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Genaro Sucarrat

Personal Details

First Name:Genaro
Middle Name:
Last Name:Sucarrat
Suffix:
RePEc Short-ID:psu377
[This author has chosen not to make the email address public]
http://www.sucarrat.net/
Terminal Degree:2006 Center for Operations Research and Econometrics (CORE); Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM); Université Catholique de Louvain (from RePEc Genealogy)

Affiliation

(50%) BI Handelshøyskolen

Oslo, Norway
http://www.bi.no/
RePEc:edi:hhsbino (more details at EDIRC)

(50%) Institutt for Samfunnsøkonomi
BI Handelshøyskolen

Oslo, Norway
http://www.bi.no/forskning/institutter/samfunnsokonomi/
RePEc:edi:dbebino (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Sucarrat, Genaro, 2020. "garchx: Flexible and Robust GARCH-X Modelling," MPRA Paper 100301, University Library of Munich, Germany.
  2. Sucarrat, Genaro, 2020. "Identification of Volatility Proxies as Expectations of Squared Financial Return," MPRA Paper 101953, University Library of Munich, Germany.
  3. Gharsallah, Sofian & Sucarrat, Genaro, 2019. "Hvor presise er prognosene i Nasjonalbudsjettet? [How precise are the forecasts of the Norwegian national budget?]," MPRA Paper 96850, University Library of Munich, Germany.
  4. Sucarrat, Genaro, 2019. "User-Specified General-to-Specific and Indicator Saturation Methods," MPRA Paper 96148, University Library of Munich, Germany.
  5. Sucarrat, Genaro, 2018. "The Log-GARCH Model via ARMA Representations," MPRA Paper 100386, University Library of Munich, Germany.
  6. Sucarrat, Genaro & Grønneberg, Steffen, 2016. "Models of Financial Return With Time-Varying Zero Probability," MPRA Paper 68931, University Library of Munich, Germany.
  7. James Reade & Genaro Sucarrat, 2016. "General-to-Specific (GETS) Modelling And Indicator Saturation With The R Package Gets," Economics Series Working Papers 794, University of Oxford, Department of Economics.
  8. Escribano, Álvaro & Sucarrat, Genaro, 2016. "Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility," UC3M Working papers. Economics 23436, Universidad Carlos III de Madrid. Departamento de Economía.
  9. Francq, Christian & Sucarrat, Genaro, 2015. "Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns," MPRA Paper 67140, University Library of Munich, Germany.
  10. Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2013. "Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown," MPRA Paper 49344, University Library of Munich, Germany.
  11. Sucarrat, Genaro & Escribano, Alvaro, 2013. "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns," MPRA Paper 50699, University Library of Munich, Germany.
  12. Francq, Christian & Sucarrat, Genaro, 2013. "An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation," MPRA Paper 51783, University Library of Munich, Germany.
  13. Harvey, A. & Sucarrat, G., 2012. "EGARCH models with fat tails, skewness and leverage," Cambridge Working Papers in Economics 1236, Faculty of Economics, University of Cambridge.
  14. Marin, J. Miguel & Sucarrat, Genaro, 2012. "Financial Density Selection," MPRA Paper 66839, University Library of Munich, Germany, revised 13 Jun 2012.
  15. Alvaro Escribano & Genaro Sucarrat, 2011. "Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations," Working Papers 2011-09, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
  16. Sucarrat, Genaro & Escribano, Álvaro, 2009. "Automated financial multi-path GETS modelling," UC3M Working papers. Economics we093620, Universidad Carlos III de Madrid. Departamento de Economía.
  17. Sucarrat, Genaro, 2009. "Econometric reduction theory and philosophy," UC3M Working papers. Economics we091005, Universidad Carlos III de Madrid. Departamento de Economía.
  18. Sucarrat, Genaro, 2008. "Forecast Evaluation of Explanatory Models of Financial Return Variability," Economics Discussion Papers 2008-18, Kiel Institute for the World Economy (IfW Kiel).
  19. Bauwens, Luc & Sucarrat, Genaro, 2008. "General to specific modelling of exchange rate volatility : a forecast evaluation," UC3M Working papers. Economics we081810, Universidad Carlos III de Madrid. Departamento de Economía.
  20. Rime, Dagfinn & Sucarrat, Genaro, 2007. "Exchange rate variability, market activity and heterogeneity," UC3M Working papers. Economics we077039, Universidad Carlos III de Madrid. Departamento de Economía.
  21. Genaro, SUCARRAT, 2006. "The First Stage in Hendry’s Reduction Theory Revisited," Discussion Papers (ECON - Département des Sciences Economiques) 2006041, Université catholique de Louvain, Département des Sciences Economiques.
  22. BAUWENS, Luc & RIME, Dagfinn & SUCARRAT, Genaro, 2005. "Exchange rate volatility and the mixture of distribution hypothesis," LIDAM Discussion Papers CORE 2005058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

Articles

  1. Christian Francq & Genaro Sucarrat, 2018. "An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 129-154.
  2. Genaro Sucarrat & Alvaro Escribano, 2018. "Estimation of log-GARCH models in the presence of zero returns," The European Journal of Finance, Taylor & Francis Journals, vol. 24(10), pages 809-827, July.
  3. Escribano, Alvaro & Sucarrat, Genaro, 2018. "Equation-by-equation estimation of multivariate periodic electricity price volatility," Energy Economics, Elsevier, vol. 74(C), pages 287-298.
  4. Francq, Christian & Sucarrat, Genaro, 2017. "An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 16-32.
  5. Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2016. "Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 582-594.
  6. J. Miguel Marin & Genaro Sucarrat, 2015. "Financial density selection," The European Journal of Finance, Taylor & Francis Journals, vol. 21(13-14), pages 1195-1213, November.
  7. Harvey, Andrew & Sucarrat, Genaro, 2014. "EGARCH models with fat tails, skewness and leverage," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 320-338.
  8. Genaro Sucarrat & Alvaro Escribano, 2012. "Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(5), pages 716-735, October.
  9. Genaro Sucarrat, 2010. "Econometric reduction theory and philosophy," Journal of Economic Methodology, Taylor & Francis Journals, vol. 17(1), pages 53-75.
  10. Bauwens, Luc & Sucarrat, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
  11. Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-33.
  12. Luc Bauwens & Dagfinn Rime & Genaro Sucarrat, 2006. "Exchange rate volatility and the mixture of distribution hypothesis," Empirical Economics, Springer, vol. 30(4), pages 889-911, January.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 20 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (14) 2006-06-10 2007-01-13 2008-05-31 2009-03-07 2011-07-13 2012-09-03 2013-08-31 2013-10-25 2013-12-06 2015-10-17 2016-02-29 2016-08-07 2020-06-08 2020-08-17. Author is listed
  2. NEP-ETS: Econometric Time Series (11) 2006-06-10 2008-05-31 2011-07-13 2012-09-03 2013-08-31 2013-10-25 2013-12-06 2015-10-17 2020-06-08 2020-06-08 2020-08-17. Author is listed
  3. NEP-FOR: Forecasting (4) 2006-06-10 2008-05-17 2008-05-31 2020-08-17
  4. NEP-IFN: International Finance (4) 2005-12-14 2006-06-10 2007-10-27 2008-05-31
  5. NEP-ORE: Operations Research (3) 2019-10-07 2020-06-08 2020-08-17
  6. NEP-CBA: Central Banking (2) 2008-05-31 2009-03-07
  7. NEP-CSE: Economics of Strategic Management (2) 2016-08-07 2016-08-07
  8. NEP-ENE: Energy Economics (2) 2016-08-07 2016-08-07
  9. NEP-HPE: History and Philosophy of Economics (2) 2007-01-13 2009-03-07
  10. NEP-RMG: Risk Management (2) 2016-02-29 2020-06-08
  11. NEP-BAN: Banking (1) 2007-10-27
  12. NEP-CMP: Computational Economics (1) 2011-07-13
  13. NEP-FMK: Financial Markets (1) 2006-06-10

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