World's Best Scientists 2026 revealed!

D-Index & Metrics

Economics and Finance

D-Index
40
Citations
10453
World Ranking
2246
National Ranking
56

Overview

Ramazan Gençay was affiliated with Simon Fraser University in Canada. Their research focused primarily on Economics, Econometrics, and Finance, with notable contributions in several subfields including Economics and Econometrics, Finance, General Economics, Econometrics and Finance, and Accounting.

Their work covered a range of main topics, notably:

  • Market Dynamics and Volatility
  • Insurance and Financial Risk Management
  • Credit Risk and Financial Regulations
  • Financial Risk and Volatility Modeling
  • Financial Markets and Investment Strategies
  • Monetary Policy and Economic Impact
  • Complex Systems and Time Series Analysis

Gençay published frequently in specific academic venues, including:

  • RePEc: Research Papers in Economics
  • Journal of Forecasting
  • Studies in Nonlinear Dynamics and Econometrics
  • The Journal of Risk

Among their recent papers, some key works include:

  • "Short-run wavelet-based covariance regimes for applied portfolio management" (2020), published in Journal of Forecasting
  • "Recovering cointegration via wavelets in the presence of non-linear patterns" (2021), published in Studies in Nonlinear Dynamics and Econometrics
  • "Volatility spillover along the supply chains: a network analysis on economic links" (2020), published in The Journal of Risk
  • "Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures" (2021), published in RePEc: Research Papers in Economics
  • "Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events" (2021), published in RePEc: Research Papers in Economics

Frequent coauthors collaborating with Gençay included:

  • Theo Berger
  • Alejandro García
  • Jorge Martínez Compains
  • Ignacio Rodríguez
  • Tommaso Trani

Best Publications

  • An Introduction to Wavelets and Other Filtering Methods in Finance and Economics

    Ramazan Genc̦ay;Faruk Selçuk;Brandon Whitcher

  • An Introduction to High-Frequency Finance

    Ramazan Gençay;Michel Dacorogna;Ulrich A. Muller;Olivier Pictet

  • Extreme value theory and Value-at-Risk: Relative performance in emerging markets

    Ramazan Gençay;Ramazan Gençay;Faruk Selçuk

  • Multiscale systematic risk

    Ramazan Gençay;Faruk Selçuk;Brandon Whitcher

  • Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules

    Ramazan Gençay

  • The predictability of security returns with simple technical trading rules

    Ramazan Gençay

  • SEMIPARAMETRIC ESTIMATION OF A HEDONIC PRICE FUNCTION

    Paul M. Anglin;Ramazan Gençay

  • High volatility, thick tails and extreme value theory in value-at-risk estimation

    Ramazan Gençay;Faruk Selçuk;Abdurrahman Ulugülyaǧci

  • Pricing and hedging derivative securities with neural networks and a homogeneity hint

    René Garcia;Ramazan Gençay

  • Systematic risk and timescales

    R. Gencay;F. Selcuk;Brandon Whitcher

  • An algorithm for the n Lyapunov exponents of an n -dimensional unknown dynamical system

    Ramazan Gencay;W. Davis Dechert

  • Scaling properties of foreign exchange volatility

    Ramazan Gençay;Ramazan Gençay;Faruk Selçuk;Brandon Whitcher

  • Pricing and hedging derivative securities with neural networks: Bayesian regularization, early stopping, and bagging

    R. Gencay;Min Qi

  • Differentiating intraday seasonalities through wavelet multi-scaling

    Ramazan Gençay;Faruk Selçuk;Brandon Whitcher

  • Unit Root Tests with Wavelets

    Yanqin Fan;Ramazan Gençay

  • Optimization of technical trading strategies and the profitability in security markets

    Ramazan Gençay

  • Moving average rules, volume and the predictability of security returns with feedforward networks

    Ramazan Gençay;Thanasis Stengos

  • Non-linear prediction of security returns with moving average rules

    Ramazan Gençay

  • Scaling, self-similarity and multifractality in FX markets

    Zhaoxia Xu;Ramazan Gençay

  • Asymmetry of information flow between volatilities across time scales

    Ramazan Gençay;Nikola Gradojevic;Faruk Selçuk;Brandon Whitcher

  • EVIM: A Software Package for Extreme Value Analysis in MATLAB

    Ramazan Gençay;Faruk Selçuk;Abdurrahman Ulugülyagci

Frequent Co-Authors

René Garcia
René Garcia University of Montreal
Thanasis Stengos
Thanasis Stengos University of Guelph
Gazi Salah Uddin
Gazi Salah Uddin Linköping University
Stelios D. Bekiros
Stelios D. Bekiros European University Institute

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