Details about Catalin Starica
Access statistics for papers by Catalin Starica.
Last updated 2012-03-06. Update your information in the RePEc Author Service.
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- The cost of sustainability on optimal portfolio choices
Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (6)
Also in Sustainable Investment and Corporate Governance Working Papers, Sustainable Investment Research Platform (2010)
- The IGARCH e®ect: Consequences on volatility forecasting and option trading
Quaderni del Dipartimento di Economia, Finanza e Statistica, Università di Perugia, Dipartimento Economia View citations (3)
- When did the 2001 recession really start?
SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
Also in Econometrics, EconWPA (2004)
- Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?
Econometrics, EconWPA View citations (10)
- Changes of structure in financial time series and the GARCH model
Econometrics, EconWPA View citations (19)
- Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?
Econometrics, EconWPA View citations (7)
- Long range dependence effects and ARCH modelling
Econometrics, EconWPA View citations (3)
- Non-stationarities in financial time series, the long range dependence and the IGARCH effects
Econometrics, EconWPA View citations (101)
- Non-stationarities in stock returns
Econometrics, EconWPA View citations (33)
- Empirical Testing of the Infinite Source Poisson Data Traffic Model
Working Papers, Toulouse - GREMAQ
- Multivariate extremes for models with constant conditional correlations
Journal of Empirical Finance, 1999, 6, (5), 515-553 View citations (24)
- Second-order regular variation, convolution and the central limit theorem
Stochastic Processes and their Applications, 1997, 69, (2), 139-159 View citations (8)
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