6
H index
3
i10 index
116
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 |
|---|---|
| The European Journal of Finance | 2 |
| Computational Statistics & Data Analysis | 2 |
Recent works citing Genaro Sucarrat (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674. Full description at Econpapers || Download paper |
| 2020 | Generalized Autoregressive Score asymmetric Laplace Distribution and Extreme Downward Risk Prediction. (2020). Hong, Shao-Peng. In: Papers. RePEc:arx:papers:2008.01277. Full description at Econpapers || Download paper |
| 2020 | European gasoline markets: price transmission asymmetries in mean and variance. (2020). Escribano, Alvaro ; Torrado, Maria. In: UC3M Working papers. Economics. RePEc:cte:werepe:29633. Full description at Econpapers || Download paper |
| 2020 | The Impact of COVID-19 on Price Volatility of Crude Oil and Natural Gas Listed on Multi Commodity Exchange of India. (2020). Sarea, Adel M ; Mohapatra, Latasha ; Hawaldar, Iqbal Thonse ; Meher, Bharat Kumar. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-05-49. Full description at Econpapers || Download paper |
| 2020 | Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229. Full description at Econpapers || Download paper |
| 2020 | Managing volumetric risk of long-term power purchase agreements. (2020). Hansen, Rasmus Thrane ; Tranberg, BO ; Catania, Leopoldo. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303627. Full description at Econpapers || Download paper |
| 2020 | Forecasting volatility with time-varying leverage and volatility of volatility effects. (2020). Proietti, Tommaso ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1301-1317. Full description at Econpapers || Download paper |
| 2021 | Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124. Full description at Econpapers || Download paper |
| 2020 | Fractionally integrated Log-GARCH with application to value at risk and expected shortfall. (2020). Letmathe, Sebastian ; Beran, Jan ; Feng, Yuanhua ; Ghosh, Sucharita. In: Working Papers CIE. RePEc:pdn:ciepap:137. 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 | 6 |
| 2012 | EGARCH models with fat tails, skewness and leverage In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 56 |
| 2014 | EGARCH models with fat tails, skewness and leverage.(2014) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 56 | article | |
| 2005 | Exchange rate volatility and the mixture of distribution hypothesis In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 19 |
| 2006 | Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | 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 another version. Agregated cites: 19 | paper | |
| 2006 | Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
| 2006 | General to specific modelling of exchange rate volatility: a forecast evaluation In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 10 |
| 2010 | General-to-specific modelling of exchange rate volatility: a forecast evaluation.(2010) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | 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 another version. Agregated cites: 10 | 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 another version. Agregated cites: 10 | 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 another version. Agregated cites: 10 | 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 another 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 | 1 |
| 2018 | Equation-by-equation estimation of multivariate periodic electricity price volatility.(2018) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2016 | Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2007 | Exchange rate variability, market activity and heterogeneity In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 1 |
| 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 another 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 | 6 |
| 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 another version. Agregated cites: 6 | 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 | 4 |
| 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 another version. Agregated cites: 4 | 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: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
| 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 another version. Agregated cites: 1 | 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 | 8 |
| 2020 | garchx: Flexible and Robust GARCH-X Modelling In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 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 | 0 |
| 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 another 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 | 1 |
| 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. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team