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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 [the usual symbol] bi.no

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

Research: Working papers - Publications in research journals - Books and book-chapters - Unpublished work - Other

Working papers:

  • Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility (PDF). Joint with Álvaro Escribano

  • Models of Financial Return with Time-Varying Zero Probability (PDF). Joint with Steffen Grønneberg

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

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

  • General-to-Specific (GETS) Modelling and Indicator Saturation With the R Package gets (PDF). Joint with Felix Pretis and James Reade

    Published and forthcoming articles in peer-reviewed journals:

  • Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns (in press). Journal of Multivariate Analysis (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. 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. Working paper version: PDF. 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 (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. Working paper version: PDF. 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: PDF. 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: 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, 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: PDF

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

    Books and book-chapters:


  • Metode og økonometri - en moderne innføring (2016). 1. utgave (midlertidig utgave), Fagbokforlaget

  • 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




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