Publications of Gencay, R.
2007
| and , Intraday Dynamics of Stock Market Returns and Volatility (2007), in: Physica A, 367(375-387) |
2005
| and , Overnight Borrowing, Interest Rates and Extreme Value Theory (2005), in: European Economic Review, 50(547-563) |
2004
| and , Extreme value theory and Value-at-Risk: Relative performance im emerging markets (2004), in: Int J of Forecasting, 20(287-303) |
| , and , High volatility, thick tails and extreme value theory in value-at-risk estimation (2004), in: Insurance: Mathematics and Economics, 33(337-356) |
| , and , Multiscale Systematic Risk (2004), in: J of International Money and Finance, 24(55-70) |
| , and , Systematic risk and timescales (2004), in: Quantitative Finance, 3(108-116) |
2003
| and , Degree of Mispricing with the Black-Scholes Model and Nonparametric Cures (2003), in: Annals of Economics and Finance, 4(73-101) |
| , and , Exploring Exchange Rate Returns at Different Time Horizons (2003), in: Physica A(671-682) |
2002
| , and , EVIM: A Software Package for Extreme Value Analysis in MATLAB (2002), in: Studies in Nonlinear Dynamics and Econometrics, 5(213-239) |
| and , Software Review: MATLAB Neural Network Toolbox (2002), in: Int J of Forecasting, 17(305-317) |
2001
| , and , Differentiating intraday seasonalities through wavelet muti-scaling (2001), in: Physica A, 289(543-556) |
| , , and , Effective return, risk aversion and drawdowns (2001), in: Physica A, 289(229-248) |
| , and , Scaling properties of foreign exchange volatility (2001), in: Physica A, 289(249-266) |
| , and , Scaling properties of foreign exchange volatility (2001), in: Physica A, 289(249-266) |
| and , Using genetic algorithms to select architecture of a feedforward artificial neural network (2001), in: Physica A, 289(574-594) |
2000
| and , A visual goodness of fit test for econometric models (2000), in: Studies in Nonlinear Dynamics and Econometrics, 3(157-167) |
| and , A visual goodness-of-fit test for econometric models (2000), in: Studies in Nonlinear Dynamics and Econometrics, 3(157-167) |
1999
| and , Pricing and hedging derivative securities with neural networks and a homogeneity hint (1999), in: J of Econometrics, 94(93-115) |
| and , Statistical properties of genetic algorithm learning in a model of exchange rate (1999), in: J of Economic Dynamics and Control, 24(981-1005) |