Ciprian Necula
Names
| first: |
Ciprian |
| last: |
Necula |
Identifer
Contact
Affiliations
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Academia de Studii Economice din Bucureşti
/ Center for Advanced Research in Finance and Banking (CARFIB) (weight: 50%)
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Academia de Studii Economice din Bucureşti
/ Facultatea de Finante, Asigurari, Banci şi Burse de Valori (weight: 50%)
Research profile
author of:
- A Framework for Derivative Pricing in the Fractional Black-Scholes Market (RePEc:cab:wpaefr:19)
by Ciprian Necula - Option Pricing in a Fractional Brownian Motion Environment (RePEc:cab:wpaefr:2)
by Cipian Necula - Pricing European and Barrier Options in the Fractional Black-Scholes Market (RePEc:cab:wpaefr:20)
by Ciprian Necula - A Two-Country Discontinuous General Equilibrium Model (RePEc:cab:wpaefr:23)
by Ciprian Necula - Asset Pricing in a Two-Country Discontinuous General Equilibrium Model (RePEc:cab:wpaefr:24)
by Ciprian Necula - A Robust Assessment of the Romanian Business Cycle (RePEc:cab:wpaefr:28)
by Moisa Altar & Ciprian Necula & Gabriel Bobeica - Barrier Options and a Reflection Principle of the Fractional Brownian Motion (RePEc:cab:wpaefr:6)
by Cipian Necula - Modelling and Detecting Long Memory in Stock Returns (RePEc:cab:wpaefr:9)
by Ciprian Necula - A General Closed Form Option Pricing Formula (RePEc:chf:rpseri:rp1553)
by Ciprian Necula & Gabriel G. Drimus & Walter Farkas - A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing (RePEc:chf:rpseri:rp1554)
by Ciprian Necula & Elise Gourier & Robert Huitema & Walter Farkas - Herding and Stochastic Volatility (RePEc:chf:rpseri:rp1559)
by Walter Farkas & Ciprian Necula & Boris Waelchli - The Dynamics of Heterogeneity and Asset Prices (RePEc:chf:rpseri:rp1776)
by Walter Farkas & Ciprian Necula - Quantifying the recapitalization fund premium using option pricing techniques (RePEc:eee:ecolet:v:114:y:2012:i:3:p:249-251)
by Necula, Ciprian & Radu, Alina-Nicoleta - A two-factor cointegrated commodity price model with an application to spread option pricing (RePEc:eee:jbfina:v:77:y:2017:i:c:p:249-268)
by Farkas, Walter & Gourier, Elise & Huitema, Robert & Necula, Ciprian - Modeling Tail Dependence Using Stochastic Volatility Model (RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10271-5)
by See-Woo Kim & Yong-Ki Ma & Ciprian Necula - A general closed form option pricing formula (RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9144-z)
by Ciprian Necula & Gabriel Drimus & Walter Farkas - Detecting Regime Switches In The Eur/Ron Exchange Rate Volatility (RePEc:ora:journl:v:3:y:2009:i:1:p:610-615)
by Necula Ciprian & Radu Alina-Nicoleta - Estimating The Cyclically Adjusted Budget Balance For The Romanian Economy. A Robust Approach (RePEc:rjr:romjef:v::y:2010:i:2:p:79-99)
by Altar, Moisa & Necula, Ciprian & Bobeica, Gabriel - Estimating Potential GDP for the Romanian Economy. An Eclectic Approach (RePEc:rjr:romjef:v::y:2010:i:3:p:5-25)
by Moisa, Altar & Necula, Ciprian & Bobeica, Gabriel - Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach (RePEc:rjr:romjef:v::y:2010:i:3:p:93-106)
by Necula, Ciprian - Modeling The Economic Growth In Romania. The Role Of Human Capital (RePEc:rjr:romjef:v:5:y:2008:i:3:p:115-128)
by Altar, Moisa & Necula, Ciprian & Bobeica, Gabriel - Modeling The Economic Growth In Romania. The Influence Of Fiscal Regimes (RePEc:rjr:romjef:v:5:y:2008:i:4:p:146-160)
by Altar, Moisa & Necula, Ciprian & Bobeica, Gabriel - Modeling Heavy-Tailed Stock Index Returns Using the Generalized Hyperbolic Distribution (RePEc:rjr:romjef:v:6:y:2009:i:2:p:118-131)
by Necula, Ciprian - Evidente privind Intensitatea Fenomenului Balassa-Samuelson pentru Economia Romaneasca (RePEc:ror:seince:090705)
by Altar, Moisa & Albu, Lucian Liviu & Dumitru, Ionut & Necula, Ciprian - Estimarea Cursului Real de Echilibru si a Deviatiilor pentru Romania (RePEc:ror:seince:090706)
by Altar, Moisa & Albu, Lucian Liviu & Dumitru, Ionut & Necula, Ciprian - Estimation of Equilibrium Real Exchange Rate and of Deviations for Romania (RePEc:ror:wpince:090105)
by Altar, Moisa & Albu, Lucian Liviu & Dumitru, Ionut & Necula, Ciprian - Evidences of the Intensity of the Balassa-Samuelson Phenomenon in the Romanian Economy (RePEc:ror:wpince:090106)
by Altar, Moisa & Albu, Lucian Liviu & Dumitru, Ionut & Necula, Ciprian - A Copula-Garch Modelcopula-Garch Model (RePEc:taf:reroxx:v:23:y:2010:i:2:p:1-10)
by Ciprian Necula - Long Memory in Eastern European Financial Markets Returns (RePEc:taf:reroxx:v:25:y:2012:i:2:p:316-377)
by Ciprian Necula & Alina-Nicoleta Radu - Quantifying the probability of a recession in selected Central and Eastern European countries (RePEc:taf:reroxx:v:36:y:2023:i:1:p:209-229)
by Ciprian Necula & Bogdan Murarașu & Alina Radu & Cristina Anghelescu & Alina Zaharia