Luiz K. Hotta

Names

Identifer

Contact

Affiliations

• Universidade Estadual de Campinas-Departamento de Estatística
  • http://www.ime.unicamp.br/de.html
  • location: Brazil, Campinas

Research profile

author of:

• Identification Of Unobserved Components Models (RePEc:bla:jtsera:v:10:y:1989:i:3:p:259-270)
  by Luiz Koodi Hotta
• The Effect Of Aggregation On Prediction In Autoregressive Integrated Moving‐Average Models (RePEc:bla:jtsera:v:14:y:1993:i:3:p:261-269)
  by L. K. Hotta & J. Cardosc Neto
• Aggregation and Disaggregation of Structural Time Series Models (RePEc:bla:jtsera:v:20:y:1999:i:2:p:155-171)
  by Luiz K. Hotta & Klaus L. Vasconcellos
• MGARCH models: tradeoff between feasibility and flexibility (RePEc:cte:wsrepe:ws1516)
  by Almeida, Daniel de & Hotta, Luiz & Ruiz Ortega, Esther
• Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk (RePEc:cte:wsrepe:ws1523)
  by Hotta, Luiz & Trucíos, Carlos & Ruiz Ortega, Esther
• Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach (RePEc:eca:wpaper:2013/288066)
  by Marc Hallin & Luis K. Hotta & João H. G Mazzeu & Carlos Cesar Trucios-Maza & Pedro L. Valls Pereira & Mauricio Zevallos
• On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting (RePEc:eca:wpaper:2013/298201)
  by Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin
• On the robustness of the principal volatility components (RePEc:eee:empfin:v:52:y:2019:i:c:p:201-219)
  by Trucíos, Carlos & Hotta, Luiz K. & Valls Pereira, Pedro L.
• Bayesian extensions to Diebold-Li term structure model (RePEc:eee:finana:v:19:y:2010:i:5:p:342-350)
  by Laurini, Márcio Poletti & Hotta, Luiz Koodi
• An analysis of contagion among Asian countries using the canonical model of contagion (RePEc:eee:finana:v:29:y:2013:i:c:p:62-69)
  by Ribeiro, André L.P. & Hotta, Luiz K.
• MGARCH models: Trade-off between feasibility and flexibility (RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63)
  by de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther
• Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting (RePEc:eee:intfor:v:37:y:2021:i:4:p:1520-1534)
  by Trucíos, Carlos & Mazzeu, João H.G. & Hotta, Luiz K. & Valls Pereira, Pedro L. & Hallin, Marc
• The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models (RePEc:eee:intfor:v:9:y:1993:i:1:p:85-93)
  by Hotta, Luiz Koodi
• Bootstrap prediction in univariate volatility models with leverage effect (RePEc:eee:matcom:v:120:y:2016:i:c:p:91-103)
  by Trucíos, Carlos & Hotta, Luiz K.
• Indirect Inference in fractional short-term interest rate diffusions (RePEc:eee:matcom:v:94:y:2013:i:c:p:109-126)
  by Laurini, Márcio Poletti & Hotta, Luiz Koodi
• Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados (RePEc:fea:wpaper:09_03)
  by Márcio Laurini & Luiz Hotta
• On the robustness of the principal volatility components (RePEc:fgv:eesptd:474)
  by Trucíos Maza, Carlos César & Hotta, Luiz Koodi & Pereira, Pedro L. Valls
• Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach (RePEc:fgv:eesptd:505)
  by Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio
• Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting (RePEc:fgv:eesptd:521)
  by Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc
• Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter? (RePEc:fgv:eesptd:567)
  by Hotta, Luiz Koodi & Trucíos Maza, Carlos César & Pereira, Pedro L. Valls & Zevallos Herencia, Mauricio Henrique
• Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH (RePEc:fgv:epgrbe:v:52:y:1998:i:2:a:727)
  by Herencia, Maurício Zevallos & Hotta, Luiz K. & Pereira, Pedro L. Valls
• Covariance Prediction in Large Portfolio Allocation (RePEc:gam:jecnmx:v:7:y:2019:i:2:p:19-:d:229754)
  by Carlos Trucíos & Mauricio Zevallos & Luiz K. Hotta & André A. P. Santos
• Alternative Models to extract asset volatility: a comparative study (RePEc:ibm:finlab:flwp_14)
  by Pedro L. Valls Pereira & Hotta, L.K. & Souza, L.A.R.
• Inferência indireta em modelos fracionários de taxas de juros de curto prazo (RePEc:ibm:ibmecp:wpe_121)
  by Laurini, Márcio P. & Hotta, Luiz K.
• Bayesian extensions to diebold-li term structure model (RePEc:ibm:ibmecp:wpe_122)
  by Laurini, Márcio P. & Hotta, Luiz K.
• Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados (RePEc:ibm:ibmecp:wpe_161)
  by Laurini, Márcio Poletti & Hotta, Luiz Koodi
• Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados (RePEc:ibm:ibmecp:wpe_169)
  by Laurini, Márcio Poletti L. & Hotta, Luiz K.
• Estimação de Equações Diferenciais Estocásticas Usando Verossimilhança Empírica e Mínimo Contraste Generalizado (RePEc:ibm:ibmecp:wpe_173)
  by Laurini, Márcio P. & Hotta, Luiz K.
• Extensões Bayesianas do Modelo de Estrutura a Termo de Diebold-Li (RePEc:ibm:ibmecp:wpe_88)
  by Laurini, Márcio P. & Hotta, Luiz K.
• Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations (RePEc:ibr:dpaper:2011-01)
  by Márcio Laurini & Luiz Koodi Hotta
• Estimation of VaR Using Copula and Extreme Value Theory (RePEc:mfj:journl:v:12:y:2008:i:3-4:p:205-218)
  by L. K. Hotta & E. C. Lucas & H. P Palaro
• Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables (RePEc:plo:pone00:0168967)
  by André L P Ribeiro & Luiz K Hotta
• The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil (RePEc:sbe:breart:v:12:y:1992:i:2:a:2992)
  by Hotta, Luiz K. & Morettin, Pedro A. & Pereira, Pedro L. Valls
• Alternative Models To Extract Asset Volatility: A Comparative Study (RePEc:sbe:breart:v:19:y:1999:i:1:a:2793)
  by Pereira, Pedro L. Valls & Hotta, Luiz K. & Souza, Luiz Alvares R. de & Almeida, Nuno Miguel C. G. de
• Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model (RePEc:sbe:breart:v:23:y:2003:i:2:a:2724)
  by Motta, Anderson C. O. & Hotta, Luiz K.
• Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models (RePEc:sbe:breart:v:27:y:2007:i:2:a:1526)
  by Ferraz, Rosemeire O. & Hotta, Luiz K.
• Seasonal adjustment of brazilian time series (RePEc:sbe:breart:v:8:y:1988:i:1:a:3095)
  by Hotta, Luiz Koodi
• Effect of outliers on forecasting temporally aggregated flow variables (RePEc:spr:testjl:v:13:y:2004:i:2:p:371-402)
  by Luiz Hotta & Pedro Pereira & Rissa Ota
• Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach (RePEc:taf:jnlbes:v:41:y:2022:i:1:p:40-52)
  by Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos
• Fitting Distributions with the Polyhazard Model with Dependence (RePEc:taf:lstaxx:v:44:y:2015:i:9:p:1886-1895)
  by Rodrigo Tsai & Luiz K. Hotta
• Bayesian Melding Estimation of a Stochastic SEIR Model (RePEc:taf:mpopst:v:17:y:2010:i:2:p:101-111)
  by Luiz Hotta
• Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations (RePEc:wly:jforec:v:33:y:2014:i:3:p:214-230)
  by MÁrcio Poletti Laurini & Luiz Koodi Hotta