Pesquisa

2024

  1. Hotta, L., Trucios, C., & Zevallos, M. (2024). A note about calibration tests for VaR and ES.. To appear in Time Series and Wavelets: A Festschrift in Honor of Pedro A. Morettin, Springer., (), . Code
  2. Branco, R., Rubesam, A., & Zevallos, M. (2024). Forecasting realized volatility: Does anything beat linear models?.. Journal of Empirical Finance., 78 (1), . Link
  3. Oliveira, A., Trucíos, C., & Valls, P. (2024). Portfolio resampling in the Brazilian stock market: Can it outperforms Markowitz optimization?.. Brazilian Review of Finance, (), . Code
No matching items

2023

  1. Trucíos, C. & Taylor, J. W. (2023). A Comparison of Methods for Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies. Journal of Forecasting, 42 (4), 989--1007. Link Code Supplementary material
  2. Trucíos, C., Mazzeu, J. H. G., Hallin, M., Hotta, L. K., Valls, P., & Zevallos, M. (2023). Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach.. Journal of Business and Economic Statistics , 41 (1), 40--52. Link Code
  3. Abbara, O. & Zevallos, M. (2023). Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models.. Econometrics, 11 (1), 1--18. Link
  4. Zevallos, M. (2023). On the asymptotic distribution of sample autocovariance differences of long-memory processes.. Brazilian Journal of Probability and Statistics, 37 (2), 313--328. Link
  5. Reis, F., Sobreira, A., Trucíos, C., & Asrilhant, B. (2023). Using hierarchical risk parity in the Brazilian market: An out-of-sample analysis .. Brazilian Review of Finance, 21 (4), 81--103. Link Code
No matching items

2022

  1. Abbara, O. & Zevallos, M. (2022). Estimation and forecasting of long memory stochastic volatility models. Studies in Nonlinear Dynamics & Econometrics, 27 (1), 1--24. Link
  2. Abbara, O. & Zevallos, M. (2022). Stochastic volatility with missing data: Assessing the effects of holidays. Communications in Statistics: Case Studies, Data Analysis and Applications, 8 (3), 423--433. Link
No matching items

2021

  1. Hallin, M. & Trucíos, C. (2021). Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. Econometrics and Statistics, (), . Link Code
  2. Trucíos, C., Mazzeu, J. H. G., Hotta, L. K., Valls Pereira, P. L., & Hallin, M. (2021). Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting. International Journal of Forecasting, 37 (4), 1520-1534. Link
No matching items

2020

  1. Trucíos, C., Tiwari, A. K. & Alqahtani, F. (2020). Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach. Applied Economics, 52 (24), 2580--2593. Link
No matching items

2019

  1. Zevallos, M. (2019). A note on forecasting daily peruvian stock market volatility risk using intraday returns. Economía, 42 (84), 91--104. Link
  2. Abbara, O. & Zevallos, M. (2019). A note on stochastic volatility model estimation. Brazilian Review of Finance, 17 (4), 22--32. Link
  3. Trucíos, C., Zevallos, M., Hotta, L. K., & Santos, A. A. P. (2019). Covariance prediction in large portfolio allocation. Econometrics, 7 (19), 1--24. Link Supplementary material
  4. Trucíos, C. (2019). Forecasting Bitcoin risk measures: A robust approach. International Journal of Forecasting, 35 (3), 836--847. Link
  5. Trucíos, C., Hotta, L. K., & Valls, P. (2019). On the robustness of the principal volatility components. Journal of Empirical Finance, 52 (1), 201--219. Link Code
  6. Cascone, M. & Hotta, L. K. (2019). Quasi-maximum likelihood estimation of GARCH models in the presence of missing values. Journal of Statistical Computation and Simulation, 89 (2), 292--314. Link
No matching items

2018

  1. Hotta, L. K. & Trucíos, C. (2018). Inference in (M)GARCH Models in the Presence of Additive Outliers: Specification, Estimation and Prediction.. In Lavor, C. and Neto, F. A. M. G., editors, Advances in Mathematics and Applications. Springer., (), 179--202. Link
  2. de Almeida, D., Hotta, L. K., & Ruiz, E. (2018). MGARCH models: Trade-off between feasibility and flexibility. International Journal of Forecasting, 34 (1), 45--63. Link
  3. Abbara, O. & Zevallos, M. (2018). Modeling and forecasting intraday VaR of an exchange rate portfolio. Journal of Forecasting, 37 (7), 729--738. Link
  4. Trucíos, C., Hotta, L. K., & Ruiz, E. (2018). Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk. Journal of Statistical Computation and Simulation, 88 (10), 767--987. Link
No matching items

2017

  1. Morales, F. E. C., Vicini, L., Hotta, L. K., & Achcar, J. A. (2017). A nonhomogeneous Poisson process geostatistical model. Economía, 31 (1), 493--507. Link
  2. Zevallos, M. & Hotta, L. K. (2017). A note on Curvature Influence Diagnostics in Elliptical Regression Models. Brazilian Journal of Probability and Statistics, 31 (3), 561--568. Link
  3. Laurini, M. P. & Hotta, L. K. (2017). GMC/GEL estimation of stochastic volatility models. Communications in Statistics - Simulation and Computation, 46 (9), 6828--6844. Link
  4. Zevallos, M., Villarreal, F., Carpio, C., & Abbara, O. (2017). Metal Prices and International Market Risk in the Peruvian Stock Market. Economía, 40 (79), 87--104. Link
  5. Abbara, O. & Zevallos, M. (2017). Portfolio risk decomposition through pair-copula models. Communications in Statistics: Case Studies, Data Analysis and Applications, 3 (1), 29--40. Link
  6. Zevallos, M., Gasco, L. & Ehlers, R. (2017). Riemann manifold Langevin methods on stochastic volatility estimation. Communications in Statistics - Simulation and Computation, 46 (10), 7942--7956. Link
  7. Trucíos, C., Hotta, L. K., & Ruiz, E. (2017). Robust bootstrap forecast densities for GARCH returns and volatilities. Journal of Statistical Computation and Simulation, 87 (16), 3153--3174. Link Code
No matching items

2016

  1. Trucíos, C. & Hotta, L, K. (2016). Bootstrap prediction in univariate volatility models with leverage effect. Mathematics and Computers in Simulation, 120 (1), 91--103. Link
  2. Ribeiro, A. L. P. & Hotta, L, K. (2016). Estimation of the heteroskedastic canonical contagion model with instrumental variables. Plos One, 11 (12), e0168967. Link
  3. Laurini, M. P. & Hotta, L, K. (2016). Generalized moment estimation of stochastic differential equations. Computational Statistics, 31 (), 1169--1202. Link
No matching items

2015

  1. Ehlers, R. & Zevallos, M. (2015). Bayesian estimation and prediction of stochastic volatility models via INLA. Communications in Statistics - Simulation and Computation, 44 (3), 683--693. Link
  2. Zevallos, M. & Carpio, C. (2015). Metal returns, stock returns and stock market volatility. Economía, 38 (75), 101--122. Link
  3. Zevallos, M. & Hotta, L, K. (2015). Slope influence diagnostics in conditional heteroscedastic time series models. Brazilian Journal of Probability and Statistics, 29 (1), 34--52. Link
No matching items

2014

  1. Abbara, O. & Zevallos, M. (2014). Assessing stock market dependence and contagion. Quantitative Finance, 14 (9), 1627--1641. Link
  2. Motta, A. C. & Hotta, L, K. (2014). Detection of oatches of outliers in stochastic volatility processes. São Paulo Journal of Mathematical Sciences, 8 (2), 169--191. Link
  3. Laurini, M. P. & Hotta, L, K. (2014). Forecasting the term structure of interest rates using Integrated Nested Laplace Approximations. Journal of Forecasting, 33 (1), 214--230. Link
  4. de Almeida, D. & Hotta, L, K. (2014). The leverage effect and the asymmetry of the error distribution in GARCH-based models: the case of Brazilian market related series. Pesquisa Operacional, 34 (2), 237--250. Link
No matching items

2013

  1. Ribeiro, A. L. P. & Hotta, L, K. (2013). An analysis of contagion among Asian countries using the canonical model of contagion. International Review of Financial Analysis, 29 (1), 62--69. Link
  2. Laurini, M. P. & Hotta, L, K. (2013). Indirect inference in fractional short-term interest rate diffusions. Mathematics and Computers in Simulation, 94 (1), 109--126. Link
  3. Zevallos, M. & Palma, W. (2013). Minimum distance estimation of ARFIMA processes. Computational Statistics & Data Analysis, 58 (1), 242--256. Link
  4. Hotta, L, K. & Zevallos, M. (2013). Test of outliers and influential observations in garch models: A review. Estadística, 65 (184), 99--119. Link
No matching items

2012

  1. Zevallos, M., Santos, B. & Hotta, L, K. (2012). A Note on Influential Diagnostics in AR(1) Time Series Models. Journal of Statistical Planning and Inference, 142 (11), 2999--3007. Link
  2. Motta, A. C. de O. & Hotta, L, K. (2012). Influence in stochastic volatility models. Advances and Applications in Statistics, 27 (1), 27--45.
  3. Zevallos, M. & Hotta, L, K. (2012). Influential Observations in GARCH Models. Journal of Statistical Computation and Simulation, 82 (11), 1571--1589. Link
  4. Vicini, L., Hotta, L, K. & Achcar, J. A. (2012). Non-homogeneous Poisson processes applied to count data: a Bayesian approach considering different distributions. Journal of Environmental Protection, 3 (1), 1336--1345. Link
No matching items

2011

  1. Palma, W. & Zevallos, M. (2011). Fitting Non-Gaussian Persistent Data. Applied Stochastic Models in Business and Industry, 27 (184), 23--36. Link
No matching items

2010

  1. Laurini, M. P. & Hotta, L. K. (2010). Bayesian Extensions to Diebold-Li Term Structure Model. International Review of Financial Analysis, 19 (1), 342-350. Link
  2. Hotta, L. K. (2010). Bayesian Melding Estimation of the Stochastic SEIR Model. Mathematical Population Studies, 17 (2), 101--111. Link
  3. Hotta, L. K., Alonso, J. A. & Achcar, J. A. (2010). Climate changes and their effects in the public health: use of Poisson regression models. Pesquisa Operacional, 30 (1), 427--442. Link
  4. Carneseca, E. C., Achcar, J. A., Martinez, E. Z., Alonso, J. B. & Hotta, L. K. (2010). Contagem diária de hospitalizações e variações climáticas na cidade de São Paulo: uma abordagem bayessiana. Revista Brasileira de Biometria, 28 (1), 57--72. Link
  5. del Carpio, C. & Zevallos, M. (2010). Estimación de Capital por Riesgo de Precio: Evaluando Metodologías para el Caso Peruano. Revista Estudios Económicos, 19 (1), 47--62. Link
No matching items
  • Sousa, A. R. dos S. and Zevallos, M. (2024). On Bayesian wavelet shrinkage estimation of nonparametric regression models with stationary errors Alex Rodrigo dos S. Sousa and Mauricio Zevallos
  • Hotta, L. K., Trucíos, C., Valls, P. and Zevallos, M. (2024) Forecasting VaR and ES through Markov Switching GARCH Models: Does the specification matter?
  • Oliveira, A., Trucíos, C., and Valls, P. (2023). Does portfolio resampling really improve out-of-sample performance? Evidence from the Brazilian and US markets