Catalin Starica
Showing 35 publications
A non-stationary multivariate model for financial returns
A non-stationary paradigm for the dynamics of multivariate financial returns
Nonstationarities in stock returns
Changes of structure in financial time series and the GARCH model
Non-stationarities in financial time series, the long range dependence and the IGARCH effects
Empirical testing of the infinite source Poisson data traffic model
Empirical testing of the infinite source poisson data traffice model
Stock market risk-return inference. An unconditional non-parametric approach
Long range dependence effects and ARCH modeling
A non-stationary multivariate model for financial returns
Is Garch(1,1) as good as model as the accolades of the Noble prize would imply?
A non-stationary multivariate model for financial returns
Changes of structure in financial time series and the Garch model
Non-stationarities in financial time series, the long range dependence and the Igarch effects
On experimental representations of log-spacing of extreme order statistics
Is it really long memory we see in financial returns?
Limit theory for the sample autocorrelations and extremes of a Garch(1,1) process
Smoothing the moment estimator of the extreme value parameter
Multivariate extremes for models with constant conditional correlations
Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process
On the tail empirical process of solutions of stochastic difference equiations
Change of structure in financial time series, long range dependence and the GARCH model
Tail estimation for dependent data
Asymptotic behavior of the Hill's estimator for autoregressive data
Second Order Regular Variation
Testing for independence in heavy tailed and positive innovation time series
Consistency of Hill's estimator for dependent data
Semi-continuity properties of functions and multifunctions
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