Details about Luiz K. Hotta
Access statistics for papers by Luiz K. Hotta.
Last updated 2025-03-15. Update your information in the RePEc Author Service.
Short-id: pho297
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Working Papers
2024
- Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?
Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
2020
- 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) View citations (2)
See also Journal Article Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting, International Journal of Forecasting, Elsevier (2021) View citations (3) (2021)
2019
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (3)
Also in Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) (2019) View citations (3)
See also Journal Article Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (1) (2022)
- 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
2018
- On the robustness of the principal volatility components
Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (3)
See also Journal Article On the robustness of the principal volatility components, Journal of Empirical Finance, Elsevier (2019) View citations (10) (2019)
2015
- MGARCH models: tradeoff between feasibility and flexibility
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica View citations (3)
See also Journal Article MGARCH models: Trade-off between feasibility and flexibility, International Journal of Forecasting, Elsevier (2018) View citations (25) (2018)
- 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 EstadÃstica View citations (4)
2011
- 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 
See also Journal Article Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations, Journal of Forecasting, John Wiley & Sons, Ltd. (2014) View citations (4) (2014)
2009
- Estimação de Equações Diferenciais Estocásticas Usando Verossimilhança Empírica e Mínimo Contraste Generalizado
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
- Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (1)
Also in Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa (2009) View citations (1) Working Papers, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto (2009) View citations (1)
2008
- Bayesian extensions to diebold-li term structure model
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa 
See also Journal Article Bayesian extensions to Diebold-Li term structure model, International Review of Financial Analysis, Elsevier (2010) View citations (14) (2010)
- Inferência indireta em modelos fracionários de taxas de juros de curto prazo
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
2007
- Extensões Bayesianas do Modelo de Estrutura a Termo de Diebold-Li
Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa View citations (1)
1999
- Alternative Models to extract asset volatility: a comparative study
Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (9)
See also Journal Article ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY, Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE (1999) View citations (8) (1999)
Journal Articles
2025
- Out-of-Sample Predictability of the Equity Risk Premium
Mathematics, 2025, 13, (2), 1-23
2022
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
Journal of Business & Economic Statistics, 2022, 41, (1), 40-52 View citations (1)
See also Working Paper Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach, Working Papers ECARES (2019) View citations (3) (2019)
2021
- Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting
International Journal of Forecasting, 2021, 37, (4), 1520-1534 View citations (3)
See also Working Paper Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting, Textos para discussão (2020) View citations (2) (2020)
2019
- Covariance Prediction in Large Portfolio Allocation
Econometrics, 2019, 7, (2), 1-24 View citations (3)
- On the robustness of the principal volatility components
Journal of Empirical Finance, 2019, 52, (C), 201-219 View citations (10)
See also Working Paper On the robustness of the principal volatility components, Textos para discussão (2018) View citations (3) (2018)
2018
- MGARCH models: Trade-off between feasibility and flexibility
International Journal of Forecasting, 2018, 34, (1), 45-63 View citations (25)
See also Working Paper MGARCH models: tradeoff between feasibility and flexibility, DES - Working Papers. Statistics and Econometrics. WS (2015) View citations (3) (2015)
2016
- Bootstrap prediction in univariate volatility models with leverage effect
Mathematics and Computers in Simulation (MATCOM), 2016, 120, (C), 91-103 View citations (5)
- Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables
PLOS ONE, 2016, 11, (12), 1-13
2015
- Fitting Distributions with the Polyhazard Model with Dependence
Communications in Statistics - Theory and Methods, 2015, 44, (9), 1886-1895
2014
- Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
Journal of Forecasting, 2014, 33, (3), 214-230 View citations (4)
See also Working Paper Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations, IBMEC RJ Economics Discussion Papers (2011) (2011)
2013
- An analysis of contagion among Asian countries using the canonical model of contagion
International Review of Financial Analysis, 2013, 29, (C), 62-69 View citations (1)
- Indirect Inference in fractional short-term interest rate diffusions
Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 109-126 View citations (2)
2010
- Bayesian Melding Estimation of a Stochastic SEIR Model
Mathematical Population Studies, 2010, 17, (2), 101-111 View citations (1)
- Bayesian extensions to Diebold-Li term structure model
International Review of Financial Analysis, 2010, 19, (5), 342-350 View citations (14)
See also Working Paper Bayesian extensions to diebold-li term structure model, Insper Working Papers (2008) (2008)
2008
- Estimation of VaR Using Copula and Extreme Value Theory
Multinational Finance Journal, 2008, 12, (3-4), 205-218 View citations (12)
2007
- Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models
Brazilian Review of Econometrics, 2007, 27, (2)
2004
- 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 View citations (2)
2003
- Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model
Brazilian Review of Econometrics, 2003, 23, (2)
1999
- ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY
Brazilian Review of Econometrics, 1999, 19, (1) View citations (8)
See also Working Paper Alternative Models to extract asset volatility: a comparative study, Finance Lab Working Papers (1999) View citations (9) (1999)
- Aggregation and Disaggregation of Structural Time Series Models
Journal of Time Series Analysis, 1999, 20, (2), 155-171 View citations (3)
1998
- Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH
Revista Brasileira de Economia - RBE, 1998, 52, (2)
1993
- THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS
Journal of Time Series Analysis, 1993, 14, (3), 261-269 View citations (11)
- The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models
International Journal of Forecasting, 1993, 9, (1), 85-93 View citations (9)
1992
- The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil
Brazilian Review of Econometrics, 1992, 12, (2) View citations (2)
1989
- IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
Journal of Time Series Analysis, 1989, 10, (3), 259-270 View citations (13)
1988
- Seasonal adjustment of brazilian time series
Brazilian Review of Econometrics, 1988, 8, (1)
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