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Catalin Starica

Personal Details

First Name:Catalin
Middle Name:
Last Name:Starica
RePEc Short-ID:pst55
Insitut de Statistique, Faculté des Sciences Économiques, Université de Neuchâtel,Pierre à Mazel 7, 2000, Neuchâtel, Suisse


Faculté des sciences économiques (FSE)
Université de Neuchâtel

Neuchâtel, Switzerland
RePEc:edi:fsenech (more details at EDIRC)

Research output

Jump to: Working papers Articles

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


  1. Stefano Herzel & Marco Nicolosi & Cătălin Stărică, 2012. "The cost of sustainability in optimal portfolio decisions," The European Journal of Finance, Taylor & Francis Journals, vol. 18(3-4), pages 333-349, May.
  2. Starica, Catalin, 1999. "Multivariate extremes for models with constant conditional correlations," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 515-553, December.
  3. 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.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (4) 2004-12-12 2004-12-12 2004-12-12 2005-08-13
  2. NEP-FIN: Finance (4) 2004-12-12 2004-12-12 2004-12-12 2004-12-12
  3. NEP-ETS: Econometric Time Series (2) 2004-12-12 2005-08-13
  4. NEP-CBA: Central Banking (1) 2006-05-13
  5. NEP-CFN: Corporate Finance (1) 2005-08-13
  6. NEP-FMK: Financial Markets (1) 2004-12-12
  7. NEP-FOR: Forecasting (1) 2005-08-13
  8. NEP-HPE: History and Philosophy of Economics (1) 2004-12-12


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