Details about Catalin Starica

Access statistics for papers by Catalin Starica.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pst55

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 View citations (7)
   Also in Sustainable Investment and Corporate Governance Working Papers, Sustainable Investment Research Platform (2010)
   See also Journal Article The cost of sustainability in optimal portfolio decisions, The European Journal of Finance, Taylor & Francis Journals (2012) View citations (10) (2012)

2007

2. 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 (6)

2006

3. When did the 2001 recession really start?
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
   Also in Econometrics, University Library of Munich, Germany (2004)

2005

4. Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?
   Econometrics, University Library of Munich, Germany View citations (12)

2004

5. Changes of structure in financial time series and the GARCH model
   Econometrics, University Library of Munich, Germany View citations (31)
6. Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?
   Econometrics, University Library of Munich, Germany View citations (8)
7. Long range dependence effects and ARCH modelling
   Econometrics, University Library of Munich, Germany View citations (18)
8. Non-stationarities in financial time series, the long range dependence and the IGARCH effects
   Econometrics, University Library of Munich, Germany View citations (146)
9. Non-stationarities in stock returns
   Econometrics, University Library of Munich, Germany View citations (39)

2000

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

Journal Articles

2012

1. The cost of sustainability in optimal portfolio decisions
   The European Journal of Finance, 2012, 18, (3-4), 333-349 View citations (10)
   See also Working Paper The cost of sustainability on optimal portfolio choices, Quaderni del Dipartimento di Economia, Finanza e Statistica (2011) View citations (7) (2011)

1999

2. Multivariate extremes for models with constant conditional correlations
   Journal of Empirical Finance, 1999, 6, (5), 515-553 View citations (21)

1997

3. Second-order regular variation, convolution and the central limit theorem
   Stochastic Processes and their Applications, 1997, 69, (2), 139-159 View citations (10)