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Ramazan Gencay

Global rank #3823 95%

Institution: Unknown

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://en.wikipedia.org/wiki/Ramazan_Gen%C3%A7ay

First Publication: 1988

Most Recent: 2020

RePEc ID: pge80 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 0.00 2.51 0.00 4.61
All Time 0.00 4.02 12.80 0.00 25.79

Publication Statistics

Raw Publications 29
Coauthorship-Adjusted Count 26.83

Publications (29)

Year Article Journal Tier Authors
2020 A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage Economic Modeling C 3
2020 Contagion in a network of heterogeneous banks Journal of Banking & Finance B 4
2019 Enhancing the predictability of crude oil markets with hybrid wavelet approaches Economics Letters C 4
2018 Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment Journal of Economic Dynamics and Control B 2
2017 Informativeness of trade size in foreign exchange markets Economics Letters C 3
2017 Tests for serial correlation of unknown form in dynamic least squares regression with wavelets Economics Letters C 2
2017 Application of wavelet decomposition in time-series forecasting Economics Letters C 3
2017 Human vs. high-frequency traders, penny jumping, and tick size Journal of Banking & Finance B 2
2016 Is it Brownian or fractional Brownian motion? Economics Letters C 3
2015 Multi-scale tests for serial correlation Journal of Econometrics A 2
2015 Economic links and credit spreads Journal of Banking & Finance B 5
2013 Private information and its origins in an electronic foreign exchange market Economic Modeling C 2
2013 Fuzzy logic, trading uncertainty and technical trading Journal of Banking & Finance B 2
2012 Hierarchical information and the rate of information diffusion Journal of Economic Dynamics and Control B 2
2012 Trading frequency and volatility clustering Journal of Banking & Finance B 2
2011 Investment horizon effect on asset allocation between value and growth strategies Economic Modeling C 3
2010 UNIT ROOT TESTS WITH WAVELETS Econometric Theory B 2
2008 Overnight interest rates and aggregate market expectations Economics Letters C 2
2006 Overnight borrowing, interest rates and extreme value theory European Economic Review B 2
2005 Multiscale systematic risk Journal of International Money and Finance B 3
2004 Extreme value theory and Value-at-Risk: Relative performance in emerging markets International Journal of Forecasting B 2
2003 Foreign exchange trading models and market behavior Journal of Economic Dynamics and Control B 4
2001 Software reviews International Journal of Forecasting B 2
2000 Statistical properties of genetic learning in a model of exchange rate Journal of Economic Dynamics and Control B 2
2000 Pricing and hedging derivative securities with neural networks and a homogeneity hint Journal of Econometrics A 2
1999 Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules Journal of International Economics A 1
1998 Optimization of technical trading strategies and the profitability in security markets Economics Letters C 1
1996 A forecast comparison of residential housing prices by parametric versus semiparametric conditional mean estimators Economics Letters C 2
1988 International chaos? European Economic Review B 3