Genaro Sucarrat : Citation Profile


Are you Genaro Sucarrat?

BI Handelshøyskolen (50% share)
BI Handelshøyskolen (50% share)

6

H index

3

i10 index

116

Citations

RESEARCH PRODUCTION:

12

Articles

29

Papers

RESEARCH ACTIVITY:

   15 years (2005 - 2020). See details.
   Cites by year: 7
   Journals where Genaro Sucarrat has often published
   Relations with other researchers
   Recent citing documents: 9.    Total self citations: 24 (17.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psu377
   Updated: 2021-01-16    RAS profile: 2020-08-13    
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Relations with other researchers


Works with:

Escribano, Alvaro (5)

Francq, Christian (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Genaro Sucarrat.

Is cited by:

Harvey, Andrew (10)

Escribano, Alvaro (6)

Avdulaj, Krenar (5)

Caivano, Michele (5)

Baruník, Jozef (5)

Zakoian, Jean-Michel (4)

Blazsek, Szabolcs (4)

Hafner, Christian (4)

Damette, Olivier (4)

Wintenberger, Olivier (4)

Francq, Christian (4)

Cites to:

Bollerslev, Tim (32)

Engle, Robert (28)

Hendry, David (25)

Francq, Christian (20)

Escribano, Alvaro (18)

Bauwens, Luc (17)

Andersen, Torben (15)

Jagannathan, Ravi (14)

Wintenberger, Olivier (13)

Krolzig, Hans-Martin (13)

Hansen, Peter (12)

Main data


Where Genaro Sucarrat has published?


Journals with more than one article published# docs
The European Journal of Finance2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany12
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía5
Discussion Papers (ECON - Département des Sciences Economiques) / Université catholique de Louvain, Département des Sciences Economiques3

Recent works citing Genaro Sucarrat (2021 and 2020)


YearTitle of citing document
2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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2020Generalized 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

2020European gasoline markets: price transmission asymmetries in mean and variance. (2020). Escribano, Alvaro ; Torrado, Maria. In: UC3M Working papers. Economics. RePEc:cte:werepe:29633.

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2020The 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.

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2020Liquidity 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.

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2020Managing 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

2020Forecasting 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

2021Analytic 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.

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2020Fractionally 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:


YearTitleTypeCited
2012Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications In: Oxford Bulletin of Economics and Statistics.
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article6
2012EGARCH models with fat tails, skewness and leverage In: Cambridge Working Papers in Economics.
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paper56
2014EGARCH models with fat tails, skewness and leverage.(2014) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 56
article
2005Exchange rate volatility and the mixture of distribution hypothesis In: LIDAM Discussion Papers CORE.
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paper19
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 19
paper
2005Exchange Rate Volatility and the Mixture of Distribution Hypothesis.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has another version. Agregated cites: 19
paper
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics.
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This paper has another version. Agregated cites: 19
article
2006General to specific modelling of exchange rate volatility: a forecast evaluation In: LIDAM Discussion Papers CORE.
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paper10
2010General-to-specific modelling of exchange rate volatility: a forecast evaluation.(2010) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 10
paper
2008General 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
2006General 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
2010General-to-specific modelling of exchange rate volatility: A forecast evaluation.(2010) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 10
article
2006The first stage in Hendry’s reduction theory revisited In: LIDAM Discussion Papers CORE.
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paper0
2006The First Stage in Hendry’s Reduction Theory Revisited.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has another version. Agregated cites: 0
paper
2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility In: UC3M Working papers. Economics.
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paper1
2018Equation-by-equation estimation of multivariate periodic electricity price volatility.(2018) In: Energy Economics.
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This paper has another version. Agregated cites: 1
article
2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility.(2016) In: MPRA Paper.
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This paper has another version. Agregated cites: 1
paper
2007Exchange rate variability, market activity and heterogeneity In: UC3M Working papers. Economics.
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paper1
2009Econometric reduction theory and philosophy In: UC3M Working papers. Economics.
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paper1
2010Econometric reduction theory and philosophy.(2010) In: Journal of Economic Methodology.
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This paper has another version. Agregated cites: 1
article
2009Automated financial multi-path GETS modelling In: UC3M Working papers. Economics.
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paper0
2016Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown In: Computational Statistics & Data Analysis.
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article6
2013Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown.(2013) In: MPRA Paper.
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This paper has another version. Agregated cites: 6
paper
2017An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns In: Journal of Multivariate Analysis.
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article4
2015Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns.(2015) In: MPRA Paper.
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This paper has another version. Agregated cites: 4
paper
2011Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations In: Working Papers.
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paper2
2018An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation In: Journal of Financial Econometrics.
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article1
2013An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation.(2013) In: MPRA Paper.
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This paper has another version. Agregated cites: 1
paper
2016General-to-Specific (GETS) Modelling And Indicator Saturation With The R Package Gets In: Economics Series Working Papers.
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paper8
2020garchx: Flexible and Robust GARCH-X Modelling In: MPRA Paper.
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paper0
2018The Log-GARCH Model via ARMA Representations In: MPRA Paper.
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paper0
2020Identification of Volatility Proxies as Expectations of Squared Financial Return In: MPRA Paper.
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paper0
2013Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns In: MPRA Paper.
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paper0
2012Financial Density Selection In: MPRA Paper.
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paper0
2015Financial density selection.(2015) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 0
article
2016Models of Financial Return With Time-Varying Zero Probability In: MPRA Paper.
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paper0
2019User-Specified General-to-Specific and Indicator Saturation Methods In: MPRA Paper.
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paper0
2019Hvor presise er prognosene i Nasjonalbudsjettet? In: MPRA Paper.
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paper0
2018Estimation of log-GARCH models in the presence of zero returns In: The European Journal of Finance.
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article1
2008Forecast Evaluation of Explanatory Models of Financial Return Variability In: Economics Discussion Papers.
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paper0
2009Forecast Evaluation of Explanatory Models of Financial Variability In: Economics - The Open-Access, Open-Assessment E-Journal.
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article0

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