8
H index
7
i10 index
370
Citations
Université de Neuchâtel | 8 H index 7 i10 index 370 Citations RESEARCH PRODUCTION: 3 Articles 12 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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Econometrics / University Library of Munich, Germany | 7 |
Quaderni del Dipartimento di Economia, Finanza e Statistica / Università di Perugia, Dipartimento Economia | 2 |
Year | Title of citing document |
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2020 | Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147. Full description at Econpapers || Download paper |
2020 | Prediction in locally stationary time series. (2020). Wu, Weichi ; Dette, Holger. In: Papers. RePEc:arx:papers:2001.00419. Full description at Econpapers || Download paper |
2022 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper |
2021 | Integrating prediction in mean-variance portfolio optimization. (2021). Kwon, Roy H ; Butler, Andrew. In: Papers. RePEc:arx:papers:2102.09287. Full description at Econpapers || Download paper |
2021 | Data-driven integration of regularized mean-variance portfolios. (2021). Kwon, Roy H ; Butler, Andrew. In: Papers. RePEc:arx:papers:2112.07016. Full description at Econpapers || Download paper |
2022 | Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285. Full description at Econpapers || Download paper |
2022 | On the dependence structure of the trade/no trade sequence of illiquid assets. (2022). Raissi, Hamdi. In: Papers. RePEc:arx:papers:2203.08223. Full description at Econpapers || Download paper |
2022 | Does 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. Full description at Econpapers || Download paper |
2020 | Trend 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. Full description at Econpapers || Download paper |
2020 | Forecasting 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. Full description at Econpapers || Download paper |
2020 | Adaptive 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. Full description at Econpapers || Download paper |
2021 | Adaptive 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. Full description at Econpapers || Download paper |
2021 | Fixed-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. Full description at Econpapers || Download paper |
2022 | Likelihood 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. Full description at Econpapers || Download paper |
2020 | Do 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. Full description at Econpapers || Download paper |
2020 | Price 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. Full description at Econpapers || Download paper |
2020 | Correlation 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. Full description at Econpapers || Download paper |
2021 | Backtesting 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. Full description at Econpapers || Download paper |
2021 | Do 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. Full description at Econpapers || Download paper |
2020 | Predictive 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. Full description at Econpapers || Download paper |
2022 | Asymmetric 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. Full description at Econpapers || Download paper |
2020 | Dynamic 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. Full description at Econpapers || Download paper |
2021 | Volatility 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. Full description at Econpapers || Download paper |
2020 | Movements 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. Full description at Econpapers || Download paper |
2022 | Measuring 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2020 | Asymmetric network connectedness of fears. (2020). BarunÃÂk, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia ; Barunik, Jozef. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108199. Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2022 | Mitigating 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2022 | Volatility 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. Full description at Econpapers || Download paper |
2021 | Was 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. Full description at Econpapers || Download paper |
2021 | Volatility 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. Full description at Econpapers || Download paper |
2020 | Contagion or interdependence? Comparing signed and unsigned spillovers. (2020). Volkov, Vladimir ; Islam, Raisul. In: Working Papers. RePEc:tas:wpaper:33214. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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1999 | Multivariate extremes for models with constant conditional correlations In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 23 |
1997 | Second-order regular variation, convolution and the central limit theorem In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 9 |
2000 | Empirical Testing of the Infinite Source Poisson Data Traffic Model. In: Toulouse - GREMAQ. [Citation analysis] | paper | 0 |
2010 | The cost of sustainability on optimal portfolio choices In: Sustainable Investment and Corporate Governance Working Papers. [Full Text][Citation analysis] | paper | 11 |
2011 | The 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 | |
2012 | The 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 | |
2006 | When did the 2001 recession really start? In: SFB 649 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | When did the 2001 recession really start?.(2004) In: Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2007 | The IGARCH e®ect: Consequences on volatility forecasting and option trading In: Quaderni del Dipartimento di Economia, Finanza e Statistica. [Full Text][Citation analysis] | paper | 5 |
2004 | Is GARCH(1,1) as good a model as the Nobel prize accolades would imply? In: Econometrics. [Full Text][Citation analysis] | paper | 6 |
2004 | Non-stationarities in stock returns In: Econometrics. [Full Text][Citation analysis] | paper | 128 |
2004 | Changes of structure in financial time series and the GARCH model In: Econometrics. [Full Text][Citation analysis] | paper | 27 |
2004 | Long range dependence effects and ARCH modelling In: Econometrics. [Full Text][Citation analysis] | paper | 18 |
2004 | Non-stationarities in financial time series, the long range dependence and the IGARCH effects In: Econometrics. [Full Text][Citation analysis] | paper | 132 |
2005 | Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? In: Econometrics. [Full Text][Citation analysis] | paper | 11 |
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