| . |
Gencay, Ramazan's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
5,881 |
Total
Citations
34 |
|
|
|
|
|
1.
|
|
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Gencay, Ramazan
Simon Fraser University Dacorogna, Michel M.
SCOR Switzerland Ballocchi, Giuseppe
affiliation not provided to SSRN Olsen, Richard B.
Olsen & Associates Pictet, Olivier V.
Pictet Asset Management
|
|
Posted:
|
|
30 Mar 99
|
|
Last Revised:
|
|
02 May 06
|
|
1,617
(4,138)
|
4
|
|
|
|
|
Gencay, Ramazan
Simon Fraser University Ballocchi, Giuseppe
affiliation not provided to SSRN Dacorogna, Michel M.
SCOR Switzerland Olsen, Richard B.
Olsen & Associates Pictet, Olivier V.
Pictet Asset Management
|
|
39
|
4
|
|
| |
|
| |
|
|
|
|
|
|
|
Gencay, Ramazan
Simon Fraser University Dacorogna, Michel M.
SCOR Switzerland Ballocchi, Giuseppe
affiliation not provided to SSRN Olsen, Richard B.
Olsen & Associates Pictet, Olivier V.
Pictet Asset Management
|
|
1,578
|
4
|
|
| |
|
| |
|
|
|
|
|
|
2.
|
|
|
Dacorogna, Michel M.
SCOR Switzerland Gencay, Ramazan
Simon Fraser University Müller, Ulrich A.
Olsen & Associates Pictet, Olivier V.
Pictet Asset Management
|
|
547
(22,827)
|
6
|
|
| |
|
| |
|
|
|
3.
|
|
|
Gencay, Ramazan
Simon Fraser University Selcuk, Faruk
Bilkent University - Department of Economics Gradojevic, Nikola
Lakehead University - Faculty of Business Administration Whitcher, Brandon
National Center for Atmospheric Research
|
| Posted: |
|
05 May 03
|
|
Last Revised:
|
|
17 Jun 09
|
|
372
(37,671)
|
4
|
|
| |
|
| |
Discrete wavelet transform, wavelet-domain hidden Markov trees, foreign exchange markets, stock markets, multiresolution analysis, scaling, Finance, Financial Econometrics, Volatility, High-Frequency Finance, Wavelets
|
|
|
4.
|
|
|
Gencay, Ramazan
Simon Fraser University Ballocchi, Giuseppe
affiliation not provided to SSRN Dacorogna, Michel M.
SCOR Switzerland Piccinato, Barbara
Olsen & Associates
|
|
360
(39,167)
|
1
|
|
| |
|
| |
|
|
|
5.
|
|
|
Gencay, Ramazan
Simon Fraser University Gradojevic, Nikola
Lakehead University - Faculty of Business Administration Selcuk, Faruk
Bilkent University - Department of Economics
|
|
339
(42,175)
|
|
|
| |
|
| |
Foreign Exchange Markets, Volume, Informed Trading, Noise Trading
|
|
|
6.
|
|
|
Piccinato, Barbara
Olsen & Associates Ballocchi, Giuseppe
affiliation not provided to SSRN Dacorogna, Michel M.
SCOR Switzerland Gencay, Ramazan
Simon Fraser University
|
|
326
(44,173)
|
2
|
|
| |
|
| |
|
|
|
7.
|
|
|
Gencay, Ramazan
Simon Fraser University Gradojevic, Nikola
Lakehead University - Faculty of Business Administration
|
|
285
(51,881)
|
1
|
|
| |
|
| |
Non-additive Entropy, Shannon Entropy, Tsallis Entropy, q-Gaussian Distribution.
|
|
|
8.
|
|
|
Gencay, Ramazan
Simon Fraser University Fan, Yanqin
Vanderbilt University - College of Arts and Science - Department of Economics
|
| Posted: |
|
26 May 08
|
|
Last Revised:
|
|
24 Dec 11
|
|
278
(53,182)
|
5
|
|
| |
|
| |
Unit root tests, cointegration, discrete wavelet transformation, maximum overlap wavelet transformation, energy decomposition
|
|
|
9.
|
|
|
Gradojevic, Nikola
Lakehead University - Faculty of Business Administration Gencay, Ramazan
Simon Fraser University
|
|
264
(56,341)
|
2
|
|
| |
|
| |
Option Pricing, Modular Neural Networks, Non-parametric Methods.
|
|
|
10.
|
|
The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Gencay, Ramazan
Simon Fraser University Gibson , Rajna
Swiss Finance Institute Xue, Yi
Department of Economics, Simon Fraser University
|
|
Posted:
|
|
31 Mar 09
|
|
Last Revised:
|
|
11 Mar 10
|
|
234
(64,235)
|
|
|
|
|
|
Gencay, Ramazan
Simon Fraser University Gibson , Rajna
Swiss Finance Institute Xue, Yi
affiliation not provided to SSRN
|
|
45
|
|
|
| |
|
| |
options, signal precision, transaction costs, volatility trading
|
|
|
|
|
|
|
Gencay, Ramazan
Simon Fraser University Gibson , Rajna
Swiss Finance Institute Xue, Yi
Department of Economics, Simon Fraser University
|
| Posted: |
|
31 Mar 09
|
|
Last Revised:
|
|
18 Jan 10
|
|
189
|
|
|
| |
|
| |
Informed traders, options, stocks, signal precision, transaction costs, volatility trading
|
|
|
|
|
|
11.
|
|
|
In, Francis Haeuck
Monash University - Department of Accounting and Finance Kim, Sangbae
Kyungpook National University - School of Business Administartion Gencay, Ramazan
Simon Fraser University
|
|
186
(81,122)
|
|
|
| |
|
| |
Asset allocation, value stocks, growth stocks, investment horizon, wavelet analysis
|
|
|
12.
|
|
|
Gencay, Ramazan
Simon Fraser University Gradojevic, Nikola
Lakehead University - Faculty of Business Administration
|
|
184
(81,973)
|
|
|
| |
|
| |
Foreign Exchange Markets, Volume, Informed Trading, Noise Trading
|
|
|
13.
|
|
|
Gencay, Ramazan
Simon Fraser University Selcuk, Faruk
Bilkent University - Department of Economics
|
|
169
(88,737)
|
3
|
|
| |
|
| |
Financial crises, risk management, extreme value theory, overnight rate, federal funds
|
|
|
14.
|
|
|
Garcia-Canizares, Alejandro
Office of the Superintendent of Financial Institutions (OSFI) Gencay, Ramazan
Simon Fraser University
|
|
162
(92,286)
|
2
|
|
| |
|
| |
Collateral under extreme events, high frequency finance, financial risk management
|
|
|
15.
|
|
|
Xue, Yi
Department of Economics, Simon Fraser University Gencay, Ramazan
Simon Fraser University
|
|
102
(134,657)
|
|
|
| |
|
| |
Trading frequency, Volatility clustering, Signal extraction, Hyperbolic decay
|
|
|
16.
|
|
|
Agliardi, Rossella
University of Bologna - Faculty of Mathematical, Physical and Natural Sciences Gencay, Ramazan
Simon Fraser University
|
| Posted: |
|
07 Apr 12
|
|
Last Revised:
|
|
19 Nov 12
|
|
88
(148,774)
|
|
|
| |
|
| |
|
|
|
17.
|
|
|
Signori, Daniele
Simon Fraser University (SFU) Gencay, Ramazan
Simon Fraser University
|
| Posted: |
|
16 Mar 12
|
|
Last Revised:
|
|
22 Mar 12
|
|
78
(160,360)
|
|
|
| |
|
| |
NARMA, network autoregression, counterparty risk, corporate credit spreads, supply networks
|
|
|
18.
|
|
|
Conlon, Thomas
University College Dublin Cotter, John
University College Dublin Gencay, Ramazan
Simon Fraser University
|
|
69
(172,374)
|
|
|
| |
|
| |
commodity markets, futures hedging, risk aversion, hedging horizon, wavelet analysis, selective hedging
|
|
|
19.
|
|
|
Gencay, Ramazan
Simon Fraser University Gradojevic, Nikola
Lakehead University - Faculty of Business Administration
|
| Posted: |
|
17 Jun 09
|
|
Last Revised:
|
|
20 Nov 09
|
|
69
(172,374)
|
3
|
|
| |
|
| |
Cointegration, discrete wavelet transformation, maximum overlap wavelet transformation, energy decomposition, errors-in-variables, persistence
|
|
|
20.
|
|
|
Garcia-Canizares, Alejandro
Office of the Superintendent of Financial Institutions (OSFI) Gencay, Ramazan
Simon Fraser University
|
|
63
(181,016)
|
|
|
| |
|
| |
Collateral under extreme events, Copulas, Frechet bounds, Financial risk management, Extreme value theory
|
|
|
21.
|
|
|
Xue, Yi
Department of Economics, Simon Fraser University Gencay, Ramazan
Simon Fraser University
|
|
48
(206,135)
|
1
|
|
| |
|
| |
Information hierarchies, Information diffusion rate, Momentum
|
|
|
22.
|
|
|
Xu, Zhaoxia
Polytechnic Institute of New York University Gencay, Ramazan
Simon Fraser University
|
|
41
(219,901)
|
|
|
| |
|
| |
Scaling, Self-similarity, Multifractality, High-frequency data, Foreign exchange markets
|
|
