Genaro Sucarrat

Genaro Sucarrat is a tenured associate professor at the department of economics, and has studied economics and politics (MA/PhD Economics, Universite Catolique de Louvain; MA International Political Economy, University of Warwick). Before this he obtained his undergraduate degree (Cand.Mag.) in economics, politics and philosophy at the University of Oslo. After his doctoral studies, he worked a total of five years as a postdoctor and assistant 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 Cambridge University.

Sucarrat's research has been published in international peer-reviewed journals like Oxford Bulletin of Economics and Statistics, International Journal of Forecasting, Computational Statistics and Data Analysis, Journal of Economic Methodology, European Journal of Finance, and Empirical Economics, and he has developed three R packages (statistical software) which are available via the Comprehensive R-Archive Network (CRAN). He is also responsible for the Forecasting Prize of the Norwegian Association of Economists, which is awarded every year to the best forecaster of the Norwegian economy.

Research areas

Empirical economics and finance, econometric modelling and forecasting, and research methods and philosophy of the social sciences.

Teaching areas

• MET 3592 Økonometri.
• FORK 1002 Preparatory Course in Elementary Statistics.

ACADEMIC DEGREES

• 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

WORK EXPERIENCE

• 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

CONFERENCE PAPERS

Sucarrat, Genaro. 

Automated Model Selection in Finance: General-to-Speci c Modelling of the Mean, Variance and Density. Forskermøtet; 2010-01-05 - 2010-01-06 BI

Sucarrat, Genaro. 

Automated Model Selection in Finance: General-to-Speci c Modelling of the Mean, Variance and Density. Autometrics User Conference; 2010-03-18 - 2010-03-19 BI

Sucarrat, Genaro. 

Financial Density Selection. Mathematical and Statistical Methods for Actuarial Sciences and Finance; 2010-04-07 - 2010-04-09 BI

Sucarrat, Genaro. 

The Power Log-GARCH Model. Fibe 2010; 2010-01-07 - 2010-01-08 BI

Sucarrat, Genaro. 

The Power Log-GARCH Model. Computational and Financial Econometrics; 2010-12-10 - 2010-12-12 BI

Sucarrat, Genaro. 

The Power Log-GARCH Model. Foro de Finanzas; 2010-11-17 - 2010-11-18 BI

Sucarrat, Genaro. 

The Power Log-GARCH Model. International Workshop on Applied Probability; 2010-07-05 - 2010-07-08 BI

SCIENTIFIC ARTICLES

Francq, Christian; Sucarrat, Genaro. 

An Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns. Journal of Multivariate Analysis 2017 ;Volume 153. p. 16-32 BI

Marin, J. Miguel; Sucarrat, Genaro. 

Financial density selection. European Journal of Finance 2015 ;Volume 21.(13-14) p. 1195-1213 BI

Sucarrat, Genaro; Grønneberg, Steffen; Escribano, Alvaro. 

Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown. Computational Statistics & Data Analysis 2015 ;Volume 100. p. 582-594 BI

Harvey, Andrew C.; Sucarrat, Genaro. 

EGARCH models with fat tails, skewness and leverage. Computational Statistics & Data Analysis 2014 ;Volume 76. p. 320-328 BI

Sucarrat, Genaro. 

betategarch: Simulation, Estimation and Forecasting of First-Order Beta-Skew-t-EGARCH models. The R Journal 2013 ;Volume 5.(2) p. 138-148 BI

Sucarrat, Genaro; Escribano, Alvaro. 

Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications. Oxford Bulletin of Economics and Statistics 2012 ;Volume 74.(5) p. 716-735 BI

Bauwens, Luc; Sucarrat, Genaro. 

General-to-specific modelling of exchange rate volatility: A forecast evaluation. International Journal of Forecasting 2010 ;Volume 26.(4) p. 885-907 BI

Sucarrat, Genaro. 

Econometric Reduction Theory and Philosophy. Journal of economic methodology 2010 ;Volume 17.(1) p. 53-75 BI

Sucarrat, Genaro. 

Forecast Evaluation of Explanatory Models of Financial Variability. Economics 2009 ;Volume 3.(8) p. 1-33 BI

Bauwens, Luc; Rime, Dagfinn; Sucarrat, Genaro. 

Exchange Rate Volatility and the Mixture of Distribution Hypothesis. Empirical Economics 2005 ;Volume 30. p. 889-911 BI

RESEARCH REPORTS

Sucarrat, Genaro. 

Automated Model Selection in Finance: General-to-Specific Modelling of the Mean, Variance and Density. : Handelshøyskolen BI 2010 36 p. Discussion paper (Handelshøyskolen BI)(01/2010) BI

CHAPTERS

Marin, J. Miguel; Sucarrat, Genaro. 

Modelling the skewed exponential power distribution in finance. I: Mathematical and statistical methods for actuarial sciences and finance. Springer 2012 ISBN 978-88-470-2341-3. p. 279-286 BI

Sucarrat, Genaro; Bauwens, Luc; Rime, Dagfinn. 

Exchange Rate Volatility and the Mixture of Distribution Hypothesis. I: High-Frequency Financial Econometrics. Physica Verlag 2008 ISBN 978-3-7908-1991-5. p. 7-29 BI

BOOKS

Sucarrat, Genaro. 

Metode og økonometri - en moderne innføring (1. utgave). Fagbokforlaget 2016 (ISBN 978-82-450-2063-2) 165 p. BI

Sucarrat, Genaro. 

Metode og økonometri -- en moderne innføring (midlertidig utgave). Fagbokforlaget 2015 (ISBN 978-82-450-1923-0) 156 p. BI

POPULAR SCIENTIFIC ARTICLES

Sucarrat, Genaro. 

Econometric Reduction Theory and Philosophy. Medium Econometrische Toepassingen 2009 ;Volume 17.(2) p. 20-24 BI