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Details about Catalin Starica

E-mail:
Homepage:http://www3.unine.ch/members/catalin.starica
Postal address:Insitut de Statistique, Faculté des Sciences Économiques, Université de Neuchâtel,Pierre à Mazel 7, 2000, Neuchâtel, Suisse
Workplace:Faculté des sciences économiques (FSE) (Faculty of Economics), Université de Neuchâtel (University of Neuchatel), (more information at EDIRC)

Access statistics for papers by Catalin Starica.

Last updated 2012-03-06. Update your information in the RePEc Author Service.

Short-id: pst55


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Working Papers

2011

  1. The cost of sustainability on optimal portfolio choices
    Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia Downloads View citations (6)
    Also in Sustainable Investment and Corporate Governance Working Papers, Sustainable Investment Research Platform (2010) Downloads

2007

  1. The IGARCH e®ect: Consequences on volatility forecasting and option trading
    Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia Downloads View citations (3)

2006

  1. When did the 2001 recession really start?
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    Also in Econometrics, EconWPA (2004) Downloads

2005

  1. Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?
    Econometrics, EconWPA Downloads View citations (10)

2004

  1. Changes of structure in financial time series and the GARCH model
    Econometrics, EconWPA Downloads View citations (19)
  2. Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?
    Econometrics, EconWPA Downloads View citations (7)
  3. Long range dependence effects and ARCH modelling
    Econometrics, EconWPA Downloads View citations (3)
  4. Non-stationarities in financial time series, the long range dependence and the IGARCH effects
    Econometrics, EconWPA Downloads View citations (101)
  5. Non-stationarities in stock returns
    Econometrics, EconWPA Downloads View citations (33)

2000

  1. Empirical Testing of the Infinite Source Poisson Data Traffic Model
    Working Papers, Toulouse - GREMAQ

Journal Articles

1999

  1. Multivariate extremes for models with constant conditional correlations
    Journal of Empirical Finance, 1999, 6, (5), 515-553 Downloads View citations (23)

1997

  1. Second-order regular variation, convolution and the central limit theorem
    Stochastic Processes and their Applications, 1997, 69, (2), 139-159 Downloads View citations (8)
 
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