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Publications

by members of

Université de Neuchâtel → Faculté des sciences économiques (FSE)

University of Neuchatel → Faculty of Economics

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2024

  1. Valentin Grob & Gabriel Züllig, 2024, "Corporate leverage and the effects of monetary policy on investment: A reconciliation of micro and macro elasticities," IRENE Working Papers, IRENE Institute of Economic Research, number 24-04, Sep.

2010

  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, Sustainable Investment Research Platform, number 2010/15, Oct.

2007

  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, Università di Perugia, Dipartimento Economia, number 34/2007, Jul.

2005

  1. Catalin Starica & Stefano Herzel & Tomas Nord, 2005, "Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?," Econometrics, University Library of Munich, Germany, number 0508003, Aug.

2004

  1. Catalin Starica, 2004, "Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?," Econometrics, University Library of Munich, Germany, number 0411015, Nov.
  2. Catalin Starica & Clive Granger, 2004, "Non-stationarities in stock returns," Econometrics, University Library of Munich, Germany, number 0411016, Nov.
  3. J. Polzehl & V. Spokoiny & C. Starica, 2004, "When did the 2001 recession really start?," Econometrics, University Library of Munich, Germany, number 0411017, Nov.
  4. Thomas Mikosch & Catalin Starica, 2004, "Changes of structure in financial time series and the GARCH model," Econometrics, University Library of Munich, Germany, number 0412003, Dec.
  5. Thomas Mikosch & Catalin Starica, 2004, "Long range dependence effects and ARCH modelling," Econometrics, University Library of Munich, Germany, number 0412004, Dec.
  6. Thomas Mikosch & Catalin Starica, 2004, "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics, University Library of Munich, Germany, number 0412005, Dec.

2000

  1. 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, Toulouse - GREMAQ, number 00-535.

Journal articles

2012

  1. Stefano Herzel & Marco Nicolosi & Cătălin Stărică, 2012, "The cost of sustainability in optimal portfolio decisions," The European Journal of Finance, Taylor & Francis Journals, volume 18, issue 3-4, pages 333-349, May, DOI: 10.1080/1351847X.2011.587521.

1999

  1. Starica, Catalin, 1999, "Multivariate extremes for models with constant conditional correlations," Journal of Empirical Finance, Elsevier, volume 6, issue 5, pages 515-553, December.

1997

  1. 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, volume 69, issue 2, pages 139-159, September.

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