Catalin Starica

The relevance of Corporate Social Responsibility scores in explaining firm profitability: a case study of the publishers of the Dow Jones Sustainability Indexes

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

When did the 2001 recession really end?

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

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

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

A simple non-stationary model for stock returns

A non-stationary multivariate model for financial returns

Changes of structure in financial time series and the Garch model

On experimental representations of log-spacing of extreme order statistics

Non-stationarities in stock returns

A simple non-stationary model for stock returns

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

Tail estimation for dependent data

Change of structure in financial time series, long range dependence and the GARCH model

Asymptotic behavior of the Hill's estimator for autoregressive data

The tales of GARCH processes tell

Second Order Regular Variation

Smoothing the Hill estimator

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