Genaro Sucarrat
Associate Professor - Department of Economics
Biography
Genaro Sucarrat is tenured associate professor of econometrics at the department of economics. He studied economics and politics (Cand.Mag. in economics, politics and philosopy at the University of Oslo, MA in international political economy at the University of Warwick) before obtaining an MA and a PhD in Economics at Universite Catolique de Louvain. After his doctoral studies, he worked a total of four years as a Marie Curie individual fellow and visiting professor in economics at Universidad Carlos III de Madrid, before joining BI Norwegian Business School. In addition, he has spent several research visits at other institutions, including University of Cambridge, University of Oxford, CREST (Paris), Universite de Lille, and Pontificia universidad catolica de Chile.
Sucarrat's research has been published in international peer-reviewed journals like Journal of Financial Econometrics, Journal of Multivariate Analysis, Oxford Bulletin of Economics and Statistics, International Journal of Forecasting, Computational Statistics and Data Analysis, Journal of Economic Methodology, and Journal of Statistical Software. He has also developed three R packages (statistical software), available via the Comprehensive R-Archive Network (CRAN) and downloaded a total of ca. 100 000 times from the 0-cloud server of RStudio. Since 2010 he has been responsible for a forecasting prize ("Prognoseprisen") of the Norwegian Association of Economists, which is awarded every year to the best forecaster of the Norwegian economy.
Research areas
Econometric modelling and forecasting; computational econometrics; empirical finance and macroeconomics;
research methodology and philosophy
Teaching areas
DRE 7008 Advanced Statistics
MET 3590 Metode og økonometri
FORK 1002 Preparatory Course in Statistics
Publications
Escribano, Alvaro & Sucarrat, Genaro (2018)
Equation-by-equation estimation of multivariate periodic electricity price volatility
Energy Economics, 74, s. 287- 298. Doi: 10.1016/j.eneco.2018.05.017
Francq, Christian & Sucarrat, Genaro (2018)
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
Journal of Financial Econometrics, 16(1), s. 129- 154. Doi: 10.1093/jjfinec/nbx032
Sucarrat, Genaro & Escribano, Alvaro (2018)
Estimation of log-GARCH models in the presence of zero returns
European Journal of Finance, 24(10), s. 809- 827. Doi: 10.1080/1351847X.2017.1336452
Francq, Christian & Sucarrat, Genaro (2017)
An Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns
Journal of Multivariate Analysis, 153, s. 16- 32. Doi: 10.1016/j.jmva.2016.09.010
Sucarrat, Genaro; Grønneberg, Steffen & Escribano, Alvaro (2015)
Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
Computational Statistics & Data Analysis, 100, s. 582- 594. Doi: 10.1016/j.csda.2015.12.005
Harvey, Andrew C. & Sucarrat, Genaro (2013)
EGARCH models with fat tails, skewness and leverage
Computational Statistics & Data Analysis, 76, s. 320- 328. Doi: 10.1016/j.csda.2013.09.022
Sucarrat, Genaro (2013)
betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models
The R Journal, 5(2), s. 138- 148.
Marin, J. Miguel & Sucarrat, Genaro (2012)
Modelling the skewed exponential power distribution in finance
Perna, Cira & Sibillo, Marilena (red.). Mathematical and statistical methods for actuarial sciences and finance
Marin, J. Miguel & Sucarrat, Genaro (2012)
Financial density selection
European Journal of Finance, 21(13-14), s. 1195- 1213. Doi: 10.1080/1351847X.2012.706906
Sucarrat, Genaro & Escribano, Alvaro (2012)
Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications
Oxford Bulletin of Economics and Statistics, 74(5), s. 716- 735. Doi: 10.1111/j.1468-0084.2011.00669.x
Sucarrat, Genaro (2010)
Econometric Reduction Theory and Philosophy
Journal of economic methodology, 17(1), s. 53- 75.
Bauwens, Luc & Sucarrat, Genaro (2010)
General-to-specific modelling of exchange rate volatility: A forecast evaluation
International Journal of Forecasting, 26(4), s. 885- 907.
Sucarrat, Genaro (2009)
Forecast Evaluation of Explanatory Models of Financial Variability
Economics, 3(8), s. 1- 33.
Sucarrat, Genaro; Bauwens, Luc & Rime, Dagfinn (2008)
Exchange Rate Volatility and the Mixture of Distribution Hypothesis
Bauwenns, Luc; Pohlmeier, Winfried & Veredas, David (red.). High-Frequency Financial Econometrics
Bauwens, Luc; Rime, Dagfinn & Sucarrat, Genaro (2005)
Exchange Rate Volatility and the Mixture of Distribution Hypothesis
Empirical Economics, 30, s. 889- 911. Doi: 10.1007/s00181-005-0005-x
Sucarrat, Genaro (2017)
Metode og økonometri - en moderne innføring (2. utgave)
[Textbook]. Fagbokforlaget.
Sucarrat, Genaro (2016)
Metode og økonometri - en moderne innføring (1. utgave)
[Textbook]. Fagbokforlaget.
Sucarrat, Genaro (2015)
Metode og økonometri -- en moderne innføring (midlertidig utgave)
[Textbook]. Fagbokforlaget.
Sucarrat, Genaro (2010)
The Power Log-GARCH Model
[Academic lecture]. Fibe 2010.
Sucarrat, Genaro (2010)
The Power Log-GARCH Model
[Academic lecture]. International Workshop on Applied Probability.
Sucarrat, Genaro (2010)
The Power Log-GARCH Model
[Academic lecture]. Foro de Finanzas.
Sucarrat, Genaro (2010)
The Power Log-GARCH Model
[Academic lecture]. Computational and Financial Econometrics.
Sucarrat, Genaro (2010)
Financial Density Selection
[Academic lecture]. Mathematical and Statistical Methods for Actuarial Sciences and Finance.
Sucarrat, Genaro (2010)
Automated Model Selection in Finance: General-to-Speci c Modelling of the Mean, Variance and Density
[Academic lecture]. Autometrics User Conference.
Sucarrat, Genaro (2010)
Automated Model Selection in Finance: General-to-Speci c Modelling of the Mean, Variance and Density
[Academic lecture]. Forskermøtet.
Sucarrat, Genaro (2009)
Econometric Reduction Theory and Philosophy
[Popular scientific article]. Medium Econometrische Toepassingen, 17(2), s. 20- 24.
| Year | Academic Department | Degree |
|---|---|---|
| 2006 | Université Catolique de Louvain, Belgium | Ph.D Dr. Oecon. |
| 2001 | Université Catholique de Louvain | Master of Arts |
| 1998 | University of Warwick | Master of Arts |
| 1996 | University of Oslo | Cand.Mag |
| Year | Employer | Job Title |
|---|---|---|
| 2010 - Present | BI Norwegian Business School | Associate Professor of Econometrics (tenured) |
| 2009 - 2010 | Department of Economics, Universidad Carlos III de Madrid | Visiting Professor |
| 2007 - 2009 | Department of Economics, Universidad Carlos III de Madrid. | Marie Curie Fellow (individual fellowship) |
| 2006 - 2007 | Department of Economics, Universidad Carlos III de Madrid | Visiting Professor |
| 2006 - 2006 | Department of Economics, Universidad Carlos III de Madrid | Pre-doctoral researcher |
| 2001 - 2006 | Department of Economics and CORE, Université catholique | Doctoral Reseacher |