E-LIB Suche - Ergebnisse für: Zevallos, Mauricio

1

Forecasting realized volatility: Does anything beat linear ..:

Branco, Rafael R. ; Rubesam, Alexandre ; Zevallos, Mauricio
Journal of Empirical Finance. 78 (2024) - p. 101524 , 2024

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

2

Maximum Likelihood Inference for Asymmetric Stochastic Vola..:

Abbara, Omar ; Zevallos, Mauricio
Econometrics. 11 (2022) 1 - p. 1 , 2022

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

3

Estimation and forecasting of long memory stochastic volati..:

Abbara, Omar ; Zevallos, Mauricio
Studies in Nonlinear Dynamics & Econometrics. 27 (2022) 1 - p. 1-24 , 2022

Link: https://doi.org/10.1515/..

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

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/..

6

Modeling and forecasting intraday VaR of an exchange rate p..:

Abbara, Omar ; Zevallos, Mauricio
Journal of Forecasting. 37 (2018) 7 - p. 729-738 , 2018

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

7

A note on curvature influence diagnostics in elliptical reg..:

Zevallos, Mauricio ; Hotta, Luiz Koodi
Brazilian Journal of Probability and Statistics. 31 (2017) 3 - p. 561-568 , 2017

Link: https://www.jstor.org/st..

8

Riemann manifold Langevin methods on stochastic volatility ..:

Zevallos, Mauricio ; Gasco, Loretta ; Ehlers, Ricardo
Communications in Statistics - Simulation and Computation. 46 (2017) 10 - p. 7942-7956 , 2017

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

9

Metal Returns, Stock Returns and Stock Market Volatility:

Carpio, Carlos del ; Zevallos, Mauricio
Economia. 38 (2015) 75 - p. 101-122 , 2015

Link: https://doi.org/10.18800..

10

Slope influence diagnostics in conditional heteroscedastic ..:

Zevallos, Mauricio ; Hotta, Luiz Koodi
Brazilian Journal of Probability and Statistics. 29 (2015) 1 - p. 34-52 , 2015

Link: https://www.jstor.org/st..

11

Assessing stock market dependence and contagion:

Abbara, Omar ; Zevallos, Mauricio
Quantitative Finance. 14 (2014) 9 - p. 1627-1641 , 2014

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

12

Minimum distance estimation of ARFIMA processes:

Zevallos, Mauricio ; Palma, Wilfredo
Computational Statistics & Data Analysis. 58 (2013) - p. 242-256 , 2013

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

13

A note on influence diagnostics in AR(1) time series models:

Zevallos, Mauricio ; Santos, Bruno ; Hotta, Luiz K.
Journal of Statistical Planning and Inference. 142 (2012) 11 - p. 2999-3007 , 2012

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

14

Influential observations in GARCH models:

Zevallos, Mauricio ; Hotta, Luiz K.
Journal of Statistical Computation and Simulation. 82 (2012) 11 - p. 1571-1589 , 2012

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

15

Fitting non‐Gaussian persistent data:

Palma, Wilfredo ; Zevallos, Mauricio
Applied Stochastic Models in Business and Industry. 27 (2011) 1 - p. 23-36 , 2011

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