E-LIB Suche - Ergebnisse für: Trucíos, Carlos

1

Forecasting value-at-risk and expected shortfall in large p..:

Hallin, Marc ; Trucíos, Carlos
Econometrics and Statistics. 27 (2023) - p. 1-15 , 2023

Link: https://doi.org/10.1016/..

2

Using hierarchical risk parity in the Brazilian market: An ..:

Reis, Felipe ; Sobreira, Anderson ; Trucios, Carlos.
Brazilian Review of Finance. 21 (2023) 4 - p. 81-103 , 2023

Link: https://doi.org/10.12660..

3

A comparison of methods for forecasting value at risk and e..:

Trucíos, Carlos ; Taylor, James W.
Journal of Forecasting. 42 (2022) 4 - p. 989-1007 , 2022

Link: https://doi.org/10.1002/..

4

Forecasting Conditional Covariance Matrices in High-Dimensi..:

Trucíos, Carlos ; Mazzeu, João H. G. ; Hallin, Marc...
Journal of Business & Economic Statistics. 41 (2021) 1 - p. 40-52 , 2021

Link: https://doi.org/10.1080/..

5

Robustness and the general dynamic factor model with infini..:

Trucíos, Carlos ; Mazzeu, João H.G. ; Hotta, Luiz K...
International Journal of Forecasting. 37 (2021) 4 - p. 1520-1534 , 2021

Link: https://doi.org/10.1016/..

6

Covariance Prediction in Large Portfolio Allocation:

Trucíos, Carlos ; Zevallos, Mauricio ; Hotta, Luiz K..
Econometrics. 7 (2019) 2 - p. 19 , 2019

Link: https://doi.org/10.3390/..

7

Value-at-risk and expected shortfall in cryptocurrencies' p..:

Trucíos, Carlos ; Tiwari, Aviral K. ; Alqahtani, Faisal
Applied Economics. 52 (2019) 24 - p. 2580-2593 , 2019

Link: https://doi.org/10.1080/..

8

On the robustness of the principal volatility components:

Trucíos, Carlos ; Hotta, Luiz K. ; Valls Pereira, Pedro L.
Journal of Empirical Finance. 52 (2019) - p. 201-219 , 2019

Link: https://doi.org/10.1016/..

9

Forecasting Bitcoin risk measures: A robust approach:

Trucíos, Carlos
International Journal of Forecasting. 35 (2019) 3 - p. 836-847 , 2019

Link: https://doi.org/10.1016/..

10

Robust bootstrap densities for dynamic conditional correlat..:

Trucíos, Carlos ; Hotta, Luiz K. ; Ruiz, Esther
Journal of Statistical Computation and Simulation. 88 (2018) 10 - p. 1976-2000 , 2018

Link: https://doi.org/10.1080/..

11

Robust bootstrap forecast densities for GARCH returns and v..:

Trucíos, Carlos ; Hotta, Luiz K. ; Ruiz, Esther
Journal of Statistical Computation and Simulation. 87 (2017) 16 - p. 3152-3174 , 2017

Link: https://doi.org/10.1080/..

12

Bootstrap prediction in univariate volatility models with l..:

Trucíos, Carlos ; Hotta, Luiz K.
Mathematics and Computers in Simulation. 120 (2016) - p. 91-103 , 2016

Link: https://doi.org/10.1016/..

13

Forecasting Conditional Covariance Matrices in High-Dimensi..:

Trucíos, Carlos ; Mazzeu, João Henrique Gonçalves ; Hallin, Marc...
uri/info:doi/10.1080/07350015.2021.1996380. , 2021

Link: http://hdl.handle.net/20..

14

Forecasting Value-at-Risk and Expected Shortfall in Large P..:

Hallin, Marc ; Trucíos, Carlos
uri/info:repec/RePEc:eca:wpaper:2013/315983. , 2020

Link: http://hdl.handle.net/20..

15

Covariance prediction in large portfolio allocation:

Trucíos, Carlos ; Zevallos, Mauricio ; Hotta, Luiz K.
gbv-ppn:1668953242. , 2019

Link: http://hdl.handle.net/10..