Ramo Gencay
Title
Cited by
Cited by
Year
An introduction to high-frequency finance
R Gençay, M Dacorogna, UA Muller, O Pictet, R Olsen
Elsevier, 2001
14202001
An introduction to wavelets and other filtering methods in finance and economics
R Gençay, F Selçuk, BJ Whitcher
Elsevier, 2001
13762001
Nonparametric risk management and implied risk aversion
Y Aıt-Sahalia, AW Lo
Journal of econometrics 94 (1-2), 9-51, 2000
9162000
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
5162004
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
3641999
Multiscale systematic risk
R Gençay, F Selçuk, B Whitcher
Journal of International Money and Finance 24 (1), 55-70, 2005
3562005
The predictability of security returns with simple technical trading rules
R Gencay
Journal of Empirical Finance 5 (4), 347-359, 1998
3471998
Semiparametric estimation of a hedonic price function
PM Anglin, R Gencay
Journal of applied econometrics 11 (6), 633-648, 1996
3221996
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
2752003
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
2481992
Systematic risk and timescales
R Gençay, F Selçuk, B Whitcher
Quantitative Finance 3 (2), 108, 2003
2432003
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
2402000
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
2262001
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
2002001
Nonlinear modelling and prediction with feedforward and recurrent networks
R Gencay, T Liu
Physica D: Nonlinear Phenomena 108 (1-2), 119-134, 1997
1991997
Optimization of technical trading strategies and the profitability in security markets
R Gencay
Economics Letters 59 (2), 249-254, 1998
1941998
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
1902001
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
1822001
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
1701998
Unit root tests with wavelets
Y Fan, R Gençay
Econometric Theory 26 (5), 1305-1331, 2010
1692010
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Articles 1–20