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Research Software Teaching Workshop Prognoseprisen Links CV

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@bi.no

Research interests: Econometric modelling and forecasting; computational econometrics; empirical finance and macroeconomics; economics and philosophy

Research: Work in progress - Publications in research journals - Book, book-chapters - Unpublished work - Other

Work in progress:

  • Models of Zero-Augmented Financial Return with Time-Varying Zero-Probabilities

  • An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation (pdf). Joint with Christian Francq

  • Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns (pdf). Joint with Álvaro Escribano

  • Estimation and Inference in Univariate and Multivariate Log-GARCH-X Models When the Conditional Density is Unknown (pdf). Joint with Steffen Grønneberg and Álvaro Escribano

  • AutoSEARCH: An R package for General-to-Specific (GETS) Model Selection

    Published and forthcoming articles in peer-reviewed journals:

  • EGARCH models with fat tails, skewness and leverage (2013). Forthcoming in Computational Statistics and Data Analysis. Working paper version: Cambridge Economics Working Paper 1236. Joint with Andrew Harvey

  • betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models (2013). The R Journal (Volume 5/2), pp. 137-147

  • Financial Density Selection (2012). Forthcoming in European Journal of Finance. Working paper version: pdf. Joint with Miguel Marín

  • 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. Working paper version: IMDEA Working Paper 2011-09 (Economics and Social Sciences Series). 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: UC3M Working Paper 08-18 (Economic Series). 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: UC3M Working Paper 09-10 in the Economic Series. 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: DP 2008-18

  • Exchange Rate Volatility and the Mixture of Distribution Hypothesis (2006, data). Empirical Economics volume 30 issue 4 pages 889-911. Working paper version: CORE Discussion Paper 2005/58. Joint with Luc Bauwens and Dagfinn Rime

    Book, book-chapters:

  • 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:

  • 16.10.2007
  • Exchange Rate Variability, Market Activity and Heterogeneity. Available as UC3M Working Paper 07-70 in the Economics Series. Joint with Dagfinn Rime

  • 02.08.2007
  • Stock Market Return, Order Flow and Financial Markets Linkages (pdf). Joint with Jan Moberg

    Other:


  • 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