| EGARCH models with fat tails, skewness and leverage A Harvey, G Sucarrat Computational Statistics & Data Analysis 76, 320-338, 2014 | 223 | 2014 |
| Automated general-to-specific (GETS) regression modeling and indicator saturation for outliers and structural breaks F Pretis, JJ Reade, G Sucarrat Journal of Statistical Software 86, 1-44, 2018 | 115 | 2018 |
| Exchange rate volatility and the mixture of distribution hypothesis L Bauwens, D Rime, G Sucarrat High Frequency Financial Econometrics: Recent Developments, 7-29, 2008 | 82 | 2008 |
| Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown G Sucarrat, S Grønneberg, A Escribano Computational statistics & data analysis 100, 582-594, 2016 | 62 | 2016 |
| Automated Model Selection in Finance: General‐to‐Specific Modelling of the Mean and Volatility Specifications G Sucarrat, A Escribano Oxford Bulletin of Economics and Statistics 74 (5), 716-735, 2012 | 50 | 2012 |
| An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns C Francq, G Sucarrat Journal of Multivariate Analysis 153, 16-32, 2017 | 40 | 2017 |
| General-to-specific modelling of exchange rate volatility: A forecast evaluation L Bauwens, G Sucarrat International Journal of Forecasting 26 (4), 885-907, 2010 | 36 | 2010 |
| betategarch: simulation, estimation and forecasting of first-order Beta-Skew-t-EGARCH models G Sucarrat R Foundation for Statistical Computing, 2013 | 29 | 2013 |
| Estimation of log-GARCH models in the presence of zero returns G Sucarrat, A Escribano The European Journal of Finance 24 (10), 809-827, 2018 | 25 | 2018 |
| An exponential chi-squared QMLE for log-GARCH models via the ARMA representation C Francq, G Sucarrat Journal of Financial Econometrics 16 (1), 129-154, 2018 | 24* | 2018 |
| Equation-by-equation estimation of multivariate periodic electricity price volatility A Escribano, G Sucarrat Energy Economics 74, 287-298, 2018 | 23 | 2018 |
| Risk estimation with a time-varying probability of zero returns G Sucarrat, S Grønneberg Journal of Financial Econometrics 20 (2), 278-309, 2022 | 19 | 2022 |
| The power log-GARCH model G Sucarrat, A Escribano Working document, Economic Series, 10-13, 2010 | 18 | 2010 |
| General-to-specific (GETS) modelling and indicator saturation with the R package gets F Pretis, J Reade, G Sucarrat University of Oxford, 2016 | 16 | 2016 |
| Volatility estimation when the zero-process is nonstationary C Francq, G Sucarrat Journal of Business & Economic Statistics 41 (1), 53-66, 2022 | 15 | 2022 |
| Garchx: Flexible and robust GARCH-X modeling G Sucarrat | 15 | 2021 |
| lgarch: Simulation and estimation of log-GARCH models G Sucarrat R package version 0.2, 2014 | 15 | 2014 |
| Forecast evaluation of explanatory models of financial variability G Sucarrat Economics 3 (1), 20090008, 2009 | 14 | 2009 |
| The log-GARCH model via ARMA representations G Sucarrat Financial mathematics, volatility and covariance modelling, 336-359, 2019 | 12 | 2019 |
| gets: GEneral-to-specific (GETS) modelling and indicator saturation methods F Pretis, J Reade, G Sucarrat R package version 0.12, 2017 | 12 | 2017 |
ALVARO ESCRIBANOProfessor of Economics, Universidad Carlos III de MadridVerifisert e-postadresse på eco.uc3m.es
