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 (3)

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 in Energy Economics (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 in Journal of Multivariate Analysis (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 in The Journal of Financial Econometrics (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 in Computational Statistics & Data Analysis (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 in Computational Statistics & Data Analysis (2014)
14. Financial Density Selection
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article in The European Journal of Finance (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 (8)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) View citations (6)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (1)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (6)
    See also Journal Article in International Journal of Forecasting (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 in Journal of Economic Methodology (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 (16)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) View citations (2)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) View citations (3)
    See also Journal Article in Empirical Economics (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
   The Journal of Financial Econometrics, 2018, 16, (1), 129-154 View citations (4)
   See also Working Paper (2013)
2. Equation-by-equation estimation of multivariate periodic electricity price volatility
   Energy Economics, 2018, 74, (C), 287-298 View citations (6)
   See also Working Paper (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 (6)

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 (8)
   See also Working Paper (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 (17)
   See also Working Paper (2013)

2015

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

2014

7. EGARCH models with fat tails, skewness and leverage
   Computational Statistics & Data Analysis, 2014, 76, (C), 320-338 View citations (71)
   See also Working Paper (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 (12)

2010

9. Econometric reduction theory and philosophy
   Journal of Economic Methodology, 2010, 17, (1), 53-75 View citations (3)
   See also Working Paper (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 (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 (25)
    See also Working Paper (2006)