6
H index
4
i10 index
115
Citations
Ciprian Necula : Citation Profile
Academia de Studii Economice din Bucureşti (50% share) | RESEARCH PRODUCTION: 14 Articles 16 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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15 years (2008 - 2023). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Ciprian Necula. | Is cited by:
| Cites to:
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Main data
Where Ciprian Necula has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal for Economic Forecasting | 6 |
| Economic Research-Ekonomska Istraživanja | 3 |
Recent works citing Ciprian Necula (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Variation Index of the Output Gap (VIOG): A New Way of Testing Potential GDP Estimations. (2024). Ceballos, Hermilson Velasquez ; Rendon, Alvaro Hurtado ; Barrera, Alejandro Pinilla. In: Documentos de Trabajo de Valor Público. RePEc:col:000122:000002. Full description at Econpapers || Download paper |
| 2024 | Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles. (2024). He, Xin-Jiang ; Lin, Sha ; Pasricha, Puneet. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001962. Full description at Econpapers || Download paper |
| 2024 | Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215. Full description at Econpapers || Download paper |
| 2024 | Application of Extended Normal Distribution in Option Price Sensitivities. (2024). Tripathy, Subhranshu Sekhar ; Nayak, Gangadhar ; Li, Chun-Ta ; Imoize, Agbotiname Lucky. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:15:p:2346-:d:1444050. Full description at Econpapers || Download paper |
| 2025 | Evaluating Sectoral Vulnerability to Natural Disasters in the US Stock Market: Sectoral Insights from DCC-GARCH Models with Generalized Hyperbolic Innovations. (2025). Davidescu, Adriana Anamaria ; Manta, Eduard Mihai ; Florescu, Margareta-Stela ; Constantin, Robert-Stefan ; Manole, Cristina. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:18:p:8324-:d:1751111. Full description at Econpapers || Download paper |
| 2024 | The Nexus Between Economic Policy Uncertainty and Stock Market Volatility in the CEE-3 Countries. (2024). Sami, Gngr Mahmut ; Arifenur, Gngr. In: South East European Journal of Economics and Business. RePEc:vrs:seejeb:v:19:y:2024:i:2:p:60-81:n:1005. Full description at Econpapers || Download paper |
Works by Ciprian Necula:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | A Framework for Derivative Pricing in the Fractional Black-Scholes Market In: Advances in Economic and Financial Research - DOFIN Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Option Pricing in a Fractional Brownian Motion Environment In: Advances in Economic and Financial Research - DOFIN Working Paper Series. [Full Text][Citation analysis] | paper | 35 |
| 2008 | Pricing European and Barrier Options in the Fractional Black-Scholes Market In: Advances in Economic and Financial Research - DOFIN Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2008 | A Two-Country Discontinuous General Equilibrium Model In: Advances in Economic and Financial Research - DOFIN Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Asset Pricing in a Two-Country Discontinuous General Equilibrium Model In: Advances in Economic and Financial Research - DOFIN Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2009 | A Robust Assessment of the Romanian Business Cycle In: Advances in Economic and Financial Research - DOFIN Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Barrier Options and a Reflection Principle of the Fractional Brownian Motion In: Advances in Economic and Financial Research - DOFIN Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Modelling and Detecting Long Memory in Stock Returns In: Advances in Economic and Financial Research - DOFIN Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2016 | A General Closed Form Option Pricing Formula In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 10 |
| 2019 | A general closed form option pricing formula.(2019) In: Review of Derivatives Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2016 | A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 9 |
| 2017 | A two-factor cointegrated commodity price model with an application to spread option pricing.(2017) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2015 | Herding and Stochastic Volatility In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2017 | The Dynamics of Heterogeneity and Asset Prices In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Quantifying the recapitalization fund premium using option pricing techniques In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2023 | Modeling Tail Dependence Using Stochastic Volatility Model In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2009 | DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY In: Annals of Faculty of Economics. [Full Text][Citation analysis] | article | 0 |
| 2008 | MODELING THE ECONOMIC GROWTH IN ROMANIA. THE ROLE OF HUMAN CAPITAL In: Journal for Economic Forecasting. [Full Text][Citation analysis] | article | 4 |
| 2008 | MODELING THE ECONOMIC GROWTH IN ROMANIA. THE INFLUENCE OF FISCAL REGIMES In: Journal for Economic Forecasting. [Full Text][Citation analysis] | article | 3 |
| 2009 | Modeling Heavy-Tailed Stock Index Returns Using the Generalized Hyperbolic Distribution In: Journal for Economic Forecasting. [Full Text][Citation analysis] | article | 7 |
| 2010 | Estimating The Cyclically Adjusted Budget Balance For The Romanian Economy. A Robust Approach In: Journal for Economic Forecasting. [Full Text][Citation analysis] | article | 12 |
| 2010 | Estimating Potential GDP for the Romanian Economy. An Eclectic Approach In: Journal for Economic Forecasting. [Full Text][Citation analysis] | article | 14 |
| 2010 | Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach In: Journal for Economic Forecasting. [Full Text][Citation analysis] | article | 3 |
| 2009 | Evidente privind Intensitatea Fenomenului Balassa-Samuelson pentru Economia Romaneasca In: Studii Economice. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Estimarea Cursului Real de Echilibru si a Deviatiilor pentru Romania In: Studii Economice. [Full Text][Citation analysis] | paper | 5 |
| 2009 | Estimation of Equilibrium Real Exchange Rate and of Deviations for Romania In: Working Papers of National Institute for Economic Research. [Full Text][Citation analysis] | paper | 3 |
| 2009 | Evidences of the Intensity of the Balassa-Samuelson Phenomenon in the Romanian Economy In: Working Papers of National Institute for Economic Research. [Full Text][Citation analysis] | paper | 0 |
| 2010 | A Copula-Garch Modelcopula-Garch Model In: Economic Research-Ekonomska Istraživanja. [Full Text][Citation analysis] | article | 1 |
| 2012 | Long Memory in Eastern European Financial Markets Returns In: Economic Research-Ekonomska Istraživanja. [Full Text][Citation analysis] | article | 2 |
| 2023 | Quantifying the probability of a recession in selected Central and Eastern European countries In: Economic Research-Ekonomska Istraživanja. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team