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Genaro Sucarrat
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Cited by
Cited by
Year
EGARCH models with fat tails, skewness and leverage
A Harvey, G Sucarrat
Computational Statistics & Data Analysis 76, 320-338, 2014
1582014
Exchange rate volatility and the mixture of distribution hypothesis
L Bauwens, D Rime, G Sucarrat
High Frequency Financial Econometrics, 7-29, 2008
762008
Automated general-to-specific (GETS) regression modeling and indicator saturation for outliers and structural breaks
F Pretis, JJ Reade, G Sucarrat
Journal of Statistical Software 86, 1-44, 2018
572018
Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
G Sucarrat, S Grønneberg, A Escribano
Computational statistics & data analysis 100, 582-594, 2016
412016
Automated Model Selection in Finance: General‐to‐Specific Modelling of the Mean and Volatility Specifications
G Sucarrat, A Escribano
Oxford Bulletin of Economics and Statistics 74 (5), 716-735, 2012
352012
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
C Francq, G Sucarrat
Journal of Multivariate Analysis 153, 16-32, 2017
332017
General-to-specific modelling of exchange rate volatility: A forecast evaluation
L Bauwens, G Sucarrat
International Journal of Forecasting 26 (4), 885-907, 2010
332010
betategarch: simulation, estimation and forecasting of first-order Beta-Skew-t-EGARCH models
G Sucarrat
R Foundation for Statistical Computing, 2013
192013
The power log-GARCH model
G Sucarrat, A Escribano
182010
An exponential chi-squared QMLE for log-GARCH models via the ARMA representation
C Francq, G Sucarrat
Journal of Financial Econometrics 16 (1), 129-154, 2018
15*2018
General-to-specific (gets) modelling and indicator saturation with the R package gets
F Pretis, J Reade, G Sucarrat
University of Oxford, 2016
142016
Forecast evaluation of explanatory models of financial variability
G Sucarrat
Economics 3 (1), 2009
142009
Equation-by-equation estimation of multivariate periodic electricity price volatility
A Escribano, G Sucarrat
Energy Economics 74, 287-298, 2018
132018
Estimation of log-GARCH models in the presence of zero returns
G Sucarrat, A Escribano
The European Journal of Finance 24 (10), 809-827, 2018
132018
lgarch: Simulation and estimation of log-GARCH models
G Sucarrat
R package version 0.2, 2014
132014
Econometric reduction theory and philosophy
G Sucarrat
Journal of Economic Methodology 17 (1), 53-75, 2010
102010
gets: GEneral-to-specific (GETS) modelling and indicator saturation methods
F Pretis, J Reade, G Sucarrat
R package version 0.12, 2017
92017
General to specific modelling of exchange rate volatility: a forecast evaluation
L Bauwens, G Sucarrat
CORE Discussion Paper, 2006
92006
Risk estimation with a time-varying probability of zero returns
G Sucarrat, S Grønneberg
Journal of Financial Econometrics 20 (2), 278-309, 2022
82022
Models of financial return with time-varying zero probability
G Sucarrat, S Grønneberg
82016
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Articles 1–20