Last updated 19 June 2025. Shortcuts: CATE - BI Data Science - BI ECON - BI Finance - UC3M ECON - CREST - CORE

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Genaro Sucarrat
Professor of Econometrics
BI Norwegian Business School
Department of Economics
G-man

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Research/related: In progress - Published and forthcoming - Books and book-chapters - Unpublished - Other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: Repec - IDEAS - Google

Work in progress:

  • Are intraday financial returns autocorrelated? Joint with Yufei Li and Liudas Giraitis
  • Volatility prediction under misspecification. Joint with Guangyuan Jin
  • Robust Estimation and Inference for Time-Varying Unconditional Volatility. Joint with Adam Lee and Rickard Sandberg

    • Published and forthcoming research (peer-reviewed):

  • 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 (PDF)
  • User-Specified General-to-Specific and Indicator Saturation Methods (2020). The R Journal 12 issue 2, pp. 388-401 (PDF)
  • 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 (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
  •  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:

  •  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
  •  Metode og økonometri - en moderne innføring (Fagbokforlaget):
           - 2. utgave (2017)
           - 1. utgave (2016)
           - Midlertidig utgave (2015)
  •  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.
  •  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
  •  Essays in the Study and Modelling of Exchange Rate Volatility (2006). PhD thesis (PDF)

    • Unpublished work:

  •  Exchange Rate Variability, Market Activity and Heterogeneity (2007). Available as UC3M Working Paper 07-70 in the Economics Series. Joint with Dagfinn Rime

    • 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