Catalin Starica : Citation Profile

Are you Catalin Starica?

Université de Neuchâtel

8

H index

7

i10 index

370

Citations

RESEARCH PRODUCTION:

3

Articles

12

Papers

RESEARCH ACTIVITY:

   15 years (1997 - 2012). See details.
   Cites by year: 24
   Journals where Catalin Starica has often published
   Relations with other researchers
   Recent citing documents: 34.    Total self citations: 5 (1.33 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst55
   Updated: 2022-06-25    RAS profile: 2017-12-06    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Catalin Starica.

Is cited by:

Gil-Alana, Luis (10)

GUPTA, RANGAN (9)

Bauwens, Luc (9)

GUEGAN, Dominique (8)

Krämer, Walter (8)

MORANA, CLAUDIO (8)

Perron, Pierre (8)

Maheu, John (7)

Cizek, Pavel (7)

de Vries, Casper (7)

Mayoral, Laura (7)

Cites to:

Watson, Mark (6)

Stock, James (5)

Granger, Clive (4)

Hamilton, James (3)

French, Kenneth (3)

Diebold, Francis (3)

Einmahl, John (3)

Bollerslev, Tim (3)

Wolf, Michael (2)

Lastrapes, William (2)

Lobato, Ignacio (2)

Main data

Where Catalin Starica has published?

Working Papers Series with more than one paper published# docs
Econometrics / University Library of Munich, Germany7
Quaderni del Dipartimento di Economia, Finanza e Statistica / Università di Perugia, Dipartimento Economia2

Recent works citing Catalin Starica (2021 and 2020)

YearTitle of citing document
2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2020Prediction in locally stationary time series. (2020). Wu, Weichi ; Dette, Holger. In: Papers. RePEc:arx:papers:2001.00419.

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2022Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2021Integrating prediction in mean-variance portfolio optimization. (2021). Kwon, Roy H ; Butler, Andrew. In: Papers. RePEc:arx:papers:2102.09287.

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2021Data-driven integration of regularized mean-variance portfolios. (2021). Kwon, Roy H ; Butler, Andrew. In: Papers. RePEc:arx:papers:2112.07016.

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2022Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285.

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2022On the dependence structure of the trade/no trade sequence of illiquid assets. (2022). Raissi, Hamdi. In: Papers. RePEc:arx:papers:2203.08223.

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2022Does hospitality industry stock volatility react asymmetrically to health and economic crises?. (2022). Pal, Debdatta. In: Economic Modelling. RePEc:eee:ecmode:v:108:y:2022:i:c:s026499932100328x.

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2020Trend instrumental variable regression with an application to the US New Keynesian Phillips Curve. (2020). Xia, Huizhu ; Chen, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:595-604.

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2020Forecasting risk in the US Dollar exchange rate under volatility shifts. (2020). Malik, Farooq ; Anjum, Hassan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301546.

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2020Adaptive estimation of AR? models with time-varying variances. (2020). Wu, Jilin ; Zhang, Erhua. In: Economics Letters. RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520304018.

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2021Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model. (2021). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:306-329.

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2021Fixed-bandwidth CUSUM tests under long memory. (2021). Leschinski, Christian ; Wenger, Kai. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:46-61.

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2022Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo. (2022). , William ; Chen, Feng. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:50-68.

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2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

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2020Price and volatility linkages between international REITs and oil markets. (2020). Soytas, Ugur ; GUPTA, RANGAN ; Gormus, Alper ; Nazlioglu, Saban. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301195.

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2020Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management. (2020). Tsuji, Chikashi. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521919302224.

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2021Backtesting VaR under the COVID-19 sudden changes in volatility. (2021). Iguez, Trino-Manuel ; Leon, Angel ; Castillo, Brenda. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001057.

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2021Do Sukuk provide diversification benefits to conventional bond investors? Evidence from Turkey. (2021). Karan, Mehmet Baha ; Arslan-Ayaydin, Ozgur ; Pirgaip, Burak. In: Global Finance Journal. RePEc:eee:glofin:v:50:y:2021:i:c:s1044028319303151.

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2020Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning. (2020). Ibikunle, Gbenga ; Moews, Ben. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:547:y:2020:i:c:s0378437120301503.

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2022Asymmetric multifractal behaviour and network connectedness between socially responsible stocks and international oil before and during COVID-19. (2022). Vo, Xuan Vinh ; Ahmad, Nasir ; Ur, Mobeen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:587:y:2022:i:c:s0378437121007627.

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2020Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies. (2020). Chaiechi, Taha ; Nguyen, Trang ; Low, David ; Eagle, Lynne. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:308-324.

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2021Volatility spillover between exchange rate and stock returns under volatility shifts. (2021). Malik, Farooq. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:605-613.

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2020Movements in international bond markets: The role of oil prices. (2020). GUPTA, RANGAN ; Bouri, Elie ; Nazlioglu, Saban. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:47-58.

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2022Measuring volatility persistence in leveraged loan markets in the presence of structural breaks. (2022). Tiwari, Aviral ; Gil-Alana, Luis ; Arthur, Emmanuel Kwesi ; Aikins, Emmanuel Joel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:141-152.

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2022Forecasting volatility of Bitcoin. (2022). Molnár, Peter ; Polasik, Micha ; Molnar, Peter ; Lind, Andrea Falk ; Bergsli, Lykke Overland. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001616.

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2020Asymmetric network connectedness of fears. (2020). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia ; Barunik, Jozef. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108199.

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2020.

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2022Mitigating Contagion Risk by ESG Investing. (2022). Nicolosi, Marco ; Dalo, Ambrogio ; Ciciretti, Rocco ; Cerqueti, Roy. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:7:p:3805-:d:777967.

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2020A Testing Procedure for Constant Parameters in Stochastic Volatility Models. (2020). Hoyo, Juan ; Rivero, Carlos ; Llorente, Guillermo. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:1:d:10.1007_s10614-019-09892-0.

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2022Volatility spillover among sector equity returns under structural breaks. (2022). Malik, Farooq. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01018-8.

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2021Was there ever a shift: Empirical analysis of structural-shift tests for return volatility. (2021). Kostyrka, Andreï ; Malakhov, Dmitry. In: Applied Econometrics. RePEc:ris:apltrx:0416.

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2021Volatility in the stock market: ANN versus parametric models. (2021). Clementi, Daniele ; Decclesia, Rita Laura. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03374-0.

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2020Contagion or interdependence? Comparing signed and unsigned spillovers. (2020). Volkov, Vladimir ; Islam, Raisul. In: Working Papers. RePEc:tas:wpaper:33214.

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Works by Catalin Starica:

YearTitleTypeCited
1999Multivariate extremes for models with constant conditional correlations In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article23
1997Second-order regular variation, convolution and the central limit theorem In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article9
2000Empirical Testing of the Infinite Source Poisson Data Traffic Model. In: Toulouse - GREMAQ.
[Citation analysis]		paper0
2010The cost of sustainability on optimal portfolio choices In: Sustainable Investment and Corporate Governance Working Papers.
[Full Text][Citation analysis]		paper11
2011The cost of sustainability on optimal portfolio choices.(2011) In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2012The cost of sustainability in optimal portfolio decisions.(2012) In: The European Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2006When did the 2001 recession really start? In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]		paper0
2004When did the 2001 recession really start?.(2004) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2007The IGARCH e®ect: Consequences on volatility forecasting and option trading In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
[Full Text][Citation analysis]		paper5
2004Is GARCH(1,1) as good a model as the Nobel prize accolades would imply? In: Econometrics.
[Full Text][Citation analysis]		paper6
2004Non-stationarities in stock returns In: Econometrics.
[Full Text][Citation analysis]		paper128
2004Changes of structure in financial time series and the GARCH model In: Econometrics.
[Full Text][Citation analysis]		paper27
2004Long range dependence effects and ARCH modelling In: Econometrics.
[Full Text][Citation analysis]		paper18
2004Non-stationarities in financial time series, the long range dependence and the IGARCH effects In: Econometrics.
[Full Text][Citation analysis]		paper132
2005Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? In: Econometrics.
[Full Text][Citation analysis]		paper11

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