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Viser treff 1-40 av 40

2021
1 Francq, Christian; Sucarrat, Genaro.
Volatility Estimation When the Zero-Process is Nonstationary. Journal of business & economic statistics 2021 s. -
BI Untitled
 
2 Mauritzen, Johannes; Sucarrat, Genaro.
Increasing Or Diversifying Risk?Tail Correlations, Transmission Flows And Prices Across Wind Power Areas. Energy Journal 2021 ;Volum 43.(3) s. 105-131
NHH BI Untitled
 
3 Sucarrat, Genaro.
garchx: Flexible and Robust GARCH-X Modeling. The R Journal 2021 ;Volum 13.(1) s. 276-291
BI Untitled
 
4 Sucarrat, Genaro.
Identification of volatility proxies as expectations of squared financial returns. International Journal of Forecasting 2021 s. -
BI Untitled
 
2020
5 Gharsallah, Sofian; Sucarrat, Genaro.
Hvor presise er prognosene i Nasjonalbudsjettet?. Samfunnsøkonomen 2020 ;Volum 134.(3) s. 13-20
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6 Sucarrat, Genaro.
User-Specified General-to-Specific and Indicator Saturation Methods. The R Journal 2020 ;Volum 12.(2) s. 388-401
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7 Sucarrat, Genaro; Grønneberg, Steffen.
Risk Estimation with a Time-Varying Probability of Zero Returns. Journal of Financial Econometrics 2020 ;Volum 20.(2) s. 278-309
BI Untitled
 
2019
8 Sucarrat, Genaro.
The log-GARCH model via ARMA representations. I: Financial mathematics, volatility and covariance modelling. Routledge 2019 ISBN 9781138060944. s. 336-359
BI Untitled
 
2018
9 Escribano, Alvaro; Sucarrat, Genaro.
Equation-by-equation estimation of multivariate periodic electricity price volatility. Energy Economics 2018 ;Volum 74.(August) s. 287-298
BI Untitled
 
10 Pretis, Felix; Reade, J James; Sucarrat, Genaro.
Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks. Journal of Statistical Software 2018 ;Volum 86.(3) s. 1-44
BI Untitled
 
2017
11 Francq, Christian; Sucarrat, Genaro.
An Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns. Journal of Multivariate Analysis 2017 ;Volum 153. s. 16-32
BI Untitled
 
12 Francq, Christian; Sucarrat, Genaro.
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation. Journal of Financial Econometrics 2017 ;Volum 16.(1) s. 129-154
BI Untitled
 
13 Sucarrat, Genaro.
Metode og økonometri - en moderne innføring (2. utgave). Fagbokforlaget 2017 (ISBN 978-82-450-2247-6) 211 s.
BI Untitled
 
14 Sucarrat, Genaro; Escribano, Alvaro.
Estimation of log-GARCH models in the presence of zero returns. European Journal of Finance 2017 ;Volum 24.(10) s. 809-827
BI Untitled
 
2016
15 Sucarrat, Genaro.
Metode og økonometri - en moderne innføring (1. utgave). Fagbokforlaget 2016 (ISBN 978-82-450-2063-2) 165 s.
BI Untitled
 
2015
16 Marin, J. Miguel; Sucarrat, Genaro.
Financial density selection. European Journal of Finance 2015 ;Volum 21.(13-14) s. 1195-1213
BI Untitled
 
17 Sucarrat, Genaro.
Metode og økonometri -- en moderne innføring (midlertidig utgave). Fagbokforlaget 2015 (ISBN 978-82-450-1923-0) 156 s.
BI Untitled
 
18 Sucarrat, Genaro; Grønneberg, Steffen; Escribano, Alvaro.
Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown. Computational Statistics & Data Analysis 2015 ;Volum 100. s. 582-594
BI Untitled
 
2014
19 Harvey, Andrew C.; Sucarrat, Genaro.
EGARCH models with fat tails, skewness and leverage. Computational Statistics & Data Analysis 2014 ;Volum 76. s. 320-328
BI Untitled
 
20 Sucarrat, Genaro.
gets: General-to-Specific (GETS) Modelling and Indicator Saturation Methods. CRAN - Comprehensive R-Archive Network http://www.r-project.org/ 2014
BI Untitled
 
2013
21 Sucarrat, Genaro.
betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models. The R Journal 2013 ;Volum 5.(2) s. 138-148
BI Untitled
 
22 Sucarrat, Genaro.
lgarch: Simulation and estimation of log-GARCH models. CRAN - Comprehensive R-Archive Network http://www.r-project.org/ 2013
BI Untitled
 
2012
23 Marin, J. Miguel; Sucarrat, Genaro.
Modelling the skewed exponential power distribution in finance. I: Mathematical and statistical methods for actuarial sciences and finance. Springer 2012 ISBN 978-88-470-2341-3. s. 279-286
BI Untitled
 
24 Sucarrat, Genaro.
betategarch: Simulation, estimation and forecasting of Beta-Skew-t-EGARCH models. CRAN - Comprehensive R-Archive Network http://www.r-project.org/ 2012
BI Untitled
 
25 Sucarrat, Genaro; Escribano, Alvaro.
Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications. Oxford Bulletin of Economics and Statistics 2012 ;Volum 74.(5) s. 716-735
BI Untitled
 
2011
26 Sucarrat, Genaro.
AutoSEARCH: General-to-Specific (GETS) Model Selection. CRAN - Comprehensive R-Archive Network http://www.r-project.org/ 2011
BI Untitled
 
2010
27 Bauwens, Luc; Sucarrat, Genaro.
General-to-specific modelling of exchange rate volatility: A forecast evaluation. International Journal of Forecasting 2010 ;Volum 26.(4) s. 885-907
BI Untitled
 
28 Sucarrat, Genaro.
Automated Model Selection in Finance: General-to-Speci c Modelling of the Mean, Variance and Density. Autometrics User Conference; 2010-03-18 - 2010-03-19
BI Untitled
 
29 Sucarrat, Genaro.
Automated Model Selection in Finance: General-to-Speci c Modelling of the Mean, Variance and Density. Forskermøtet; 2010-01-05 - 2010-01-06
BI Untitled
 
30 Sucarrat, Genaro.
Automated Model Selection in Finance: General-to-Specific Modelling of the Mean, Variance and Density. : Handelshøyskolen BI 2010 36 s. Discussion paper (Handelshøyskolen BI)(01/2010)
BI Untitled
 
31 Sucarrat, Genaro.
Econometric Reduction Theory and Philosophy. Journal of Economic Methodology 2010 ;Volum 17.(1) s. 53-75
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32 Sucarrat, Genaro.
Financial Density Selection. Mathematical and Statistical Methods for Actuarial Sciences and Finance; 2010-04-07 - 2010-04-09
BI Untitled
 
33 Sucarrat, Genaro.
The Power Log-GARCH Model. Foro de Finanzas; 2010-11-17 - 2010-11-18
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34 Sucarrat, Genaro.
The Power Log-GARCH Model. Computational and Financial Econometrics; 2010-12-10 - 2010-12-12
BI Untitled
 
35 Sucarrat, Genaro.
The Power Log-GARCH Model. Fibe 2010; 2010-01-07 - 2010-01-08
BI Untitled
 
36 Sucarrat, Genaro.
The Power Log-GARCH Model. International Workshop on Applied Probability; 2010-07-05 - 2010-07-08
BI Untitled
 
2009
37 Sucarrat, Genaro.
Econometric Reduction Theory and Philosophy. Medium Econometrische Toepassingen 2009 ;Volum 17.(2) s. 20-24
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38 Sucarrat, Genaro.
Forecast Evaluation of Explanatory Models of Financial Variability. Economics 2009 ;Volum 3.(8) s. 1-33
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2008
39 Sucarrat, Genaro; Bauwens, Luc; Rime, Dagfinn.
Exchange Rate Volatility and the Mixture of Distribution Hypothesis. I: High-Frequency Financial Econometrics. Physica Verlag 2008 ISBN 978-3-7908-1991-5. s. 7-29
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2005
40 Bauwens, Luc; Rime, Dagfinn; Sucarrat, Genaro.
Exchange Rate Volatility and the Mixture of Distribution Hypothesis. Empirical Economics 2005 ;Volum 30. s. 889-911
BI Untitled