Genaro Sucarrat : Citation Profile


Are you Genaro Sucarrat?

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

6

H index

4

i10 index

165

Citations

RESEARCH PRODUCTION:

12

Articles

29

Papers

RESEARCH ACTIVITY:

   15 years (2005 - 2020). See details.
   Cites by year: 11
   Journals where Genaro Sucarrat has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 24 (12.7 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psu377
   Updated: 2023-01-08    RAS profile: 2020-08-13    
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Relations with other researchers


Works with:

Escribano, Alvaro (2)

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)

Blazsek, Szabolcs (5)

Baruník, Jozef (5)

Avdulaj, Krenar (5)

Caivano, Michele (5)

Damette, Olivier (5)

Wintenberger, Olivier (4)

Francq, Christian (4)

DIEBOLT, Claude (4)

Zakoian, Jean-Michel (4)

Cites to:

Bollerslev, Tim (38)

Engle, Robert (31)

Hendry, David (27)

Bauwens, Luc (24)

Escribano, Alvaro (21)

Andersen, Torben (20)

Francq, Christian (20)

Koopman, Siem Jan (14)

Krolzig, Hans-Martin (14)

Jagannathan, Ravi (14)

Wintenberger, Olivier (13)

Main data


Where Genaro Sucarrat has published?


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

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 - Dpartement des Sciences Economiques) / Universit catholique de Louvain, Dpartement des Sciences Economiques3

Recent works citing Genaro Sucarrat (2022 and 2021)


YearTitle of citing document
2021Forecasting 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.

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2021The Role of Binance in Bitcoin Volatility Transmission. (2021). Kaeck, Andreas ; Heck, Daniel ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.00298.

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2022A Multivariate Spatial and Spatiotemporal ARCH Model. (2022). Otto, Philipp. In: Papers. RePEc:arx:papers:2204.12472.

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2022Efficiency of the Moscow Stock Exchange before 2022. (2022). Marmi, Stefano ; Mazzarisi, Piero ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2207.10476.

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2021Modelling 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.

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2021Reassessing 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.

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2021Fast & 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.

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2021Energy 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.

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2021An 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.

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2021Risk 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.

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2022Risk 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.

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2022Maximum 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.

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2021Choosing 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.

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2022AdaVol: 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.

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2022Forecasting 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.

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2021The 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.

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2022Predicting 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.

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2022Modelling 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.

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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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2021Identification 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.

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2022Forecasting cryptocurrency volatility. (2022). Grassi, Stefano ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:3:p:878-894.

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2022AdaVol: An Adaptive Recursive Volatility Prediction Method. (2022). Wintenberger, Olivier ; Werge, Nicklas. In: Post-Print. RePEc:hal:journl:hal-02733439.

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2021Comparative 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.

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2021Semiparametric 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.

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2022Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach. (2022). Herrera, Rodrigo ; Gaete, Michael. In: MPRA Paper. RePEc:pra:mprapa:115641.

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2022Analysis of Nonlinear Comovement of Benchmark Thai Government Bond Yields. (2022). Khanthaporn, Rewat. In: PIER Discussion Papers. RePEc:pui:dpaper:183.

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2022Portmanteau 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.

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2021Intraday 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.

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2022Forecasting 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.

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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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article8
2012EGARCH models with fat tails, skewness and leverage In: Cambridge Working Papers in Economics.
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paper81
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: 81
article
2005Exchange rate volatility and the mixture of distribution hypothesis In: LIDAM Discussion Papers CORE.
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paper20
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: 20
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: 20
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: 20
article
2006General to specific modelling of exchange rate volatility: a forecast evaluation In: LIDAM Discussion Papers CORE.
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paper12
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: 12
paper
2008General to specific modelling of exchange rate volatility : a forecast evaluation.(2008) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 12
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: 12
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: 12
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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paper5
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: 5
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: 5
paper
2007Exchange rate variability, market activity and heterogeneity In: UC3M Working papers. Economics.
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paper2
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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article11
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: 11
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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article5
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: 5
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: The Journal of Financial Econometrics.
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article2
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: 2
paper
2016General-to-Specific (GETS) Modelling And Indicator Saturation With The R Package Gets In: Economics Series Working Papers.
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paper7
2020garchx: Flexible and Robust GARCH-X Modelling In: MPRA Paper.
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paper3
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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paper1
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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article4
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 (2007-2020).
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article1

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