An introduction to high-frequency finance R Gençay, M Dacorogna, UA Muller, O Pictet, R Olsen Elsevier, 2001 | 1420 | 2001 |

An introduction to wavelets and other filtering methods in finance and economics R Gençay, F Selçuk, BJ Whitcher Elsevier, 2001 | 1376 | 2001 |

Nonparametric risk management and implied risk aversion Y Aıt-Sahalia, AW Lo Journal of econometrics 94 (1-2), 9-51, 2000 | 916 | 2000 |

Extreme value theory and Value-at-Risk: Relative performance in emerging markets R Gencay, F Selcuk International Journal of forecasting 20 (2), 287-303, 2004 | 516 | 2004 |

Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules R Gencay Journal of International Economics 47 (1), 91-107, 1999 | 364 | 1999 |

Multiscale systematic risk R Gençay, F Selçuk, B Whitcher Journal of International Money and Finance 24 (1), 55-70, 2005 | 356 | 2005 |

The predictability of security returns with simple technical trading rules R Gencay Journal of Empirical Finance 5 (4), 347-359, 1998 | 347 | 1998 |

Semiparametric estimation of a hedonic price function PM Anglin, R Gencay Journal of applied econometrics 11 (6), 633-648, 1996 | 322 | 1996 |

High volatility, thick tails and extreme value theory in value-at-risk estimation R Gençay, F Selçuk, A Ulugülyaǧci Insurance: Mathematics and Economics 33 (2), 337-356, 2003 | 275 | 2003 |

An algorithm for the n Lyapunov exponents of an n-dimensional unknown dynamical system R Gencay, WD Dechert Physica D: Nonlinear Phenomena 59 (1-3), 142-157, 1992 | 248 | 1992 |

Systematic risk and timescales R Gençay, F Selçuk, B Whitcher Quantitative Finance 3 (2), 108, 2003 | 243 | 2003 |

Pricing and hedging derivative securities with neural networks and a homogeneity hint R Garcia, R Gençay Journal of Econometrics 94 (1-2), 93-115, 2000 | 240 | 2000 |

Scaling properties of foreign exchange volatility R Gençay, F Selçuk, B Whitcher Physica A: Statistical mechanics and its applications 289 (1-2), 249-266, 2001 | 226 | 2001 |

Pricing and hedging derivative securities with neural networks: Bayesian regularization, early stopping, and bagging R Gençay, M Qi IEEE Transactions on Neural Networks 12 (4), 726-734, 2001 | 200 | 2001 |

Nonlinear modelling and prediction with feedforward and recurrent networks R Gencay, T Liu Physica D: Nonlinear Phenomena 108 (1-2), 119-134, 1997 | 199 | 1997 |

Optimization of technical trading strategies and the profitability in security markets R Gencay Economics Letters 59 (2), 249-254, 1998 | 194 | 1998 |

Differentiating intraday seasonalities through wavelet multi-scaling R Gençay, F Selçuk, B Whitcher Physica A: Statistical Mechanics and its Applications 289 (3-4), 543-556, 2001 | 190 | 2001 |

Using genetic algorithms to select architecture of a feedforward artificial neural network J Arifovic, R Gencay Physica A: Statistical mechanics and its applications 289 (3-4), 574-594, 2001 | 182 | 2001 |

Moving average rules, volume and the predictability of security returns with feedforward networks R Gencay, T Stengos Journal of Forecasting 17 (5‐6), 401-414, 1998 | 170 | 1998 |

Unit root tests with wavelets Y Fan, R Gençay Econometric Theory 26 (5), 1305-1331, 2010 | 169 | 2010 |