Details about Genaro Sucarrat

Access statistics for papers by Genaro Sucarrat.

Last updated 2020-08-13. Update your information in the RePEc Author Service.

Short-id: psu377

Working Papers

2020

1. Identification of Volatility Proxies as Expectations of Squared Financial Return
   MPRA Paper, University Library of Munich, Germany View citations (1)
2. garchx: Flexible and Robust GARCH-X Modelling
   MPRA Paper, University Library of Munich, Germany View citations (5)

2019

3. Hvor presise er prognosene i Nasjonalbudsjettet?
   (How precise are the forecasts of the Norwegian national budget?)
   MPRA Paper, University Library of Munich, Germany
4. User-Specified General-to-Specific and Indicator Saturation Methods
   MPRA Paper, University Library of Munich, Germany

2018

5. The Log-GARCH Model via ARMA Representations
   MPRA Paper, University Library of Munich, Germany

2016

6. Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
   Also in MPRA Paper, University Library of Munich, Germany (2016)
   See also Journal Article Equation-by-equation estimation of multivariate periodic electricity price volatility, Energy Economics, Elsevier (2018) View citations (7) (2018)
7. General-to-Specific (GETS) Modelling And Indicator Saturation With The R Package Gets
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (7)
8. Models of Financial Return With Time-Varying Zero Probability
   MPRA Paper, University Library of Munich, Germany View citations (4)

2015

9. Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns
   MPRA Paper, University Library of Munich, Germany View citations (6)
   See also Journal Article An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns, Journal of Multivariate Analysis, Elsevier (2017) View citations (10) (2017)

2013

10. An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation, Journal of Financial Econometrics, Oxford University Press (2018) View citations (5) (2018)
11. Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown
    MPRA Paper, University Library of Munich, Germany View citations (10)
    See also Journal Article Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown, Computational Statistics & Data Analysis, Elsevier (2016) View citations (20) (2016)
12. Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns
    MPRA Paper, University Library of Munich, Germany View citations (6)

2012

13. EGARCH models with fat tails, skewness and leverage
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (26)
    See also Journal Article EGARCH models with fat tails, skewness and leverage, Computational Statistics & Data Analysis, Elsevier (2014) View citations (87) (2014)
14. Financial Density Selection
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Financial density selection, The European Journal of Finance, Taylor & Francis Journals (2015) (2015)

2011

15. Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations
    Working Papers, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales View citations (2)

2010

16. General-to-specific modelling of exchange rate volatility: a forecast evaluation
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (6)
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) View citations (8)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (1)
    See also Journal Article General-to-specific modelling of exchange rate volatility: A forecast evaluation, International Journal of Forecasting, Elsevier (2010) View citations (11) (2010)

2009

17. Automated financial multi-path GETS modelling
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
18. Econometric reduction theory and philosophy
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)
    See also Journal Article Econometric reduction theory and philosophy, Journal of Economic Methodology, Taylor & Francis Journals (2010) View citations (3) (2010)

2008

19. Forecast Evaluation of Explanatory Models of Financial Return Variability
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (2)

2007

20. Exchange rate variability, market activity and heterogeneity
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)

2006

21. Exchange rate volatility and the mixture of distribution hypothesis
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (18)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) View citations (3)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) View citations (2)
    See also Journal Article Exchange rate volatility and the mixture of distribution hypothesis, Empirical Economics, Springer (2006) View citations (27) (2006)
22. The First Stage in Hendry’s Reduction Theory Revisited
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006)

Journal Articles

2018

1. An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
   Journal of Financial Econometrics, 2018, 16, (1), 129-154 View citations (5)
   See also Working Paper An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation, MPRA Paper (2013) View citations (3) (2013)
2. Equation-by-equation estimation of multivariate periodic electricity price volatility
   Energy Economics, 2018, 74, (C), 287-298 View citations (7)
   See also Working Paper Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility, UC3M Working papers. Economics (2016) (2016)
3. Estimation of log-GARCH models in the presence of zero returns
   The European Journal of Finance, 2018, 24, (10), 809-827 View citations (8)

2017

4. An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
   Journal of Multivariate Analysis, 2017, 153, (C), 16-32 View citations (10)
   See also Working Paper Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns, MPRA Paper (2015) View citations (6) (2015)

2016

5. Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
   Computational Statistics & Data Analysis, 2016, 100, (C), 582-594 View citations (20)
   See also Working Paper Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown, MPRA Paper (2013) View citations (10) (2013)

2015

6. Financial density selection
   The European Journal of Finance, 2015, 21, (13-14), 1195-1213
   See also Working Paper Financial Density Selection, MPRA Paper (2012) (2012)

2014

7. EGARCH models with fat tails, skewness and leverage
   Computational Statistics & Data Analysis, 2014, 76, (C), 320-338 View citations (87)
   See also Working Paper EGARCH models with fat tails, skewness and leverage, Cambridge Working Papers in Economics (2012) View citations (26) (2012)

2012

8. Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications
   Oxford Bulletin of Economics and Statistics, 2012, 74, (5), 716-735 View citations (15)

2010

9. Econometric reduction theory and philosophy
   Journal of Economic Methodology, 2010, 17, (1), 53-75 View citations (3)
   See also Working Paper Econometric reduction theory and philosophy, UC3M Working papers. Economics (2009) View citations (2) (2009)
10. General-to-specific modelling of exchange rate volatility: A forecast evaluation
    International Journal of Forecasting, 2010, 26, (4), 885-907 View citations (11)
    See also Working Paper General-to-specific modelling of exchange rate volatility: a forecast evaluation, LIDAM Reprints CORE (2010) View citations (9) (2010)

2009

11. Forecast Evaluation of Explanatory Models of Financial Variability
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2009, 3, 1-33 View citations (6)

2006

12. Exchange rate volatility and the mixture of distribution hypothesis
    Empirical Economics, 2006, 30, (4), 889-911 View citations (27)
    See also Working Paper Exchange rate volatility and the mixture of distribution hypothesis, LIDAM Reprints CORE (2006) View citations (18) (2006)