| Research | R packages | MATIA | Workshops | Teaching | Prognoseprisen | Links | CV |
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Genaro Sucarrat Associate Professor BI Norwegian Business School Department of Economics Nydalsveien 37 0484 Oslo, Norway Office B4-062 Phone +47+46 41 07 79 Email genaro.sucarrat [the usual symbol] bi.no |
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Research interests: Econometric modelling and forecasting; computational econometrics; empirical finance and macroeconomics; economics and philosophy
Research: In progress - Published and forthcoming - Books and book-chapters - Unpublished - Other
Research and citation profiles: Repec - IDEAS - Google
Work in progress:
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Modelling Nonstationary Financial Volatility with the R Package tvgarch. Joint with Susana Campos-Martins |
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Volatility Estimation when the Zero-Process is Nonstationary [replication files]. Joint with Christian Francq |
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Aggregating or diversifying risk? Tail correlations, transmission flows and prices across wind power areas. Forthcoming in The Energy Journal (DOI). Joint with Johannes Mauritzen |
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Identification of Volatility Proxies as Expectations of Squared Financial Return. Forthcoming in International Journal of Forecasting (DOI). Working Paper version: PDF |
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Risk Estimation with a Time Varying Probability of Zero Returns [replication files]. Forthcoming in Journal of Financial Econometrics (DOI). Working Paper version: PDF. Joint with Steffen Grønneberg |
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garchx: Flexible and Robust GARCH-X Modelling (2021) [replication file]. The R Journal 13 issue 1, pp. 276-291 (PDF) |
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User-Specified General-to-Specific and Indicator Saturation Methods (2020). The R Journal 12 issue 2, pp. 388-401 (PDF) |
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Hvor presise er prognosene i Nasjonalbudsjettet? (2020) [replication files: data, code]. Samfunnsøkonomen 134 nr. 3 (PDF). Joint with Sofian Gharsallah |
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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 |
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Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility (2018)[replication files]. Energy Economics 74, pp. 287-298 (DOI). Working paper version: PDF. Joint with Álvaro Escribano |
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Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks (2018) [replication files: data and code]. Journal of Statistical Software 86, Issue 3, pp. 1-44 (DOI). Joint with Felix Pretis and James Reade |
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An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation (2018) [replication files]. Journal of Financial Econometrics 16, pp. 129-154 (DOI). Working paper version: PDF. Joint with Christian Francq |
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Estimation of Log-GARCH Models in the Presence of Zero Returns (2018) [replication files]. European Journal of Finance 24, pp. 809-827 (DOI). Working paper version: PDF. Joint with Álvaro Escribano |
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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 |
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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 |
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Financial Density Selection (2015). European Journal of Finance 21, pp. 1195-1213 (DOI). Working paper version: PDF. Joint with Miguel Marín |
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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 |
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betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models (2013) [data]. The R Journal (Volume 5/2), pp. 137-147 (PDF) |
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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 |
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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. |
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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 |
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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) |
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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 |
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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 |
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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 |
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Metode og økonometri - en moderne innføring (Fagbokforlaget): 2. utgave (2017), 1. utgave (2016), midlertidig utgave (2015) |
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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. |
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Exchange Rate Volatility and the Mixture of Distribution Hypothesis (2008). In L. Bauwens, W. Pohlmeier and D. Veredas (eds.) (2008): High Frequency Financial Econometrics, Physica-Verlag. Working paper version: CORE Discussion Paper 2005/58. Joint with Luc Bauwens and Dagfinn Rime. |
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Essays in the Study and Modelling of Exchange Rate Volatility (2006). PhD thesis (PDF) |
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Exchange Rate Variability, Market Activity and
Heterogeneity (2007). Available as UC3M Working Paper 07-70 in the Economics Series. Joint with Dagfinn Rime |
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Bokanmeldelse: 'Econometrics in a Formal Science of Economics' av Bernt P. Stigum (2016). Samfunnsøkonomene 130, nr. 1, ss. 42-44 (PDF) |
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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 |