Genaro Sucarrat

发表

An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns

Christian Francq, Genaro Sucarrat, C. Francq, 2017, J. Multivar. Anal..

Automated financial multi-path GETS modelling

Genaro Sucarrat, Alvaro Escribano, Genaro Sucarrat, 2009 .

Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks

Genaro Sucarrat, Felix Pretis, J. James Reade, 2018 .

User-Specified General-to-Specific and Indicator Saturation Methods

Genaro Sucarrat, 2019 .

betategarch: Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models

Genaro Sucarrat, Genaro Sucarrat, 2013, R J..

Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown

Genaro Sucarrat, Alvaro Escribano, Steffen Grønneberg, 2016, Comput. Stat. Data Anal..

Automated Model Selection in Finance: General-to-Speciflc Modelling of the Mean, Variance and Density ⁄

Genaro Sucarrat, Alvaro Escribano, Genaro Sucarrat, 2010 .

EGARCH models with fat tails, skewness and leverage

Genaro Sucarrat, Andrew Harvey, A. Harvey, 2014, Comput. Stat. Data Anal..

General-to-Specific (GETS) Modelling And Indicator Saturation With The R Package Gets

Genaro Sucarrat, Felix Pretis, J. James Reade, 2016 .

betategarch: simulation, estimation and forecasting of first-order Beta-Skew-t-EGARCH models

Genaro Sucarrat, 2013 .

garchx: Flexible and Robust GARCH-X Modeling

Genaro Sucarrat, Genaro Sucarrat, 2020, R J..

Identification of volatility proxies as expectations of squared financial returns

Genaro Sucarrat, 2021 .

Automated Model Selection in Finance: General‐To‐Specific Modelling of the Mean and Volatility Specifications

Genaro Sucarrat, Alvaro Escribano, Genaro Sucarrat, 2012 .