|
Last updated 12 February 2021. Shortcuts: CATE - CAMP - BI ECON - BI Finance - BI - UC3M ECON - CREST - CORE
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
|
Photo in the press
|
Research interests: Econometric modelling and forecasting; computational econometrics; empirical finance and macroeconomics; economics and philosophy
Research: Work in progress - Published and forthcoming work - Books and book-chapters - Unpublished work - Other
Research and citation profiles: Repec - IDEAS - Google
Work in progress:
|
Volatility Estimation when the Zero-Process is Nonstationary. Joint with Christian Francq
|
|
Identification of Volatility Proxies as Expectations of Squared Financial Return (PDF)
|
|
garchx: Flexible and Robust GARCH-X Modelling (PDF)
|
Published and forthcoming articles in peer-reviewed journals:
|
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
|
|
User-Specified General-to-Specific and Indicator Saturation Methods (2020). The R Journal 12 issue 2, pp. 388-401 (URL)
|
|
Hvor presise er prognosene i Nasjonalbudsjettet? (2020, data, code). Samfunnsøkonomen 134 nr. 3 (PDF). Joint with Sofian Gharsallah
|
|
Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility (2018, data and code). 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, 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, data and code). 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, data and code). 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 (PDF)
|
|
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
|
|
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. 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. 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, PDF, data). Economics - The Open-Access, Open-Assessment E-Journal, Vol. 3, 2009-8, 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. 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
|
|
|