2021
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1. |
Francq, Christian; Sucarrat, Genaro. Volatility Estimation When the Zero-Process is Nonstationary. Journal of business & economic statistics 2021 s. - BI
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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
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3. |
Sucarrat, Genaro. garchx: Flexible and Robust GARCH-X Modeling. The R Journal 2021 ;Volum 13.(1) s. 276-291 BI
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4. |
Sucarrat, Genaro. Identification of volatility proxies as expectations of squared financial returns. International Journal of Forecasting 2021 s. - BI
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2020
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5. |
Gharsallah, Sofian; Sucarrat, Genaro. Hvor presise er prognosene i Nasjonalbudsjettet?. Samfunnsøkonomen 2020 ;Volum 134.(3) s. 13-20 BI
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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 BI
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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
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2019
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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
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2018
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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
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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
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2017
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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
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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
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13. |
Sucarrat, Genaro. Metode og økonometri - en moderne innføring (2. utgave). Fagbokforlaget 2017 (ISBN 978-82-450-2247-6) 211 s. BI
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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
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2016
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15. |
Sucarrat, Genaro. Metode og økonometri - en moderne innføring (1. utgave). Fagbokforlaget 2016 (ISBN 978-82-450-2063-2) 165 s. BI
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2015
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16. |
Marin, J. Miguel; Sucarrat, Genaro. Financial density selection. European Journal of Finance 2015 ;Volum 21.(13-14) s. 1195-1213 BI
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17. |
Sucarrat, Genaro. Metode og økonometri -- en moderne innføring (midlertidig utgave). Fagbokforlaget 2015 (ISBN 978-82-450-1923-0) 156 s. BI
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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
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2014
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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
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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
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2013
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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
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22. |
Sucarrat, Genaro. lgarch: Simulation and estimation of log-GARCH models. CRAN - Comprehensive R-Archive Network http://www.r-project.org/ 2013 BI
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2012
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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
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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
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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
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2011
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26. |
Sucarrat, Genaro. AutoSEARCH: General-to-Specific (GETS) Model Selection. CRAN - Comprehensive R-Archive Network http://www.r-project.org/ 2011 BI
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2010
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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
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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
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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
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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
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31. |
Sucarrat, Genaro. Econometric Reduction Theory and Philosophy. Journal of Economic Methodology 2010 ;Volum 17.(1) s. 53-75 BI
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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
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33. |
Sucarrat, Genaro. The Power Log-GARCH Model. Foro de Finanzas; 2010-11-17 - 2010-11-18 BI
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34. |
Sucarrat, Genaro. The Power Log-GARCH Model. Computational and Financial Econometrics; 2010-12-10 - 2010-12-12 BI
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35. |
Sucarrat, Genaro. The Power Log-GARCH Model. Fibe 2010; 2010-01-07 - 2010-01-08 BI
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36. |
Sucarrat, Genaro. The Power Log-GARCH Model. International Workshop on Applied Probability; 2010-07-05 - 2010-07-08 BI
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2009
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37. |
Sucarrat, Genaro. Econometric Reduction Theory and Philosophy. Medium Econometrische Toepassingen 2009 ;Volum 17.(2) s. 20-24 BI
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38. |
Sucarrat, Genaro. Forecast Evaluation of Explanatory Models of Financial Variability. Economics 2009 ;Volum 3.(8) s. 1-33 BI
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2008
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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 BI
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2005
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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
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