6
H index
4
i10 index
165
Citations
BI Handelshøyskolen (50% share) | 6 H index 4 i10 index 165 Citations RESEARCH PRODUCTION: 12 Articles 29 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: |
Journals with more than one article published | # docs |
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Computational Statistics & Data Analysis | 2 |
The European Journal of Finance | 2 |
Year | Title of citing document |
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2021 | Forecasting high-frequency financial time series: an adaptive learning approach with the order book data. (2021). Yang, Parley Ruogu. In: Papers. RePEc:arx:papers:2103.00264. Full description at Econpapers || Download paper |
2021 | The Role of Binance in Bitcoin Volatility Transmission. (2021). Kaeck, Andreas ; Heck, Daniel ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.00298. Full description at Econpapers || Download paper |
2022 | A Multivariate Spatial and Spatiotemporal ARCH Model. (2022). Otto, Philipp. In: Papers. RePEc:arx:papers:2204.12472. Full description at Econpapers || Download paper |
2022 | Efficiency of the Moscow Stock Exchange before 2022. (2022). Marmi, Stefano ; Mazzarisi, Piero ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2207.10476. Full description at Econpapers || Download paper |
2021 | Modelling the Monetary Impact of Oil Price Volatility in Nigeria: Evidence from GARCH Models. (2021). Eze, Millicent Adanne ; Yusuf, Abubakar ; Duru, Innocent U ; Chile, Nzeh Innocent. In: Energy Economics Letters. RePEc:asi:eneclt:2021:p:70-94. Full description at Econpapers || Download paper |
2021 | Reassessing the inflation uncertainty?inflation relationship in the tails. (2021). Panagiotidis, Theodore ; Konstantinou, Panagiotis ; Bampinas, Georgios. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:4:p:508-534. Full description at Econpapers || Download paper |
2021 | Fast & furious: Do psychological and legal factors affect commodity price volatility?. (2021). Algieri, Bernardina. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:4:p:980-1017. Full description at Econpapers || Download paper |
2021 | Energy trading efficiency in the US Midcontinent electricity markets. (2021). Zarnikau, J ; Woo, C K ; Tsai, C H ; Qi, H S ; Cao, K H. In: Applied Energy. RePEc:eee:appene:v:302:y:2021:i:c:s0306261921008886. Full description at Econpapers || Download paper |
2021 | An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439. Full description at Econpapers || Download paper |
2021 | Risk spillover and network connectedness analysis of China’s green bond and financial markets: Evidence from financial events of 2015–2020. (2021). Li, Yangyang ; Gao, Yang ; Wang, Yaojun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000231. Full description at Econpapers || Download paper |
2022 | Risk spillover analysis across worldwide ESG stock markets: New evidence from the frequency-domain. (2022). Wang, Yaojun ; Zhao, Chengjie ; Li, Yangyang ; Gao, Yang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002151. Full description at Econpapers || Download paper |
2022 | Maximum likelihood estimation for score-driven models. (2022). Lucas, Andre ; Koopman, Siem Jan ; van Brummelen, Janneke ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:325-346. Full description at Econpapers || Download paper |
2021 | Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28. Full description at Econpapers || Download paper |
2022 | AdaVol: An Adaptive Recursive Volatility Prediction Method. (2022). Wintenberger, Olivier ; Werge, Nicklas. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:19-35. Full description at Econpapers || Download paper |
2022 | Forecasting crude oil volatility with exogenous predictors: As good as it GETS?. (2022). Bonnier, Jean-Baptiste. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002249. Full description at Econpapers || Download paper |
2021 | The role of the carbon market in relation to the cryptocurrency market: Only diversification or more?. (2021). Yang, Lu ; Hamori, Shigeyuki. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001940. Full description at Econpapers || Download paper |
2022 | Predicting VaR for Chinas stock market: A score-driven model based on normal inverse Gaussian distribution. (2022). Song, Shijia ; Li, Handong. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001429. Full description at Econpapers || Download paper |
2022 | Modelling stock returns volatility with dynamic conditional score models and random shifts. (2022). Alanya-Beltran, Willy. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002026. 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 |
2021 | Identification of volatility proxies as expectations of squared financial returns. (2021). Sucarrat, Genaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1677-1690. Full description at Econpapers || Download paper |
2022 | Forecasting cryptocurrency volatility. (2022). Grassi, Stefano ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:3:p:878-894. Full description at Econpapers || Download paper |
2022 | AdaVol: An Adaptive Recursive Volatility Prediction Method. (2022). Wintenberger, Olivier ; Werge, Nicklas. In: Post-Print. RePEc:hal:journl:hal-02733439. Full description at Econpapers || Download paper |
2021 | Comparative Analysis of the Volatility Structure of Cryptocurrencies. (2021). Ercan, Aya Buyukyilmaz ; Kazova, Fatih. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2021:i:35:p:33-57. Full description at Econpapers || Download paper |
2021 | Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. (2021). Uhde, Andre ; Feng, Yuanhua ; Letmathe, Sebastian. In: Working Papers CIE. RePEc:pdn:ciepap:141. Full description at Econpapers || Download paper |
2022 | Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach. (2022). Herrera, Rodrigo ; Gaete, Michael. In: MPRA Paper. RePEc:pra:mprapa:115641. Full description at Econpapers || Download paper |
2022 | Analysis of Nonlinear Comovement of Benchmark Thai Government Bond Yields. (2022). Khanthaporn, Rewat. In: PIER Discussion Papers. RePEc:pui:dpaper:183. Full description at Econpapers || Download paper |
2022 | Portmanteau test for the asymmetric power GARCH model when the power is unknown. (2022). Saussereau, Bruno ; Kadmiri, Othman ; Mainassara, Yacouba Boubacar. In: Statistical Papers. RePEc:spr:stpapr:v:63:y:2022:i:3:d:10.1007_s00362-021-01257-w. Full description at Econpapers || Download paper |
2021 | Intraday conditional value at risk: A periodic mixed?frequency generalized autoregressive score approach. (2021). Gribisch, Bastian ; Eckernkemper, Tobias. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:883-910. Full description at Econpapers || Download paper |
2022 | Forecasting volatilities of oil and gas assets: A comparison of GAS, GARCH, and EGARCH models. (2022). Lien, Donald ; Xu, Yingying. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:259-278. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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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 | 8 |
2012 | EGARCH models with fat tails, skewness and leverage In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 81 |
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: 81 | article | |
2005 | Exchange rate volatility and the mixture of distribution hypothesis In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 20 |
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: 20 | 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: 20 | 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: 20 | article | |
2006 | General to specific modelling of exchange rate volatility: a forecast evaluation In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 12 |
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: 12 | 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: 12 | 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: 12 | 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: 12 | 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 | 5 |
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: 5 | 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: 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 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 | 11 |
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: 11 | 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 | 5 |
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: 5 | 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 | 2 |
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: 2 | 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 | 3 |
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 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 | 4 |
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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