Blar i BI Open på forfatter "Sucarrat, Genaro"

Viser treff 1-11 av 11

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

      Pretis, Felix; Reade, J James; Sucarrat, Genaro (Journal article; Peer reviewed, 2018)
      This paper provides an overview of the R package gets, which contains facilities for automated general-to-specific (GETS) modeling of the mean and variance of a regression, and indicator saturation (IS) methods for the ...

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

      Sucarrat, Genaro (Journal article; Peer reviewed, 2013)
      This paper illustrates the usage of the betategarch package, a package for the simulation, estimation and forecasting of Beta-Skew-t-EGARCH models. The Beta-Skew-t-EGARCH model is a dynamic model of the scale or volatility ...

    • EGARCH models with fat tails, skewness and leverage 

      Harvey, Andrew; Sucarrat, Genaro (Journal article, 2015)
      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 distribu- tion of the ...

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

      Escribano, Alvaro; Sucarrat, Genaro (Journal article, 2018)
      Electricity prices are characterised by strong autoregressive persistence, periodicity (e.g. intraday, day-of-the week and month-of-the-year effects), large spikes or jumps, GARCH and – as evidenced by recent findings – ...

    • Financial density selection 

      Marin, J. Miguel; Sucarrat, Genaro (Journal article, 2015)
      We propose and study simple but flexible methods for density selection of skewed versions of the two most popular density classes in finance, the exponential power distribution and the t distribution. For the first type ...

    • garchx: Flexible and Robust GARCH-X Modeling 

      Sucarrat, Genaro (Peer reviewed; Journal article, 2021)
      The garchx package provides a user-friendly, fast, flexible, and robust framework for the estimation and inference of GARCH(p, q, r)-X models, where p is the ARCH order, q is the GARCH order, r is the asymmetry or leverage ...

    • Identification of volatility proxies as expectations of squared financial returns 

      Sucarrat, Genaro (Journal article; Peer reviewed, 2021)
      Volatility proxies like realised volatility (RV) are extensively used to assess the forecasts of squared financial returns produced by volatility models. But are volatility proxies identified as expectations of the squared ...

    • Increasing Or Diversifying Risk?Tail Correlations, Transmission Flows And Prices Across Wind Power Areas 

      Sucarrat, Genaro; Mauritzen, Johannes (Journal article; Peer reviewed, 2021)
      As wind power costs have declined, capacity has grown quickly, often times in adjacent areas. Price and volatility risk from wind power's intermittency can be mitigated through geographic diversification and transmission. ...

    • Risk Estimation with a Time-Varying Probability of Zero Returns 

      Sucarrat, Genaro; Grønneberg, Steffen (Journal article; Peer reviewed, 2020)
      The probability of an observed financial return being equal to zero is not necessarily zero, or constant. In ordinary models of financial return, however, e.g. ARCH, SV, GAS and continuous-time models, the zero-probability ...

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

      Sucarrat, Genaro (Journal article; Peer reviewed, 2020)
      Abstract General-to-Specific (GETS) modelling provides a comprehensive, systematic and cumulative approach to modelling that is ideally suited for conditional forecasting and counterfactual analysis, whereas Indicator ...

    • Volatility Estimation When the Zero-Process is Nonstationary 

      Francq, Christian; Sucarrat, Genaro (Journal article; Peer reviewed, 2021)
      Financial returns are frequently nonstationary due to the nonstationary distribution of zeros. In daily stock returns, for example, the nonstationarity can be due to an upwards trend in liquidity over time, which may lead ...