Catalin Starica

Showing 35 publications

2006

A non-stationary multivariate model for financial returns

Catalin Starica, S. Herzel, R. Tutuncu
Bertail, P. and P. Doukhan (eds.), Statistics for Dependent Data
Book chapter
2006

A non-stationary paradigm for the dynamics of multivariate financial returns

Stefano Herzel, Catalin Starica, R. Tutuncu
Statistics for dependent data
Book chapter
2005

Nonstationarities in stock returns

Catalin Starica, C Granger
Review of Economics and Statistics. Vol. 87 (3), p. 503-522
Journal article
2004

When did the 2001 recession really end?

Catalin Starica, J Pohlzel, V Spokoiny
Report
2004

Changes of structure in financial time series and the GARCH model

Catalin Starica, T. Mikosch
Revstat Statistical Journal. Vol. 2 (1), p. 41-73
Journal article
2004

Non-stationarities in financial time series, the long range dependence and the IGARCH effects

Catalin Starica, T Mikosch
Review of Economics and Statistics. Vol. 86, p. 378-390
Journal article
2003

Empirical testing of the infinite source poisson data traffice model

Charles-Antoine Guerin, Henrik Nyberg, Olivier Perrin et al
Stochastic models. Vol. 19, p. 156-196
Journal article
2003

Long range dependence effects and ARCH modeling

Catalin Starica, T Mikosch
Theory and Applications of Long Range Dependence
Book chapter
2003

A non-stationary multivariate model for financial returns

Catalin Starica, S Herzel, R Tûtûncu
Report
2003

Empirical testing of the infinite source Poisson data traffic model

Catalin Starica, CA Guerin, H Nyberg et al
Stochastic Models. Vol. 19, p. 151-200
Journal article
2002

Non-stationarities in stock returns

Catalin Starica, Clive Granger
Preprint
2002

A simple non-stationary model for stock returns

Catalin Starica, H Drees
Report
2002

A simple non-stationary model for stock returns

Holger Drees, Catalin Starica
Preprint
2002

Changes of structure in financial time series and the Garch model

Thomas Mikosch, Catalin Starica
Preprint
2002

On experimental representations of log-spacing of extreme order statistics

Catalin Starica, J Beirlant, G Dierckx et al
Extremes. Vol. 5, p. 157-180
Journal article
2002

A non-stationary multivariate model for financial returns

Stefano Herzel, Catalin Starica, Reha Tütüncü
Preprint
2000

Limit theory for the sample autocorrelations and extremes of a Garch(1,1) process

Catalin Starica, T Mikosch
Annals of Statistics. Vol. 28, p. 1427-1451
Journal article
2000

Is it really long memory we see in financial returns?

Catalin Starica, T Mikosch
Extremes and Integrated Management
Book chapter
1999

Smoothing the moment estimator of the extreme value parameter

Catalin Starica, S Resnick
Extremes. Vol. 1, p. 263-293
Journal article
1999

Multivariate extremes for models with constant conditional correlations

Catalin Starica
J. Empirical Finance. Vol. 6, p. 515-553
Journal article
1998

Tail estimation for dependent data

Catalin Starica, S Resnick
Ann. Appl. Probability. Vol. 8, p. 1156-1183
Journal article
1997

Second Order Regular Variation

Catalin Starica, J Geluk, S L de Haan et al
Stochastic Processes and their Applications. Vol. 69, p. 139-159
Journal article
1997

Smoothing the Hill estimator

Catalin Starica, S Resnick
Adv. Appl. Prob.. Vol. 29, p. 271-293
Journal article
1997

Asymptotic behavior of the Hill's estimator for autoregressive data

Catalin Starica, S Resnick
Commun. Statist. - Stochatic Models. Vol. 13, p. 703-721
Journal article
1997

The tales of GARCH processes tell

Catalin Starica, O Pictet
Report
1995

Testing for independence in heavy tailed and positive innovation time series

Catalin Starica, P Feigin, S Resnick
Commun. Statist. - Stochastic Models. Vol. 11, p. 587-612
Journal article
1995

Consistency of Hill's estimator for dependent data

Catalin Starica, S Resnick
J. Appl. Prob.. Vol. 32, p. 139-167
Journal article
1990

Semi-continuity properties of functions and multifunctions

Catalin Starica
Analele Stiintifice University A.I. Cuza, Iasi. Vol. 36, p. 187-191
Journal article

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