Details about Ciprian Necula

Access statistics for papers by Ciprian Necula.

Last updated 2024-03-10. Update your information in the RePEc Author Service.

Short-id: pne140

Working Papers

2017

1. The Dynamics of Heterogeneity and Asset Prices
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2016

2. A General Closed Form Option Pricing Formula
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (5)
   See also Journal Article A general closed form option pricing formula, Review of Derivatives Research, Springer (2019) View citations (4) (2019)
3. A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article A two-factor cointegrated commodity price model with an application to spread option pricing, Journal of Banking & Finance, Elsevier (2017) View citations (9) (2017)

2015

4. Herding and Stochastic Volatility
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2009

5. A Robust Assessment of the Romanian Business Cycle
   Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB View citations (3)
6. Estimarea Cursului Real de Echilibru si a Deviatiilor pentru Romania
   Studii Economice, Institutul National de Cercetari Economice (INCE) View citations (5)
7. Estimation of Equilibrium Real Exchange Rate and of Deviations for Romania
   Working Papers of National Institute for Economic Research, Institutul National de Cercetari Economice (INCE) View citations (3)
8. Evidences of the Intensity of the Balassa-Samuelson Phenomenon in the Romanian Economy
   Working Papers of National Institute for Economic Research, Institutul National de Cercetari Economice (INCE)
9. Evidente privind Intensitatea Fenomenului Balassa-Samuelson pentru Economia Romaneasca
   Studii Economice, Institutul National de Cercetari Economice (INCE)

2008

10. A Framework for Derivative Pricing in the Fractional Black-Scholes Market
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB View citations (1)
11. A Two-Country Discontinuous General Equilibrium Model
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB View citations (2)
12. Asset Pricing in a Two-Country Discontinuous General Equilibrium Model
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB View citations (1)
13. Barrier Options and a Reflection Principle of the Fractional Brownian Motion
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB View citations (3)
14. Modelling and Detecting Long Memory in Stock Returns
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB
15. Option Pricing in a Fractional Brownian Motion Environment
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB View citations (36)
16. Pricing European and Barrier Options in the Fractional Black-Scholes Market
    Advances in Economic and Financial Research - DOFIN Working Paper Series, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB

Journal Articles

2023

1. Modeling Tail Dependence Using Stochastic Volatility Model
   Computational Economics, 2023, 62, (1), 129-147
2. Quantifying the probability of a recession in selected Central and Eastern European countries
   Economic Research-Ekonomska Istraživanja, 2023, 36, (1), 209-229

2019

3. A general closed form option pricing formula
   Review of Derivatives Research, 2019, 22, (1), 1-40 View citations (4)
   See also Working Paper A General Closed Form Option Pricing Formula, Swiss Finance Institute Research Paper Series (2016) View citations (5) (2016)

2017

4. A two-factor cointegrated commodity price model with an application to spread option pricing
   Journal of Banking & Finance, 2017, 77, (C), 249-268 View citations (9)
   See also Working Paper A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing, Swiss Finance Institute Research Paper Series (2016) (2016)

2012

5. Long Memory in Eastern European Financial Markets Returns
   Economic Research-Ekonomska Istraživanja, 2012, 25, (2), 316-377 View citations (2)
6. Quantifying the recapitalization fund premium using option pricing techniques
   Economics Letters, 2012, 114, (3), 249-251 View citations (2)

2010

7. A Copula-Garch Modelcopula-Garch Model
   Economic Research-Ekonomska Istraživanja, 2010, 23, (2), 1-10 View citations (1)
8. Estimating Potential GDP for the Romanian Economy. An Eclectic Approach
   Journal for Economic Forecasting, 2010, (3), 5-25 View citations (15)
9. Estimating The Cyclically Adjusted Budget Balance For The Romanian Economy. A Robust Approach
   Journal for Economic Forecasting, 2010, (2), 79-99 View citations (12)
10. Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach
    Journal for Economic Forecasting, 2010, (3), 93-106 View citations (4)

2009

11. DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY
    Annals of Faculty of Economics, 2009, 3, (1), 610-615
12. Modeling Heavy-Tailed Stock Index Returns Using the Generalized Hyperbolic Distribution
    Journal for Economic Forecasting, 2009, 6, (2), 118-131 View citations (7)

2008

13. MODELING THE ECONOMIC GROWTH IN ROMANIA. THE INFLUENCE OF FISCAL REGIMES
    Journal for Economic Forecasting, 2008, 5, (4), 146-160 View citations (3)
14. MODELING THE ECONOMIC GROWTH IN ROMANIA. THE ROLE OF HUMAN CAPITAL
    Journal for Economic Forecasting, 2008, 5, (3), 115-128 View citations (4)