Catalin Starica : Citation Profile

Are you Catalin Starica?

Université de Neuchâtel

7

H index

5

i10 index

280

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: 20.    Total self citations: 4 (1.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst55
   Updated: 2017-09-16    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)

Krämer, Walter (7)

GUPTA, RANGAN (7)

Mayoral, Laura (7)

Härdle, Wolfgang (7)

Rombouts, Jeroen (6)

Cites to:

Stock, James (5)

Watson, Mark (5)

Granger, Clive (4)

Diebold, Francis (3)

French, Kenneth (3)

Hamilton, James (3)

Ledoit, Olivier (2)

Bollerslev, Tim (2)

Wolf, Michael (2)

Lobato, Ignacio (2)

Einmahl, John (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 / Università 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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2017Gross domestic product growth, volatility and regime changes nexus: the case of Portugal. (2017). Andraz, Jorge M ; Norte, Nelia M. In: Portuguese Economic Journal. RePEc:spr:portec:v:16:y:2017:i:1:d:10.1007_s10258-017-0128-y.

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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.
[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]		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.
[Full Text][Citation analysis]		paper6
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: 6		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: 6		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]		paper3
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]		paper87
2004Changes of structure in financial time series and the GARCH model In: Econometrics.
[Full Text][Citation analysis]		paper19
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]		paper101
2005Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? In: Econometrics.
[Full Text][Citation analysis]		paper9

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