Catalin Starica : Citation Profile

Are you Catalin Starica?

Université de Neuchâtel

7

H index

6

i10 index

306

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: 13.    Total self citations: 4 (1.29 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst55
   Updated: 2018-06-16    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 (9)

Bauwens, Luc (9)

GUEGAN, Dominique (9)

Krämer, Walter (9)

Härdle, Wolfgang (8)

Perron, Pierre (8)

GUPTA, RANGAN (7)

Maheu, John (7)

Cizek, Pavel (7)

MORANA, CLAUDIO (7)

Mayoral, Laura (7)

Cites to:

Watson, Mark (5)

Stock, James (5)

Granger, Clive (4)

Diebold, Francis (3)

Hamilton, James (3)

French, Kenneth (3)

Fama, Eugene (2)

Lastrapes, William D (2)

Bollerslev, Tim (2)

Lobato, Ignacio (2)

Wolf, Michael (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 (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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2018Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. (2018). Hasanov, Akram Shavkatovich ; Heng, Zin Yau ; Al-Freedi, Ajab ; Poon, Wai Ching. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:307-333.

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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.
[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]		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]		paper21
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]		paper116
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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