WorldCat Identities

Gençay, Ramazan

Overview
Works: 46 works in 83 publications in 1 language and 2,372 library holdings
Genres: Academic theses 
Roles: Author
Publication Timeline
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Most widely held works by Ramazan Gençay
An introduction to wavelets and other filtering methods in finance and economics by Ramazan Gençay( )

21 editions published between 2001 and 2006 in English and held by 1,783 WorldCat member libraries worldwide

An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method
An introduction to high-frequency finance by Ramazan Gençay( )

3 editions published between 2001 and 2007 in English and held by 443 WorldCat member libraries worldwide

Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. T
Risk-cost frontier and collateral valuation in securities settlement systems for extreme market events by Alejandro García( )

7 editions published in 2006 in English and held by 69 WorldCat member libraries worldwide

In this paper, the authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral. In particular, they study the risk and cost attributes of market risk measures by construction a risk-cost frontier for the collateral pledged to cover exposures in a securities settlement system. The frontier can be used as a diagnostic tool to understand the risk-cost trade-off of different methodologies to calculate collateral value (haircuts) and select the most efficient alternative in a variety of settings
Managing adverse dependence for portfolios of collatoral in financial infrastructures by Alejandro García( )

2 editions published in 2007 in English and held by 19 WorldCat member libraries worldwide

We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable extreme dependence occurs. This framework permits us to quantify the potential impact on the portfolio returns of systemic events that change, or "break down", the historical comovement structure, imposing an adverse extreme dependence. We illustrate our framework using securities pledged as collateral in the Canadian securities clearing and settlement system. -- Econometric and statistical methods ; Financial markets ; Financial stability
Technical trading rules and the size of the risk premium in security returns by Ramazan Gençay( Book )

4 editions published in 1996 in English and held by 6 WorldCat member libraries worldwide

Time averaging in discrete time series : is the current methodology sufficient in filtering out its distortionary effects? by Ramazan Gençay( Book )

2 editions published in 1989 in English and held by 5 WorldCat member libraries worldwide

The predictability of security returns with simple technical trading rules by Ramazan Gençay( )

2 editions published between 1998 and 2002 in Undetermined and English and held by 3 WorldCat member libraries worldwide

International chaos? by Murray Frank( )

1 edition published in 1996 in English and held by 2 WorldCat member libraries worldwide

Lyapunov exponents as a nonparametric diagnostic for stability analysis by W. D Dechert( )

1 edition published in 1993 in English and held by 2 WorldCat member libraries worldwide

Pricing and hedging derivative securities with neural networks and a homogeneity hint by René Garcia( Book )

2 editions published in 1998 in English and held by 2 WorldCat member libraries worldwide

NON-LINEAR PREDICTION OF SECURITY RETURNS WITH MOVING AVERAGE RULES by Ramazan Gençay( )

2 editions published in 1996 in Undetermined and English and held by 2 WorldCat member libraries worldwide

An algorithm for the n Lyapunov exponents of an n-dimensional unknown dynamical system by Ramazan Gençay( )

1 edition published in 1996 in English and held by 2 WorldCat member libraries worldwide

International Chaos? by University of Guelph( Book )

1 edition published in 1988 in English and held by 1 WorldCat member library worldwide

SEMIPARAMETRIC ESTIMATION OF A HEDONIC PRICE FUNCTION by Paul M ANGLIN( )

1 edition published in 1996 in Undetermined and held by 1 WorldCat member library worldwide

LINEAR, NON-LENEAR AND ESSENTIAL FOREIGN EXCHANGE RATE PREDICTION WITH SIMPLE TECHNICAL TRADING RULES by Ramazan Gençay( )

1 edition published in 1999 in Undetermined and held by 1 WorldCat member library worldwide

FORECAST COMPARISONS OF RESIDENTIAL HOUSING PRICES BY PARAMETRIC AND SEMIPARAMETRIC REGRESSION by Ramazan Gençay( )

1 edition published in 1996 in Undetermined and held by 1 WorldCat member library worldwide

Overnight borrowing, interest rates and extreme value theory by Ramazan Gençay( )

1 edition published in 2006 in English and held by 1 WorldCat member library worldwide

Pricing and hedging derivative securities with neutral networks and a homogeneity hint by René Garcia( Book )

1 edition published in 1998 in English and held by 1 WorldCat member library worldwide

Moving average rules, volume and the predictability of security returns with feedfoward networks by Ramazan Gençay( )

1 edition published in 1998 in English and held by 1 WorldCat member library worldwide

Commodity futures hedging, risk aversion and the hedging horizon by Thomas Conlon( )

1 edition published in 2012 in English and held by 1 WorldCat member library worldwide

 
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An introduction to wavelets and other filtering methods in finance and economics
Covers
An introduction to high-frequency finance
Alternative Names
Gençay, R. -2018

Ramazan Gençay economist (Simon Fraser University; Rimini Centre for Economic Analysis (RCEA))

Ramazan Gençay economista canadianu

Ramazan Gençay Turks econoom (1961-2018)

Ramazan Gençay Wirtschaftswissenschaftler (Tätig am Dep. of Economics, Simon Fraser Univ., Burnaby, Canada; Tätig an der Queen's Univ., Kinston, Canada; Tätig an der Middle East Technical Univ., Ankara, Turkey; Tätig an der Univ. of Windsor, Windsor, Canada)

رامازان جينكاى

Languages
English (51)