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Identification of volatility proxies as expectations of squared financial returns

Sucarrat, Genaro - In: International journal of forecasting 37 (2021) 4, pp. 1677-1690

Persistent link: https://www.econbiz.de/10013274330

Financial density selection

Marin, J. Miguel; Sucarrat, Genaro - In: The European journal of finance 21 (2015) 13/15, pp. 1195-1213

Persistent link: https://www.econbiz.de/10011419831

An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation

Francq, Christian; Sucarrat, Genaro - In: Journal of financial econometrics : official journal of … 16 (2018) 1, pp. 129-154

Persistent link: https://www.econbiz.de/10011987691

Equation-by-equation estimation of multivariate periodic electricity price volatility

Escribano, Álvaro; Sucarrat, Genaro - In: Energy economics 74 (2018), pp. 287-298

Persistent link: https://www.econbiz.de/10011972846

Increasing or diversifying risk? : tail correlations, transmission flows and prices across wind power areas

Mauritzen, Johannes; Sucarrat, Genaro - In: The energy journal 43 (2022) 3, pp. 105-131

Persistent link: https://www.econbiz.de/10013411265

Estimation of log-GARCH models in the presence of zero returns

Sucarrat, Genaro; Escribano, Álvaro - In: The European journal of finance 24 (2018) 10/12, pp. 809-827

Persistent link: https://www.econbiz.de/10012244412

Risk estimation with a time-varying probability of zero returns

Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309

Persistent link: https://www.econbiz.de/10013187979

Volatility estimation when the zero-process is nonstationary

Francq, Christian; Sucarrat, Genaro - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 53-66

Persistent link: https://www.econbiz.de/10013540630

EGARCH models with fat tails, skewness and leverage

Harvey, Andrew; Sucarrat, Genaro - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 320-338

An EGARCH model in which the conditional distribution is heavy-tailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribution of the maximum likelihood estimator, are set out. Evidence for skewness in a conditional...

Persistent link: https://www.econbiz.de/10010776998

Exchange rate volatility and the mixture of distribution hypothesis

BAUWENS, Luc; RIME, Dagfinn; SUCARRAT, Genaro - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010926630