Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects von Mikosch, Thomas, Stărică, Cătălin

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Tail Index Estimation for Dependent Data von Resnick, Sidney, Stărică, Catalin

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Nonstationarities in Stock Returns von Stărică, Cătălin, Granger, Clive

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Identifying the Relationship between Earnings and Prices von Starica, Catalin, Marton, Jan P.

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Multivariate extremes for models with constant conditional correlations von Starica, Catalin

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Limit Theory for the Sample Autocorrelations and Extremes of a GARCH (1, 1) Process von Mikosch, Thomas, Starica, Catalin

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Smoothing the Hill Estimator von Resnick, Sidney, Stărică, Cătălin

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Smoothing the Hill Estimator von Resnick, Sidney, Stărică, Cătălin

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Nonstationarities in stock returns von Starica, Catalin, Granger, Clive

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Code for: Identifying the Relationship Between Earnings and Prices von Starica, Catalin, Marton, Jan

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Code for: Identifying the Relationship Between Earnings and Prices von Starica, Catalin, Marton, Jan

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Consistency of Hill's estimator for dependent data von Resnick, Sidney, Stărică, Cătălin

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Changes of structure in financial time series and the Garch model von Thomas Mikosch, Cătălin Stărică

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Second-order regular variation, convolution and the central limit theorem von Geluk, J., de Haan, L., Resnick, S., Stărică, C.

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Consistency of Hill's estimator for dependent data von Resnick, Sidney, Stărică, Cătălin

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Asymptotic behavior of hill's estimator for autoregressive data von Resnick, Sidney, Stărică, Cătălin

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A non-stationary paradigm for the dynamics of multivariate financial returns von Herzel, Stefano, Stărică, Cătălin, Tütüncüc, Reha

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Testing for independence in heavy tailed and positive innovation time series von Feigin, Paul D., Resnick, Sidney I., Stărică, Cătălin

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Gaussian and Non-Gaussian Linear Time Series and Random Fields von Starica, Catalin

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ARCH Models and Financial Applications von Starica, Catalin

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