Selçuk Faruk, 1998. "A Visual Goodness-of-Fit Test for Econometric Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(3), pages 1-13, October.
  36. Gencay, Ramazan, 1998. "Optimization of technical trading strategies and the profitability in security markets," Economics Letters, Elsevier, vol. 59(2), pages 249-254, May.
  37. Gencay Ramazan & Stengos Thanasis, 1997. "Technical Trading Rules and the Size of the Risk Premium in Security Returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(2), pages 1-14, July.
  38. 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.
  39. Gencay Ramazan & Dechert W. Davis, 1996. "The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 1(3), pages 1-12, October.
  40. 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.
  41. 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..
  42. 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.
  43. Frank, Murray & Gencay, Ramazan & Stengos, Thanasis, 1988. "International chaos?," European Economic Review, Elsevier, vol. 32(8), pages 1569-1584, October.
7 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-ENE: Energy Economics (1) 2008-01-12
  3. NEP-FIN: Finance (1) 2006-06-24
  4. NEP-FMK: Financial Markets (4) 2006-06-24 2008-01-12 2008-10-28 2012-04-17. Author is listed
  5. NEP-IAS: Insurance Economics (1) 2002-04-15
  6. NEP-IFN: International Finance (1) 2002-04-15
  7. NEP-MST: Market Microstructure (3) 2008-01-12 2008-10-28 2012-04-17. Author is listed
  8. NEP-RMG: Risk Management (2) 2007-04-09 2008-01-12. Author is listed
  9. NEP-UPT: Utility Models & Prospect Theory (1) 2012-09-30
This author is among the top 5% authors according to these criteria:
  1. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  2. h-index
  3. Number of Journal Pages
  4. Betweenness measure in co-authorship network

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Ramazan Gencay should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.