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An introduction to wavelets and other filtering methods in finance and economics

Gençay, Ramazan; Selçuk, Faruk; Whitcher, Brandon - 2002

Persistent link: https://www.econbiz.de/10001581851

A visual goodness-of-fit test for econometric models

Gençay, Ramazan (contributor); Selçuk, Faruk (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 3, pp. 157-167

Persistent link: https://www.econbiz.de/10001769714

EVIM : a software package for extreme value analysis in MATLAB

Gençay, Ramazan (contributor); Selçuk, Faruk (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 5 (2001) 3, pp. 213-239

Persistent link: https://www.econbiz.de/10001769752

Multiscale systematic risk

Gençay, Ramazan; Selçuk, Faruk; Whitcher, Brandon - In: Journal of international money and finance 24 (2005) 1, pp. 55-70

Persistent link: https://www.econbiz.de/10002610542

Extreme value theory and value-at-risk : relative performance in emerging markets

Gençay, Ramazan; Selçuk, Faruk - In: International journal of forecasting 20 (2004) 2, pp. 287-303

Persistent link: https://www.econbiz.de/10002033493

Overnight borrowing, interest rates and extreme value theory

Gençay, Ramazan; Selçuk, Faruk - In: European economic review : EER 50 (2006) 3, pp. 547-563

Persistent link: https://www.econbiz.de/10003309958

Informed traders' arrival in foreign exchange markets : does geography matter?

Gençay, Ramazan; Gradojevic, Nikola; Olsen, Richard; … - In: Empirical economics : a journal of the Institute for … 49 (2015) 4, pp. 1431-1462

Persistent link: https://www.econbiz.de/10011377058

Overnight Borrowing, Interest Rates and Extreme Value Theory

Gençay, Ramazan - 2004

We examine the dynamics of extreme values of overnight borrowing rates in an inter-bank money market before a financial crisis during which overnight borrowing rates rocketed up to (simple annual) 4000 percent. It is shown that the generalized Pareto distribution fits well to the extreme values...

Persistent link: https://www.econbiz.de/10012737953

Consumption smoothing and the current account : Turkey's experience, 1987 - 1995

Selçuk, Faruk - In: ODTÜ gelişme dergisi / Orta Doǧu Teknik … 24 (1997) 4, pp. 519-529

Persistent link: https://www.econbiz.de/10001369193

Forecasting inflation using interest rates and time series models

Selçuk, Faruk - In: Yapı Kredı economic review : quarterly publ. of … 7 (1996) 1, pp. 39-48

Persistent link: https://www.econbiz.de/10001208021