| Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects T Mikosch, C Stărică Review of Economics and Statistics 86 (1), 378-390, 2004 | 691 | 2004 |
| Limit theory for the sample autocorrelations and extremes of a GARCH (1, 1) process T Mikosch The Annals of Statistics 28 (5), 1427-1451, 2000 | 502 | 2000 |
| Nonstationarities in stock returns C Stărică, C Granger Review of economics and statistics 87 (3), 503-522, 2005 | 396 | 2005 |
| Smoothing the Hill estimator S Resnick, C Stărică Advances in Applied Probability 29 (1), 271-293, 1997 | 252 | 1997 |
| Tail index estimation for dependent data S Resnick, C Stărică The Annals of Applied Probability 8 (4), 1156-1183, 1998 | 225 | 1998 |
| Consistency of Hill's estimator for dependent data S Resnick, C Stărică Journal of Applied probability 32 (1), 139-167, 1995 | 199 | 1995 |
| Multivariate extremes for models with constant conditional correlations C Stărică Journal of Empirical Finance 6 (5), 515-553, 1999 | 182 | 1999 |
| Change of structure in financial time series, long range dependence and the GARCH model T Mikosch, C Stărică Chalmers Tekniska Högskola/Göteborgs Universitet. Department of Mathematics, 1998 | 144 | 1998 |
| Changes of structure in financial time series and the GARCH model T Mikosch, C Stărică REVSTAT-Statistical Journal 2 (1), 41-73, 2004 | 133 | 2004 |
| Long-range dependence effects and ARCH modeling T Mikosch, C Starica Theory and applications of long-range dependence, 439-459, 2002 | 129 | 2002 |
| Asymptotic behavior of Hill's estimator for autoregressive data S Resnick, C Stărică Communications in statistics. Stochastic models 13 (4), 703-721, 1997 | 116 | 1997 |
| Second-order regular variation, convolution and the central limit theorem J Geluk, L De Haan, S Resnick, C Stărică Stochastic Processes and their Applications 69 (2), 139-159, 1997 | 84 | 1997 |
| Is it really long memory we see in financial returns T Mikosch, C Starica Extremes and integrated risk management 12, 149-168, 2000 | 67 | 2000 |
| Is GARCH (1, 1) as good a model as the Nobel prize accolades would imply C Starica Preprint, 2003 | 55 | 2003 |
| Empirical testing of the infinite source Poisson data traffic model CA Guérin, H Nyberg, O Perrin, S Resnick, H Rootzén, C Stărică Stochastic Models 19 (2), 151-200, 2003 | 51 | 2003 |
| Is GARCH (1, 1) as good a model as the accolades of the Nobel prize would imply? C Starica Available at SSRN 637322, 2003 | 40 | 2003 |
| Smoothing the moment estimator of the extreme value parameter S Resnick, C Staăricaă Extremes 1, 263-293, 1999 | 40 | 1999 |
| A simple non-stationary model for stock returns H Drees, C Starica | 36 | 2002 |
| The cost of sustainability in optimal portfolio decisions S Herzel, M Nicolosi, C Stărică The European Journal of Finance 18 (3-4), 333-349, 2012 | 34 | 2012 |
| Why does the GARCH (1, 1) model fail to provide sensible longer-horizon volatility forecasts C Starica, S Herzel, T Nord Manuscript, Chalmers University of Technology, 1-44, 2005 | 22 | 2005 |
Sidney ResnickCornell University School of ORIEVerified email at cornell.edu
