Prof. Dr. Ramazan Gençay - Publikationen

Professor of Economics, Simon Fraser University, Burnaby, Canada


Journal Articles (12)

Trading Frequency and Volatility Clustering
Ramazan Gençay, Yi Xue
In: Journal of Banking and Finance, Vol. 36 (No. 3), p. 760-773, 2012.

Asymmetry of information flow between volatilities across time scales
Ramazan Gençay, Nikola Gradojevic , Faruk Selçuk, Brandon Whitcher
In: Quantitative Finance, Vol. 10 (No. 8), p. 895-915, 2012.

Errors-in-Variables Estimation with Wavelets
Ramazan Gençay, Nikola Gradojevic
In: Journal of Statistical Computation and Simulation, Vol. 81 (No. 11), p. 1545-1564, 2011.

Financial Applications of Nonextensive Entropy
Ramazan Gençay, Nikola Gradojevic
In: IEEE Signal Processing Magazine, Vol. 28 (No. 5), p. 116-141, 2011.

Investment horizon effect on asset allocation between value and growth strategies
Ramazan Gençay, Francis In, Sangbae Kim
In: Economic Modelling, Vol. 28 (No. 4), p. 1489-1497, 2011.

Crash of '87 -- Was it expected?: Aggregate market fears and long-range dependence
Ramazan Gençay, Nikola Gradojevic
In: Journal of Empirical Finance, Vol. 17 (No. 2), p. 270-282, 2011.

Option Pricing with Modular Neural Network
Ramazan Gençay, Nikola Gradojevic , Dragan Kukolj
In: IEEE Transactions on Neural Networks, Vol. 20 (No. 4), p. 626-637, 2011.

Intraday dynamics of stock market returns and volatility
Ramazan Gençay, Faruk Selçuk
In: Physica A: Statistical Mechanics and its Applications , Vol. 367, p. 375-387, 2011.

Unit root tests with wavelets
Ramazan Gençay, Yanqin Fan
In: Econometric Theory, Vol. 26 (No. 5), p. 1305-1331, 2010.

Overnight interest rates and aggregate market expectations
Ramazan Gençay, Nikola Gradojevic
In: Economics Letters, Vol. 100 (No. 1), p. 27-30, 2008.

Model risk for European-style stock index options
Ramazan Gençay, Rajna Gibson
In: IEEE Transactions on Neural Networks, Vol. 18 (No. 1), p. 193-202, 2007.

Overnight borrowing, interest rates and extreme value theory
Ramazan Gençay, Faruk Selçuk
In: European Economic Review, Vol. 50 (No. 3), p. 547-563, 2006.

Bücher (2)

An Introduction to High-Frequency Finance
Ramazan Gençay, Ulrich A. Müller, Michel Dacorogna, Richard Olsen, Olivier Pictet
Academic Press, Elseviert, San Diego, USA, 2009.

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
Ramazan Gençay, Faruk Selçuk, Brandon Whitcher
Academic Press, Elsevier, San Diego, 2009.

Kapitel in Büchern (1)

An Introduction to Textual Econometrics
Ramazan Gençay, Steven Fagan
Herausgeber: Aman Ullah, David Gill
In: Handbook of Empirical Economics and Finance, Taylor & Francis, Boca Raton, US, p. 133-154, 2011.

Working Papers (1)

Price Impact of Aggressive Liquidity Provision
Jakub Rojcek, Ramazan Gençay, Soheil Mahmoodzadeh, Michael C Tseng
Swiss Finance Institute Research Paper, No. 16-21, März 2016.