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Last updated 19 December 2025. Shortcuts: CATE - BI Data Science - BI Finance - BI ECON - UC3M ECON - CREST - CORE
Genaro Sucarrat
Professor of Econometrics
BI Norwegian Business School
Department of Economics
Address/contact: Nydalsveien 37, 0484 Oslo, Norway, office B3i-011, mobile +47+46 41 07 79, email genaro.sucarrat [the usual symbol] bi.no
Research interests: Econometric theory, modelling and forecasting; computational econometrics with R; empirical finance, macroeconomics and climate; economics and philosophy
Research/related: In progress - Published and forthcoming - Books and book-chapters - Unpublished - Other
Research and citation profiles: ORCID ID  - Repec - IDEAS - Google
Work in progress:
Published and forthcoming research (peer-reviewed):
Detecting stellar flares in the presence of a deterministic trend and stochastic volatility (2025). Accepted for publication in Monthly Notices of the Royal Astronomical Society. Joint with Qiuan Wang, Giovanni Motta and Vinay L. Kashyap
Robust Estimation and Inference for Time-Varying Unconditional Volatility (2025). Accepted for publication in Journal of Time Series Analysis (DOI). Joint with Adam Lee and Rickard Sandberg
Testing the zero-process of intraday financial returns for non-stationary periodicity (2025) [reproduction files]. Accepted for publication in Journal of Financial Econometrics (DOI). Joint with Ovidijus Stauskas
Modelling Nonstationary Financial Volatility with the R Package tvgarch (2024) [reproduction files]. Journal of Statistical Software 108, Issue 9, pp. 1-38 (DOI). Joint with Susana Campos-Martins
Volatility Estimation when the Zero-Process is Nonstationary (2023) [reproduction files]. Journal of Business and Economic Statistics 41 issue 1, pp. 53-66 (DOI). Joint with Christian Francq
Risk Estimation with a Time Varying Probability of Zero Returns (2022) [reproduction files]. Journal of Financial Econometrics 20 number 2, pp. 278-309 (DOI). Working Paper version: PDF. Joint with Steffen Grønneberg
Aggregating or diversifying risk? Tail correlations, transmission flows and prices across wind power areas (2022). The Energy Journal 43 number 3 (DOI). Joint with Johannes Mauritzen
Identification of Volatility Proxies as Expectations of Squared Financial Return (2021). International Journal of Forecasting (DOI) 37, pp. 1677-1690. Working Paper version: PDF
garchx: Flexible and Robust GARCH-X Modelling (2021) [reproduction file]. The R Journal 13 issue 1, pp. 276-291 (DOI)
User-Specified General-to-Specific and Indicator Saturation Methods (2020). The R Journal 12 issue 2, pp. 388-401 (DOI)
Hvor presise er prognosene i Nasjonalbudsjettet? (2020) [reproduction files: data, code]. Samfunnsøkonomen 134 nr. 3 (PDF). Joint with Sofian Gharsallah
The Log-GARCH Model via ARMA Representations (2019). In J. Chevallier, S. Goutte, D. Guerreiro, S. Saglio and B. Sanhaji (Eds.): Financial Mathematics, Volatility and Covariance Modelling Volume 2, Routledge. Working paper version: PDF
Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility (2018)[reproduction files]. Energy Economics 74, pp. 287-298 (DOI). Working paper version: PDF. Joint with Álvaro Escribano
Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks (2018) [reproduction files: data and code]. Journal of Statistical Software 86, Issue 3, pp. 1-44 (DOI). Joint with Felix Pretis and James Reade
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation (2018) [reproduction files]. Journal of Financial Econometrics 16, pp. 129-154 (DOI). Working paper version: PDF. Joint with Christian Francq
Estimation of Log-GARCH Models in the Presence of Zero Returns (2018) [reproduction files]. European Journal of Finance 24, pp. 809-827 (DOI). Working paper version: PDF. Joint with Álvaro Escribano
Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns (2017). Journal of Multivariate Analysis 153, pp. 16-32 (DOI). Working paper version: PDF. Joint with Christian Francq
Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown (2016). Computational Statistics and Data Analysis 100, pp. 582-594 (DOI). Working paper version: PDF. Joint with Steffen Grønneberg and Álvaro Escribano
Financial Density Selection (2015). European Journal of Finance 21, pp. 1195-1213 (DOI). Working paper version: PDF. Joint with Miguel Marín
EGARCH models with fat tails, skewness and leverage (2014). Computational Statistics and Data Analysis 76, pp. 320-338 (DOI). Working paper version: PDF. Joint with Andrew Harvey
betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models (2013) [data]. The R Journal (Volume 5/2), pp. 137-147 (DOI)
Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications (2012) [data]. Oxford Bulletin of Economics and Statistics 74, Issue no. 5 (October), pp. 716-735 (DOI). Working paper version: PDF. Joint with Álvaro Escribano
Modelling the Skewed Exponential Power Distribution in Finance (2012). In Cira Perna and Marilena Sibillo (Eds.): Mathematical and Statistical Methods for Actuarial Sciences and Finance (Springer). Working Paper version: PDF. Joint with Miguel Marín
General to Specific Modelling of Exchange Rate Volatility: A Forecast Evaluation (2010) [data]. The International Journal of Forecasting, Volume 26, Issue 4 (October-December), pages 885-907 (DOI). Working paper version: PDF. Joint with Luc Bauwens
Econometric Reduction Theory and Philosophy (2010). The Journal of Economic Methodology, Volume 17, No. 1 (March), pp. 53-75 (DOI). Working paper version: PDF. A short version intended for a broader audience was published 2009 in Medium Econometrische Toepassingen (MET) volume 17 issue 2 (PDF)
Forecast Evaluation of Explanatory Models of Financial Variability (2009) [data]. Economics - The Open-Access, Open-Assessment E-Journal, Vol. 3, 2009-8 (DOI). Part of the special issue Using Econometrics for Assessing Economic Models (edited by Katarina Juselius). Working paper version: PDF
Exchange Rate Volatility and the Mixture of Distribution Hypothesis (2006) [data]. Empirical Economics volume 30 issue 4 pages 889-911 (DOI). Working paper version: PDF. Joint with Luc Bauwens and Dagfinn Rime
Books and book-chapters:
Unpublished work:
Other:
Bokanmeldelse: 'Econometrics in a Formal Science of Economics' av Bernt P. Stigum (2016). Samfunnsøkonomene 130, nr. 1, ss. 42-44 (PDF)
Econometric Reduction Theory and Philosophy (2009). Medium Econometrische Toepassingen (MET) volume 17 issue 2 (PDF). A short version of the journal article with the same title
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