Catalin Starica : Citation Profile


Are you Catalin Starica?

Université de Neuchâtel

7

H index

5

i10 index

279

Citations

RESEARCH PRODUCTION:

3

Articles

12

Papers

RESEARCH ACTIVITY:

   15 years (1997 - 2012). See details.
   Cites by year: 18
   Journals where Catalin Starica has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 4 (1.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst55
   Updated: 2017-07-22    RAS profile: 2017-07-17    
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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:

GUEGAN, Dominique (9)

Bauwens, Luc (9)

Gil-Alana, Luis (8)

Perron, Pierre (8)

Maheu, John (7)

MORANA, CLAUDIO (7)

Mayoral, Laura (7)

Härdle, Wolfgang (7)

GUPTA, RANGAN (7)

Krämer, Walter (7)

Rombouts, Jeroen (6)

Cites to:

Watson, Mark (5)

Stock, James (5)

Granger, Clive (4)

French, Kenneth (3)

Diebold, Francis (3)

Hamilton, James (3)

Lastrapes, William D (2)

Ledoit, Olivier (2)

Einmahl, John (2)

Bollerslev, Tim (2)

Fama, Eugene (2)

Main data


Where Catalin Starica has published?


Working Papers Series with more than one paper published# docs
Quaderni del Dipartimento di Economia, Finanza e Statistica / Universit di Perugia, Dipartimento Economia2

Recent works citing Catalin Starica (2017 and 2016)


YearTitle of citing document
2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Baruník, Jozef ; Krehlik, Tomas . In: Papers. RePEc:arx:papers:1603.07020.

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2016Stylized Facts and Simulating Long Range Financial Data. (2016). Davies, Laurie ; Kramer, Walter . In: Papers. RePEc:arx:papers:1612.05229.

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2016Stylized Facts and Simulating Long Range Financial Data. (2016). Krämer, Walter ; Kraemer, Walter ; Davies, Laurie . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5796.

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2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model. (2016). Bauwens, Luc ; Augustyniak, Maciej ; Dufays, Arnaud . In: CORE Discussion Papers. RePEc:cor:louvco:2016042.

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2016Breaks and the Statistical Process of Inflation: The Case of the ‘Modern’ Phillips Curve. (2016). Russell, Bill ; Rambaccussing, Dooruj . In: Dundee Discussion Papers in Economics. RePEc:dun:dpaper:294.

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2016Efficient Gibbs sampling for Markov switching GARCH models. (2016). Billio, Monica ; Casarin, Roberto . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:37-57.

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2016Fractional integration in daily stock market indices at Jordans Amman stock exchange. (2016). Al-Shboul, Mohammad ; Anwar, Sajid . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:16-37.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2016Measuring volatility persistence for conventional and Islamic banks: An FI-EGARCH approach. (2016). JAWADI, Fredj ; Selmi, Nadhem ; Hachicha, Nejib ; Fakhfekh, Mohamed ; Cheffou, Abdoulkarim Idi . In: Emerging Markets Review. RePEc:eee:ememar:v:27:y:2016:i:c:p:84-99.

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2016Forecasting the volatility of crude oil futures using HAR-type models with structural breaks. (2016). Wen, Fenghua ; Cai, Shenghua ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:400-413.

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2017Modelling asymmetric volatility in oil prices under structural breaks. (2017). Ewing, Bradley T ; Malik, Farooq . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:227-233.

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2016Volatility spillovers between oil prices and the stock market under structural breaks. (2016). Ewing, Bradley ; Malik, Farooq . In: Global Finance Journal. RePEc:eee:glofin:v:29:y:2016:i:c:p:12-23.

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2017Monitoring multivariate time series. (2017). Hoga, Yannick . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:155:y:2017:i:c:p:105-121.

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2016Inference on nonstationary time series with moving mean. (2016). Robinson, Peter M ; Gao, Jiti . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:66509.

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2016Volatility of stock market and exchange rate returns in Peru: Long memory or short memory with level shifts?. (2016). Arambur, Andrs Herrera ; Rodrguez, Gabriel . In: International Journal of Monetary Economics and Finance. RePEc:ids:ijmefi:v:9:y:2016:i:1:p:45-66.

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2016A new approach to volatility modeling: the High-Dimensional Markov model. (2016). Bauwens, Luc ; Dufays, Arnaud ; Augustyniak, Maciej . In: Cahiers de recherche. RePEc:lvl:crrecr:1609.

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2016 Modeling Latin-American Stock and Forex Markets Volatility: Empirical Application of a Model with Random Level Shifts and Genuine Long Memory [Modelando la volatilidad de los mercados bursátiles y c. (2016). Rodríguez, Gabriel. In: Documentos de Trabajo / Working Papers. RePEc:pcp:pucwps:wp00416.

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2016Structural break tests and the Greek sovereign debt crisis: revisited. (2016). Budd, Bruce Q. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:40:y:2016:i:3:d:10.1007_s12197-015-9339-1.

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2016Measuring the frequency dynamics of financial and macroeconomic connectedness. (2016). Baruník, Jozef ; Barunik, Jozef ; Krehlik, Tomas . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:54.

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Works by Catalin Starica:


YearTitleTypeCited
1999Multivariate extremes for models with constant conditional correlations In: Journal of Empirical Finance.
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article23
1997Second-order regular variation, convolution and the central limit theorem In: Stochastic Processes and their Applications.
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article8
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.
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paper6
2011The cost of sustainability on optimal portfolio choices.(2011) In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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This paper has another version. Agregated cites: 6
paper
2012The cost of sustainability in optimal portfolio decisions.(2012) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 6
article
2006When did the 2001 recession really start? In: SFB 649 Discussion Papers.
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paper0
2004When did the 2001 recession really start?.(2004) In: Econometrics.
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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.
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paper3
2004Is GARCH(1,1) as good a model as the Nobel prize accolades would imply? In: Econometrics.
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paper6
2004Non-stationarities in stock returns In: Econometrics.
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paper87
2004Changes of structure in financial time series and the GARCH model In: Econometrics.
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paper19
2004Long range dependence effects and ARCH modelling In: Econometrics.
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paper18
2004Non-stationarities in financial time series, the long range dependence and the IGARCH effects In: Econometrics.
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paper100
2005Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? In: Econometrics.
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paper9

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 1st 2017. Contact: CitEc Team