Carlos Trucíos
Names
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Carlos |
| last: |
Trucíos |
Identifer
Contact
Affiliations
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Universidade Estadual de Campinas, Departamento de Estatística.
- https://www.ime.unicamp.br/
- location: Brazil, Campinas/SP
Research profile
author of:
- 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 - Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach (RePEc:eca:wpaper:2013/315983)
by Marc Hallin & Carlos Trucíos - Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach (RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15)
by Hallin, Marc & Trucíos, Carlos - 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. - Forecasting Bitcoin risk measures: A robust approach (RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847)
by Trucíos, Carlos - 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 - 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. - 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 - 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 - Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach (RePEc:taf:applec:v:52:y:2020:i:24:p:2580-2593)
by Carlos Trucíos & Aviral K. Tiwari & Faisal Alqahtani - 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 - A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies (RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007)
by Carlos Trucíos & James W. Taylor