Catalin Starica : Citation Profile


Are you Catalin Starica?

Université de Neuchâtel

7

H index

6

i10 index

303

Citations

RESEARCH PRODUCTION:

3

Articles

12

Papers

RESEARCH ACTIVITY:

   15 years (1997 - 2012). See details.
   Cites by year: 20
   Journals where Catalin Starica has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 4 (1.3 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst55
   Updated: 2018-04-21    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:

Bauwens, Luc (9)

GUEGAN, Dominique (9)

Krämer, Walter (9)

Gil-Alana, Luis (9)

Härdle, Wolfgang (8)

Perron, Pierre (8)

Maheu, John (7)

Mayoral, Laura (7)

MORANA, CLAUDIO (7)

GUPTA, RANGAN (7)

Cizek, Pavel (7)

Cites to:

Stock, James (5)

Watson, Mark (5)

Granger, Clive (4)

Hamilton, James (3)

Diebold, Francis (3)

French, Kenneth (3)

Fama, Eugene (2)

Lastrapes, William D (2)

Lobato, Ignacio (2)

Bollerslev, Tim (2)

Ledoit, Olivier (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 (2018 and 2017)


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

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2017Spurious memory in non-equilibrium stochastic models of imitative behavior. (2017). Gontis, Vygintas ; Kononovicius, Aleksejus. In: Papers. RePEc:arx:papers:1707.09801.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, KE. In: Papers. RePEc:arx:papers:1804.02348.

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2017Parameter stability and semiparametric inference in time varying auto-regressive conditional heteroscedasticity models. (2017). Truquet, Lionel . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:5:p:1391-1414.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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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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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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2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef ; Kehlik, Toma . In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:208-218.

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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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2017Oil price shocks and volatility spillovers in the Nigerian sovereign bond market. (2017). tule, moses ; Ndako, Umar ; Onipede, Samuel F. In: Review of Financial Economics. RePEc:eee:revfin:v:35:y:2017:i:c:p:57-65.

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2017FORECASTING WITH GARCH MODELS UNDER STRUCTURAL BREAKS: AN APPROACH BASED ON COMBINATIONS ACROSS ESTIMATION WINDOWS. (2017). De Gaetano, Davide. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0219.

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2017Gross domestic product growth, volatility and regime changes nexus: the case of Portugal. (2017). Andraz, Jorge ; 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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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.
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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.
[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]
paper7
2004Non-stationarities in stock returns In: Econometrics.
[Full Text][Citation analysis]
paper92
2004Changes of structure in financial time series and the GARCH model In: Econometrics.
[Full Text][Citation analysis]
paper20
2004Long range dependence effects and ARCH modelling In: Econometrics.
[Full Text][Citation analysis]
paper19
2004Non-stationarities in financial time series, the long range dependence and the IGARCH effects In: Econometrics.
[Full Text][Citation analysis]
paper115
2005Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? In: Econometrics.
[Full Text][Citation analysis]
paper10

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