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Information about:
Catalin Starica

Personal Details | Affiliation | Works
This is information that was supplied by Catalin Starica in registering through RePEc. If you are Catalin Starica , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Catalin
Middle Name:
Last Name: Starica
Suffix:

RePEc Short-ID: pst55

Email:
Homepage: http://www.math.chalmers.se/~starica
Postal Address: CTH, Mathematics Dept., Eklandagatan 86, Gothenburg, S-41296, Sweden
Phone: 46-31-772-5359

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Stefano HERZEL & Catalin STARICA & Thomas NORD, 2007. "The IGARCH e®ect: Consequences on volatility forecasting and option trading," Quaderni del Dipartimento di Economia, Finanza e Statistica 34/2007, Università di Perugia, Dipartimento Economia, Finanza e Statistica. [Downloadable!]

  2. Catalin Starica & Stefano Herzel & Tomas Nord, 2005. "Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?," Econometrics 0508003, EconWPA. [Downloadable!]

  3. J. Polzehl & V. Spokoiny & C. Starica, 2004. "When did the 2001 recession really start?," Econometrics 0411017, EconWPA. [Downloadable!]
    Other versions:

  4. Catalin Starica, 2004. "Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?," Econometrics 0411015, EconWPA. [Downloadable!]

  5. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, EconWPA. [Downloadable!]
    Published as:

  6. Thomas Mikosch & Catalin Starica, 2004. "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics 0412005, EconWPA. [Downloadable!]

  7. Thomas Mikosch & Catalin Starica, 2004. "Changes of structure in financial time series and the GARCH model," Econometrics 0412003, EconWPA. [Downloadable!]

  8. Thomas Mikosch & Catalin Starica, 2004. "Long range dependence effects and ARCH modelling," Econometrics 0412004, EconWPA. [Downloadable!]

  9. Guerin, C.A. & Nyberg, H. & Perrin, O. & Resnick, S. & Rootzen, H. & Starica, C., 2000. "Empirical Testing of the Infinite Source Poisson Data Traffic Model," Papers 00-535, Toulouse - GREMAQ.

Articles

  1. Starica, Catalin, 1999. "Multivariate extremes for models with constant conditional correlations," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 515-553, December. [Downloadable!] (restricted)

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2006-05-13
  2. NEP-CFN: Corporate Finance (1) 2005-08-13
  3. NEP-ECM: Econometrics (4) 2004-12-12 2004-12-12 2004-12-12 2005-08-13 Author is listed
  4. NEP-ETS: Econometric Time Series (2) 2004-12-12 2005-08-13 Author is listed
  5. NEP-FIN: Finance (8) 2004-12-12 2004-12-12 2004-12-12 2004-12-12 2004-12-15 2004-12-15 2004-12-15 2004-12-15 Author is listed
  6. NEP-FMK: Financial Markets (1) 2004-12-12
  7. NEP-FOR: Forecasting (1) 2005-08-13
  8. NEP-HPE: History & Philosophy of Economics (1) 2004-12-12
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This page was last updated on 2009-11-15.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.