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Details about Luiz K. Hotta

Workplace:Universidade Estadual de Campinas-Departamento de Estatística

Access statistics for papers by Luiz K. Hotta.

Last updated 2021-11-08. Update your information in the RePEc Author Service.

Short-id: pho297


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Working Papers

2020

  1. Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2021)

2019

  1. Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
    Also in Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) (2019) Downloads View citations (2)
  2. On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2018

  1. On the robustness of the principal volatility components
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) Downloads View citations (3)
    See also Journal Article in Journal of Empirical Finance (2019)

2015

  1. MGARCH models: tradeoff between feasibility and flexibility
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2018)
  2. Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads View citations (3)

2011

  1. Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
    IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro Downloads
    See also Journal Article in Journal of Forecasting (2014)

2009

  1. Estimação de Equações Diferenciais Estocásticas Usando Verossimilhança Empírica e Mínimo Contraste Generalizado
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads
  2. Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads
    Also in Working Papers, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto (2009) Downloads
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa (2009) Downloads

2008

  1. Bayesian extensions to diebold-li term structure model
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads
    See also Journal Article in International Review of Financial Analysis (2010)
  2. Inferência indireta em modelos fracionários de taxas de juros de curto prazo
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads

2007

  1. Extensões Bayesianas do Modelo de Estrutura a Termo de Diebold-Li
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa Downloads View citations (1)

1999

  1. Alternative Models to extract asset volatility: a comparative study
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (8)
    See also Journal Article in Brazilian Review of Econometrics (1999)

Journal Articles

2021

  1. Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting
    International Journal of Forecasting, 2021, 37, (4), 1520-1534 Downloads
    See also Working Paper (2020)

2019

  1. Covariance Prediction in Large Portfolio Allocation
    Econometrics, 2019, 7, (2), 1-24 Downloads View citations (2)
  2. On the robustness of the principal volatility components
    Journal of Empirical Finance, 2019, 52, (C), 201-219 Downloads View citations (5)
    See also Working Paper (2018)

2018

  1. MGARCH models: Trade-off between feasibility and flexibility
    International Journal of Forecasting, 2018, 34, (1), 45-63 Downloads View citations (15)
    See also Working Paper (2015)

2016

  1. Bootstrap prediction in univariate volatility models with leverage effect
    Mathematics and Computers in Simulation (MATCOM), 2016, 120, (C), 91-103 Downloads View citations (4)
  2. Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables
    PLOS ONE, 2016, 11, (12), 1-13 Downloads

2015

  1. Fitting Distributions with the Polyhazard Model with Dependence
    Communications in Statistics - Theory and Methods, 2015, 44, (9), 1886-1895 Downloads

2014

  1. Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
    Journal of Forecasting, 2014, 33, (3), 214-230 Downloads View citations (3)
    See also Working Paper (2011)

2013

  1. An analysis of contagion among Asian countries using the canonical model of contagion
    International Review of Financial Analysis, 2013, 29, (C), 62-69 Downloads
  2. Indirect Inference in fractional short-term interest rate diffusions
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 109-126 Downloads View citations (1)

2010

  1. Bayesian Melding Estimation of a Stochastic SEIR Model
    Mathematical Population Studies, 2010, 17, (2), 101-111 Downloads View citations (1)
  2. Bayesian extensions to Diebold-Li term structure model
    International Review of Financial Analysis, 2010, 19, (5), 342-350 Downloads View citations (12)
    See also Working Paper (2008)

2008

  1. Estimation of VaR Using Copula and Extreme Value Theory
    Multinational Finance Journal, 2008, 12, (3-4), 205-218 Downloads View citations (11)

2007

  1. Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models
    Brazilian Review of Econometrics, 2007, 27, (2) Downloads

2004

  1. Effect of outliers on forecasting temporally aggregated flow variables
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2004, 13, (2), 371-402 Downloads View citations (2)

2003

  1. Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model
    Brazilian Review of Econometrics, 2003, 23, (2) Downloads

1999

  1. ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY
    Brazilian Review of Econometrics, 1999, 19, (1) Downloads View citations (8)
    See also Working Paper (1999)
  2. Aggregation and Disaggregation of Structural Time Series Models
    Journal of Time Series Analysis, 1999, 20, (2), 155-171 Downloads View citations (1)

1998

  1. Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH
    Revista Brasileira de Economia - RBE, 1998, 52, (2) Downloads

1993

  1. THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS
    Journal of Time Series Analysis, 1993, 14, (3), 261-269 Downloads View citations (8)
  2. The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models
    International Journal of Forecasting, 1993, 9, (1), 85-93 Downloads View citations (9)

1992

  1. The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil
    Brazilian Review of Econometrics, 1992, 12, (2) Downloads

1989

  1. IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
    Journal of Time Series Analysis, 1989, 10, (3), 259-270 Downloads View citations (7)

1988

  1. Seasonal adjustment of brazilian time series
    Brazilian Review of Econometrics, 1988, 8, (1) Downloads
 
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