• 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 ...
    • 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 ...