7
H index
4
i10 index
186
Citations
Genaro Sucarrat : Citation Profile
BI Handelshøyskolen (50% share) | RESEARCH PRODUCTION: 12 Articles 29 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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15 years (2005 - 2020). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Genaro Sucarrat. | Is cited by:
| Cites to:
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Main data
Where Genaro Sucarrat has published?
| Journals with more than one article published | # docs |
|---|---|
| Computational Statistics & Data Analysis | 2 |
| The European Journal of Finance | 2 |
Recent works citing Genaro Sucarrat (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper |
| 2023 | GARHCX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables. (2023). Karmakar, Sayar ; Wu, Kejin. In: Papers. RePEc:arx:papers:2308.13346. Full description at Econpapers || Download paper |
| 2023 | Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1. Full description at Econpapers || Download paper |
| 2023 | Quantifying Long-Term Volatility for Developed Stock Markets: An Empirical Case Study Using PGARCH Model on Toronto Stock Exchange (TSX). (2023). Manohar, Singh ; Abhishek, Anand ; Simion, Mircea Laurentiu ; Birau, Ramona ; Bharat, Meher Kumar ; Santosh, Kumar. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2023:i:2:p:61-68. Full description at Econpapers || Download paper |
| 2023 | Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198. Full description at Econpapers || Download paper |
| 2023 | Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363. Full description at Econpapers || Download paper |
| 2023 | Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models. (2023). Tran, Minh-Ngoc ; Nguyen, Hoang ; Virbickaite, Audrone. In: Working Papers. RePEc:hhs:oruesi:2023_007. Full description at Econpapers || Download paper |
| 2023 | The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126. Full description at Econpapers || Download paper |
| 2023 | FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156. Full description at Econpapers || Download paper |
| 2023 | Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange. (2023). Kadioglu, Eyup ; Frommel, Michael. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00500-7. Full description at Econpapers || Download paper |
| 2023 | Information-Theoretic Time-Varying Density Modeling. (2023). van Os, Bram. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230037. Full description at Econpapers || Download paper |
| 2023 | A new model for forecasting VaR and ES using intraday returns aggregation. (2023). Li, Handong ; Song, Shijia. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1039-1054. Full description at Econpapers || Download paper |
Works by Genaro Sucarrat:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2012 | Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 9 |
| 2012 | EGARCH models with fat tails, skewness and leverage In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 87 |
| 2014 | EGARCH models with fat tails, skewness and leverage.(2014) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 87 | article | |
| 2005 | Exchange rate volatility and the mixture of distribution hypothesis In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 23 |
| 2006 | Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2005 | Exchange Rate Volatility and the Mixture of Distribution Hypothesis.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2006 | Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
| 2006 | General to specific modelling of exchange rate volatility: a forecast evaluation In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 14 |
| 2010 | General-to-specific modelling of exchange rate volatility: a forecast evaluation.(2010) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2008 | General to specific modelling of exchange rate volatility : a forecast evaluation.(2008) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2006 | General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2010 | General-to-specific modelling of exchange rate volatility: A forecast evaluation.(2010) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
| 2006 | The first stage in Hendry’s reduction theory revisited In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 2006 | The First Stage in Hendry’s Reduction Theory Revisited.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 5 |
| 2018 | Equation-by-equation estimation of multivariate periodic electricity price volatility.(2018) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2016 | Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2007 | Exchange rate variability, market activity and heterogeneity In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 2 |
| 2009 | Econometric reduction theory and philosophy In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Econometric reduction theory and philosophy.(2010) In: Journal of Economic Methodology. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2009 | Automated financial multi-path GETS modelling In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 14 |
| 2013 | Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2017 | An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 7 |
| 2015 | Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns.(2015) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2011 | Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2013 | An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2016 | General-to-Specific (GETS) Modelling And Indicator Saturation With The R Package Gets In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2020 | garchx: Flexible and Robust GARCH-X Modelling In: MPRA Paper. [Full Text][Citation analysis] | paper | 4 |
| 2018 | The Log-GARCH Model via ARMA Representations In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Identification of Volatility Proxies as Expectations of Squared Financial Return In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Financial Density Selection In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Financial density selection.(2015) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2016 | Models of Financial Return With Time-Varying Zero Probability In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2019 | User-Specified General-to-Specific and Indicator Saturation Methods In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Hvor presise er prognosene i Nasjonalbudsjettet? In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Estimation of log-GARCH models in the presence of zero returns In: The European Journal of Finance. [Full Text][Citation analysis] | article | 6 |
| 2008 | Forecast Evaluation of Explanatory Models of Financial Return Variability In: Economics Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Forecast Evaluation of Explanatory Models of Financial Variability In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020). [Full Text][Citation analysis] | article | 1 |
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