betategarch: Simulation, Estimation and Forecasting of Beta-Skew-t-EGARCH Models. - Genaro Sucarrat (R J., 2013)

EGARCH models with fat tails, skewness and leverage. - Andrew Harvey; Genaro Sucarrat (Comput. Stat. Data Anal., 2014)

Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown. - Genaro Sucarrat; Steffen Grønneberg; Alvaro Escribano (Comput. Stat. Data Anal., 2016)

An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. - Christian Francq; Genaro Sucarrat (J. Multivar. Anal., 2017)

User-Specified General-to-Specific and Indicator Saturation Methods. - Genaro Sucarrat (R J., 2020)

garchx: Flexible and Robust GARCH-X Modeling. - Genaro Sucarrat (R J., 2021)

Modeling Nonstationary Financial Volatility with the R Package tvgarch. - Susana Campos-Martins; Genaro Sucarrat (J. Stat. Softw., 2024)