7
H index
5
i10 index
220
Citations
Genaro Sucarrat : Citation Profile
BI Handelshøyskolen (50% share) | RESEARCH PRODUCTION: 17 Articles 30 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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20 years (2005 - 2025). 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:
| Cites to:
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Main data
Where Genaro Sucarrat has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Financial Econometrics | 3 |
| International Journal of Forecasting | 2 |
| Computational Statistics & Data Analysis | 2 |
| The European Journal of Finance | 2 |
Recent works citing Genaro Sucarrat (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Shamsudin, Luqman ; Li, Xiao. In: FEEM Working Papers. RePEc:ags:feemwp:349169. Full description at Econpapers || Download paper |
| 2024 | GARCHX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables. (2024). GUPTA, RANGAN ; Karmakar, Sayar ; Wu, Kejin. In: Papers. RePEc:arx:papers:2308.13346. Full description at Econpapers || Download paper |
| 2025 | Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Li, Xiao ; Shamsudin, Luqman. In: Papers. RePEc:arx:papers:2501.16069. Full description at Econpapers || Download paper |
| 2024 | EVALUATING THE PERFORMANCE OF GARCH FAMILY MODELS IN ESTIMATING INVESTMENT RISK AND VOLATILITY: A COMPARATIVE ANALYSIS OF SENSEX AND NIFTY INDEX IN INDIA. (2024). Roxana-Mihaela, Nioata ; Alamgir, MD ; Tudora, Cirjan Nadia ; Ramona, Birau ; Meher, Bharat Kumar ; Anand, Abhishek ; Kumar, Santosh. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2024:v:3:p:222-238. Full description at Econpapers || Download paper |
| 2024 | Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24. Full description at Econpapers || Download paper |
| 2025 | Energy in turmoil: Industry resilience to uncertainty during the global energy crisis. (2025). Szczygielski, Jan Jakub ; Charteris, Ailie ; Obojska, Lidia ; Brzeszczyski, Janusz. In: Applied Energy. RePEc:eee:appene:v:389:y:2025:i:c:s0306261925000819. Full description at Econpapers || Download paper |
| 2024 | Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494. Full description at Econpapers || Download paper |
| 2024 | Sustainable energy practices and cryptocurrency market behavior. (2024). Saadi, Samir ; ben Omrane, Walid ; Savaser, Tanseli. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006455. Full description at Econpapers || Download paper |
| 2024 | The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks. (2024). Hasanov, Akram ; Khajimuratov, Nizomjon Shukurullaevich ; Qizi, Madina Mansur ; Usmonov, Bunyod ; Burkhanov, Aktam Usmanovich. In: Energy. RePEc:eee:energy:v:293:y:2024:i:c:s0360544224003062. Full description at Econpapers || Download paper |
| 2025 | What does energy price uncertainty reveal about the global energy crisis?. (2025). Brzeszczyski, Janusz ; Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pb:s1057521924007701. Full description at Econpapers || Download paper |
| 2024 | A False Discovery Rate approach to optimal volatility forecasting model selection. (2024). Baker, Paul L ; Platanakis, Emmanouil ; Hassanniakalager, Arman. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:881-902. Full description at Econpapers || Download paper |
| 2024 | Network log-ARCH models for forecasting stock market volatility. (2024). Mattera, Raffaele ; Otto, Philipp. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1539-1555. Full description at Econpapers || Download paper |
| 2024 | GDP nowcasting: A machine learning and remote sensing data-based approach for Bolivia. (2024). Bolivar Rosales, Osmar. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:5:y:2024:i:3:s2666143824000085. Full description at Econpapers || Download paper |
| 2024 | Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index. (2024). Brzeszczyski, Janusz ; Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924002411. Full description at Econpapers || Download paper |
| 2024 | Exploring the Spillover effects of tail risk fluctuations in the RMB exchange rate—The time-frequency and quantile connectivity perspective. (2024). Huang, Zhigang ; Zhang, Weilan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pb:s0275531924003271. Full description at Econpapers || Download paper |
| 2024 | The logGARCH stochastic volatility model. (2024). Hamrat, Malika ; Guerbyenne, Hafida ; Hamdi, Fayal. In: Statistics & Probability Letters. RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001548. Full description at Econpapers || Download paper |
| 2024 | Capturing the timing of crisis evolution: A machine learning and directional wavelet coherence approach to isolating event-specific uncertainty using Google searches with an application to COVID-19. (2024). Obojska, Lidia ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub ; Charteris, Ailie. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:205:y:2024:i:c:s004016252400115x. Full description at Econpapers || Download paper |
| 2025 | Forecasting the Volatility of Energy Transition Metals. (2025). Bastianin, Andrea ; Li, Xiao ; Shamsudin, Luqman. In: Working Papers. RePEc:fem:femwpa:2025.04. Full description at Econpapers || Download paper |
| 2024 | Investigation of Swedish krona exchange rate volatility by APARCH-Support Vector Regression. (2024). Li, Yushu ; Kim Karlsson, Hyunjoo. In: Working Papers in Economics and Statistics. RePEc:hhs:vxesta:2024_010. Full description at Econpapers || Download paper |
| 2024 | Carbon Taxation and Electricity Price Dynamics: Empirical Evidence from the Australian Market. (2024). Comincioli, Nicola ; Guerini, Mattia ; Vergalli, Sergio. In: Environmental & Resource Economics. RePEc:kap:enreec:v:87:y:2024:i:12:d:10.1007_s10640-024-00908-4. Full description at Econpapers || Download paper |
| 2024 | GARCHX-NoVaS: A Model-Free Approach to Incorporate Exogenous Variables. (2024). GUPTA, RANGAN ; Karmakar, Sayar ; Wu, Kejin. In: Working Papers. RePEc:pre:wpaper:202425. Full description at Econpapers || Download paper |
| 2025 | Climate Risks and Predictability of Financial Risks in the US Banking Sector. (2025). GUPTA, RANGAN ; Bouri, Elie ; Polat, Onur ; Caraiani, Petre. In: Working Papers. RePEc:pre:wpaper:202507. Full description at Econpapers || Download paper |
| 2025 | Unveiling True Connectedness in US State-Level Stock Markets: The Role of Common Factors. (2025). GUPTA, RANGAN ; Caporin, Massimiliano ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:202509. Full description at Econpapers || Download paper |
| 2024 | Are Intraday Returns Autocorrelated?. (2024). Li, Yufei ; Giraitis, Liudas ; Sucarrat, Genaro. In: Working Papers. RePEc:qmw:qmwecw:987. Full description at Econpapers || Download paper |
| 2024 | Multiway clustering with time-varying parameters. (2024). Scepi, Germana ; Mattera, Raffaele ; Cerqueti, Roy. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:1:d:10.1007_s00180-022-01294-5. Full description at Econpapers || Download paper |
| 2024 | Reverse engineering the last-minute on-line pricing practices: an application to hotels. (2024). Guizzardi, Andrea ; Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:3:d:10.1007_s10260-024-00751-3. Full description at Econpapers || Download paper |
| 2024 | Dynamic kernel models. (2024). Vallarino, Pierluigi. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240082. Full description at Econpapers || Download paper |
Works by Genaro Sucarrat:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 | 15 |
| 2012 | EGARCH models with fat tails, skewness and leverage In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 99 |
| 2014 | EGARCH models with fat tails, skewness and leverage.(2014) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 99 | article | |
| 2005 | Exchange rate volatility and the mixture of distribution hypothesis In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 24 |
| 2006 | Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 24 | 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 nother version. Agregated cites: 24 | paper | |
| 2006 | Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
| 2008 | Exchange rate volatility and the mixture of distribution hypothesis.(2008) In: Studies in Empirical Economics. [Citation analysis] This paper has nother version. Agregated cites: 24 | chapter | |
| 2006 | General to specific modelling of exchange rate volatility: a forecast evaluation In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 15 |
| 2010 | General-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 | |
| 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 nother version. Agregated cites: 15 | 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 nother version. Agregated cites: 15 | 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 nother version. Agregated cites: 15 | 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 nother 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 | 6 |
| 2018 | Equation-by-equation estimation of multivariate periodic electricity price volatility.(2018) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2016 | Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | 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 nother 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 | 16 |
| 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 nother version. Agregated cites: 16 | paper | |
| 2021 | Identification of volatility proxies as expectations of squared financial returns In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
| 2020 | Identification of Volatility Proxies as Expectations of Squared Financial Return.(2020) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | 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 | 9 |
| 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 nother version. Agregated cites: 9 | 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: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 4 |
| 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 nother version. Agregated cites: 4 | paper | |
| 2022 | Risk Estimation with a Time-Varying Probability of Zero Returns* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2025 | Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 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 | 5 |
| 2018 | The Log-GARCH Model via ARMA Representations In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 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 nother 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 |
| 2024 | Are Intraday Returns Autocorrelated? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Increasing or Diversifying Risk? Tail Correlations, Transmission Flows and Prices across Wind Power Areas In: The Energy Journal. [Full Text][Citation analysis] | article | 1 |
| 2012 | Modelling the skewed exponential power distribution in finance In: Springer Books. [Citation analysis] | chapter | 0 |
| 2018 | Estimation of log-GARCH models in the presence of zero returns In: The European Journal of Finance. [Full Text][Citation analysis] | article | 7 |
| 2022 | Volatility Estimation When the Zero-Process is Nonstationary In: Journal of Business & Economic Statistics. [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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