Genaro Sucarrat : Citation Profile


Are you Genaro Sucarrat?

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

5

H index

3

i10 index

104

Citations

RESEARCH PRODUCTION:

9

Articles

24

Papers

RESEARCH ACTIVITY:

   12 years (2005 - 2017). See details.
   Cites by year: 8
   Journals where Genaro Sucarrat has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 20 (16.13 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psu377
   Updated: 2019-10-15    RAS profile: 2017-02-08    
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Relations with other researchers


Works with:

Escribano, Alvaro (5)

Francq, Christian (3)

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

Is cited by:

Escribano, Alvaro (8)

Harvey, Andrew (8)

Francq, Christian (6)

Caivano, Michele (5)

Avdulaj, Krenar (5)

Baruník, Jozef (5)

Damette, Olivier (4)

Zakoian, Jean-Michel (4)

Blazsek, Szabolcs (4)

Lange, Rutger-Jan (3)

Ardia, David (3)

Cites to:

Bollerslev, Tim (26)

Engle, Robert (23)

Hendry, David (22)

Escribano, Alvaro (21)

Francq, Christian (17)

Bauwens, Luc (14)

Andersen, Torben (13)

Krolzig, Hans-Martin (13)

Wintenberger, Olivier (12)

Jagannathan, Ravi (12)

Koopman, Siem Jan (12)

Main data


Where Genaro Sucarrat has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany7
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 (2018 and 2017)


YearTitle of citing document
2017The beneficial aspect of FX volatility for market liquidity. (2017). SHIM, ILHYOCK ; Koosakul, Jakree . In: BIS Working Papers. RePEc:bis:biswps:629.

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2017Volatility Modeling with a Generalized t Distribution. (2017). Rao, Tata Subba ; Lange, Rutger-Jan ; Harvey, Andrew ; Wilson, Granville Tunnicliffe. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:2:p:175-190.

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2018Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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2017Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach. (2017). Dahiru, Bala A ; Nwonyuku, Kalu N ; Jim, Pam W. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00029.

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2017Improved two-component tests in Beta-Skew-t-EGARCH models. (2017). Mller, Fernanda Maria ; Bayer, Fbio M. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00319.

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2018Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets. (2018). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:168-186.

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2017Google search keywords that best predict energy price volatility. (2017). Afkhami, Mohamad ; Ghoddusi, Hamed ; Cormack, Lindsey. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:17-27.

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2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

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2018Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. (2018). Hasanov, Akram Shavkatovich ; Heng, Zin Yau ; Al-Freedi, Ajab ; Poon, Wai Ching. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:307-333.

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2018Equation-by-equation estimation of multivariate periodic electricity price volatility. (2018). Escribano, Alvaro ; Sucarrat, Genaro. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:287-298.

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2018Analysis of the international propagation of contagion between oil and stock markets. (2018). Zhang, Guofu ; Liu, Wei. In: Energy. RePEc:eee:energy:v:165:y:2018:i:pa:p:469-486.

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2018What explains the success of reward-based crowdfunding campaigns as they unfold? Evidence from the French crowdfunding platform KissKissBankBank. (2018). Petitjean, Mikael. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:9-14.

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2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747.

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2019When are prediction market prices most informative?. (2019). Reade, J ; VaughanWilliams, Leighton ; Brown, Alasdair. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:420-428.

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2018Can pecuniary and environmental incentives via SMS messaging make households adjust their intra-day electricity demand to a fluctuating production?. (2018). Jensen, Carsten ; Hansen, Lars ; Andersen, Laura Morch ; Moller, Niels Framroze. In: IFRO Working Paper. RePEc:foi:wpaper:2018_06.

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2017Evaluating Forecasts, Narratives and Policy Using a Test of Invariance. (2017). Martinez, Andrew ; Hendry, David ; Castle, Jennifer. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:39-:d:110547.

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2018The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates. (2018). Fink, Holger ; Port, Henry ; Fuest, Andreas. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:84-:d:164655.

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2018Do Markets Trump Politics? Evidence from Fossil Market Reactions to the Paris Agreement and the U.S. Election. (2018). Mukanjari, Samson ; Sterner, Thomas. In: Working Papers in Economics. RePEc:hhs:gunwpe:0728.

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2017The Role of the Skewed Distributions in the Framework of Extreme Value Theory (EVT). (2017). Muela, Sonia Benito ; Navarro, Angeles M ; Lopez-Martin, Carmen. In: International Business Research. RePEc:ibn:ibrjnl:v:10:y:2017:i:11:p:88-102.

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2018An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation. (2018). Francq, Christian ; Sucarrat, Genaro. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:129-154..

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2017A contribution to the Quantity Theory of Disaggregated Credit. (2017). Clavero, Borja . In: MPRA Paper. RePEc:pra:mprapa:76657.

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2017Application of Garch Models to Estimate and Predict Financial Volatility of Daily Stock Returns in Nigeria. (2017). Ekong, Christopher N ; Onye, Kenneth U. In: MPRA Paper. RePEc:pra:mprapa:88309.

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2017OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration. (2017). Yoon, Seong-Min ; Lau, Chi Keung ; GUPTA, RANGAN ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201754.

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2018Mixture periodic GARCH models: theory and applications. (2018). Hamdi, Fayal ; Souam, Said . In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1348-9.

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2018Goodness-of-fit tests for Log-GARCH and EGARCH models. (2018). Zakoian, Jean-Michel ; Francq, Christian ; Wintenberger, Olivier. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-016-0506-2.

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2017Markov regime-switching Beta--EGARCH. (2017). Blazsek, Szabolcs ; Ho, Han-Chiang. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:47:p:4793-4805.

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2017Dynamic conditional score models of degrees of freedom: filtering with score-driven heavy tails. (2017). Blazsek, Szabolcs ; Monteros, Luis Antonio. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:53:p:5426-5440.

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2018Trading Volume, Illiquidity and Commonalities in FX Markets. (2018). Ranaldo, Angelo ; de Magistris, Paolo Santucci. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:23.

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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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article7
2012EGARCH models with fat tails, skewness and leverage In: Cambridge Working Papers in Economics.
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paper47
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: 47
article
2005Exchange rate volatility and the mixture of distribution hypothesis In: CORE Discussion Papers.
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paper18
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 18
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: 18
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: 18
article
2006General to specific modelling of exchange rate volatility: a forecast evaluation In: CORE Discussion Papers.
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paper10
2010General-to-specific modelling of exchange rate volatility: a forecast evaluation.(2010) In: CORE Discussion Papers RP.
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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.
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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: CORE Discussion Papers.
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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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paper0
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: 0
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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article5
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: 5
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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article3
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
2016General-to-Specific (GETS) Modelling And Indicator Saturation With The R Package Gets In: Economics Series Working Papers.
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paper8
2013Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns In: MPRA Paper.
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paper0
2013An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation 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
2015Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns In: MPRA Paper.
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paper2
2016Models of Financial Return With Time-Varying Zero Probability In: MPRA Paper.
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paper0
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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