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Catalin Starica

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

Personal Details

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

RePEc Short-ID: pst55

Email:
Homepage: http://www3.unine.ch/members/catalin.starica
Postal Address: Insitut de Statistique, Faculté des Sciences Économiques, Université de Neuchâtel,Pierre à Mazel 7, 2000, Neuchâtel, Suisse
Phone:

Affiliation

Faculté des sciences économiques (FSE)
Université de Neuchâtel
Location: Neuchâtel, Switzerland
Homepage: http://www2.unine.ch/seco
Email:
Phone: +41 32 718 1500
Fax: +41 32 718 1501
Postal: Pierre-à-Mazel 7, CH-2000 Neuchâtel
Handle: RePEc:edi:fsenech (more details at EDIRC)

Works

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Working papers

  1. Stefano Herzel, Stefano & Marco Nicolosi, Marco & Starica, Catalin, 2010. "The cost of sustainability on optimal portfolio choices," Sustainable Investment and Corporate Governance Working Papers 2010/15, Sustainable Investment Research Platform.
  2. 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.
  3. 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.
  4. Thomas Mikosch & Catalin Starica, 2004. "Changes of structure in financial time series and the GARCH model," Econometrics 0412003, EconWPA.
  5. Catalin Starica & Clive Granger, 2004. "Non-stationarities in stock returns," Econometrics 0411016, EconWPA.
  6. Catalin Starica, 2004. "Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?," Econometrics 0411015, EconWPA.
  7. Thomas Mikosch & Catalin Starica, 2004. "Long range dependence effects and ARCH modelling," Econometrics 0412004, EconWPA.
  8. J. Polzehl & V. Spokoiny & C. Starica, 2004. "When did the 2001 recession really start?," Econometrics 0411017, EconWPA.
  9. Thomas Mikosch & Catalin Starica, 2004. "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics 0412005, EconWPA.
  10. 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.
  2. Geluk, J. & de Haan, L. & Resnick, S. & Starica, C., 1997. "Second-order regular variation, convolution and the central limit theorem," Stochastic Processes and their Applications, Elsevier, vol. 69(2), pages 139-159, September.

NEP Fields

10 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
  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

Statistics

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Co-authorship network on CollEc

Corrections

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