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Details about Genaro Sucarrat

Homepage:http://www.sucarrat.net/
Workplace:BI Handelshøyskolen (BI Norwegian Business School), (more information at EDIRC)
Institutt for Samfunnsøkonomi (Department of Economics), BI Handelshøyskolen (BI Norwegian Business School), (more information at EDIRC)

Access statistics for papers by Genaro Sucarrat.

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

Short-id: psu377


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Working Papers

2020

  1. Identification of Volatility Proxies as Expectations of Squared Financial Return
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. garchx: Flexible and Robust GARCH-X Modelling
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)

2019

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

2018

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

2016

  1. Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2016) Downloads

    See also Journal Article Equation-by-equation estimation of multivariate periodic electricity price volatility, Energy Economics, Elsevier (2018) Downloads View citations (6) (2018)
  2. General-to-Specific (GETS) Modelling And Indicator Saturation With The R Package Gets
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (7)
  3. Models of Financial Return With Time-Varying Zero Probability
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)

2015

  1. Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns
    MPRA Paper, University Library of Munich, Germany Downloads 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) Downloads View citations (8) (2017)

2013

  1. An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
    MPRA Paper, University Library of Munich, Germany Downloads 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) Downloads View citations (4) (2018)
  2. Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown
    MPRA Paper, University Library of Munich, Germany Downloads 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) Downloads View citations (19) (2016)
  3. Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)

2012

  1. EGARCH models with fat tails, skewness and leverage
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (26)
    See also Journal Article EGARCH models with fat tails, skewness and leverage, Computational Statistics & Data Analysis, Elsevier (2014) Downloads View citations (81) (2014)
  2. Financial Density Selection
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article Financial density selection, The European Journal of Finance, Taylor & Francis Journals (2015) Downloads (2015)

2011

  1. 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 Downloads View citations (2)

2010

  1. 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) Downloads View citations (8)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (6)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads View citations (1)
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) Downloads View citations (8)

    See also Journal Article General-to-specific modelling of exchange rate volatility: A forecast evaluation, International Journal of Forecasting, Elsevier (2010) Downloads View citations (11) (2010)

2009

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

2008

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

2007

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

2006

  1. Exchange rate volatility and the mixture of distribution hypothesis
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (18)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) Downloads View citations (3)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) Downloads View citations (2)

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

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 Downloads View citations (4)
    See also Working Paper An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation, MPRA Paper (2013) Downloads View citations (3) (2013)
  2. Equation-by-equation estimation of multivariate periodic electricity price volatility
    Energy Economics, 2018, 74, (C), 287-298 Downloads View citations (6)
    See also Working Paper Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility, MPRA Paper (2016) Downloads (2016)
  3. Estimation of log-GARCH models in the presence of zero returns
    The European Journal of Finance, 2018, 24, (10), 809-827 Downloads View citations (7)

2017

  1. An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
    Journal of Multivariate Analysis, 2017, 153, (C), 16-32 Downloads View citations (8)
    See also Working Paper Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns, MPRA Paper (2015) Downloads View citations (6) (2015)

2016

  1. 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 Downloads View citations (19)
    See also Working Paper Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown, MPRA Paper (2013) Downloads View citations (10) (2013)

2015

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

2014

  1. EGARCH models with fat tails, skewness and leverage
    Computational Statistics & Data Analysis, 2014, 76, (C), 320-338 Downloads View citations (81)
    See also Working Paper EGARCH models with fat tails, skewness and leverage, Cambridge Working Papers in Economics (2012) Downloads View citations (26) (2012)

2012

  1. 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 Downloads View citations (12)

2010

  1. Econometric reduction theory and philosophy
    Journal of Economic Methodology, 2010, 17, (1), 53-75 Downloads View citations (3)
    See also Working Paper Econometric reduction theory and philosophy, UC3M Working papers. Economics (2009) Downloads View citations (2) (2009)
  2. General-to-specific modelling of exchange rate volatility: A forecast evaluation
    International Journal of Forecasting, 2010, 26, (4), 885-907 Downloads View citations (11)
    See also Working Paper General-to-specific modelling of exchange rate volatility: a forecast evaluation, LIDAM Reprints CORE (2010) Downloads View citations (8) (2010)

2009

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

2006

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