6
H index
3
i10 index
112
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 (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | European option pricing under generalized fractional Brownian motion. (2021). Araneda, Axel A. In: Papers. RePEc:arx:papers:2108.12042. Full description at Econpapers || Download paper |
| 2024 | Variation Index of the Output Gap (VIOG): A New Way of Testing Potential GDP Estimations. (2024). Rendon, Alvaro Hurtado ; Barrera, Alejandro Pinilla ; Ceballos, Hermilson Velasquez. In: Documentos de Trabajo de Valor Público. RePEc:col:000122:000002. Full description at Econpapers || Download paper |
| 2023 | Does inclusion of GARCH variance in deep learning models improve financial contagion prediction?. (2023). Mangalagiri, Jayasree ; Rayadurgam, Vikram Chandramouli. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000818. Full description at Econpapers || Download paper |
| 2023 | Does Fiscal Consolidation Affect Non-Performing Loans? Global Evidence from Heavily Indebted Countries (HICs). (2023). Sands, John ; Arian, Adam ; Ur, Habib. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:9:p:417-:d:1243372. Full description at Econpapers || Download paper |
| 2023 | Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes. (2023). Noorani, Idin ; Mehrdoust, Farshid. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10232-4. Full description at Econpapers || Download paper |
| 2023 | . 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 | 9 |
| 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: 9 | 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 | 6 |
| 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 | 1 |
| 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, 3 2024. Contact: CitEc Team