Genaro Sucarrat : Citation Profile


Are you Genaro Sucarrat?

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

7

H index

4

i10 index

195

Citations

RESEARCH PRODUCTION:

12

Articles

29

Papers

RESEARCH ACTIVITY:

   15 years (2005 - 2020). See details.
   Cites by year: 13
   Journals where Genaro Sucarrat has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 24 (10.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psu377
   Updated: 2024-11-04    RAS profile: 2020-08-13    
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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:

Harvey, Andrew (10)

Escribano, Alvaro (7)

Blazsek, Szabolcs (6)

Mattera, Raffaele (6)

Damette, Olivier (6)

Wintenberger, Olivier (6)

Caivano, Michele (5)

Avdulaj, Krenar (5)

Baruník, Jozef (5)

GUPTA, RANGAN (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)

Jagannathan, Ravi (14)

Krolzig, Hans-Martin (14)

Wintenberger, Olivier (13)

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 (2024 and 2023)


YearTitle of citing document
2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

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2024GARHCX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables. (2023). Karmakar, Sayar ; Wu, Kejin. In: Papers. RePEc:arx:papers:2308.13346.

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2023Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

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2023Quantifying Long-Term Volatility for Developed Stock Markets: An Empirical Case Study Using PGARCH Model on Toronto Stock Exchange (TSX). (2023). Manohar, Singh ; Abhishek, Anand ; Simion, Mircea Laurentiu ; Birau, Ramona ; Bharat, Meher Kumar ; Santosh, Kumar. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2023:i:2:p:61-68.

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2023A dynamic conditional score model for the log correlation matrix. (2023). Wang, Linqi ; Hafner, Christian M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002153.

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2024The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks. (2024). Qizi, Madina Mansur ; Khajimuratov, Nizomjon Shukurullaevich ; Usmonov, Bunyod ; Burkhanov, Aktam Usmanovich ; Hasanov, Akram Shavkatovich. In: Energy. RePEc:eee:energy:v:293:y:2024:i:c:s0360544224003062.

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2023Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198.

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2023Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach. (2023). Herrera, Rodrigo ; Gaete, Michael. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000533.

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2023Bayesian predictive distributions of oil returns using mixed data sampling volatility models. (2023). Virbickaite, Audrone ; Nguyen, Hoang ; Tran, Minh-Ngoc. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723008784.

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2023Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363.

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2023Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models. (2023). Tran, Minh-Ngoc ; Nguyen, Hoang ; Virbickaite, Audrone. In: Working Papers. RePEc:hhs:oruesi:2023_007.

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2023The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126.

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2023FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156.

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2023Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange. (2023). Kadioglu, Eyup ; Frommel, Michael. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00500-7.

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2023Information-Theoretic Time-Varying Density Modeling. (2023). van Os, Bram. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230037.

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2023A new model for forecasting VaR and ES using intraday returns aggregation. (2023). Li, Handong ; Song, Shijia. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1039-1054.

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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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article9
2012EGARCH models with fat tails, skewness and leverage In: Cambridge Working Papers in Economics.
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paper94
2014EGARCH models with fat tails, skewness and leverage.(2014) In: Computational Statistics & Data Analysis.
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This paper has nother version. Agregated cites: 94
article
2005Exchange rate volatility and the mixture of distribution hypothesis In: LIDAM Discussion Papers CORE.
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paper23
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 23
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 nother version. Agregated cites: 23
paper
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics.
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This paper has nother version. Agregated cites: 23
article
2006General to specific modelling of exchange rate volatility: a forecast evaluation In: LIDAM Discussion Papers CORE.
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paper15
2010General-to-specific modelling of exchange rate volatility: a forecast evaluation.(2010) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 15
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 nother version. Agregated cites: 15
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 nother version. Agregated cites: 15
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 nother version. Agregated cites: 15
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 nother 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 nother version. Agregated cites: 5
article
2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility.(2016) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother 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 nother 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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article14
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 nother version. Agregated cites: 14
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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article7
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 nother version. Agregated cites: 7
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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article3
2013An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation.(2013) In: MPRA Paper.
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This paper has nother version. Agregated cites: 3
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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paper5
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 nother 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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article6
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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