Details about Luiz K. Hotta

Access statistics for papers by Luiz K. Hotta.

Last updated 2022-03-30. Update your information in the RePEc Author Service.

Short-id: pho297

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) View citations (1)
   See also Journal Article in International Journal of Forecasting (2021)

2019

2. 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)
3. 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

4. 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 in Journal of Empirical Finance (2019)

2015

5. MGARCH models: tradeoff between feasibility and flexibility
   DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (2)
   See also Journal Article in International Journal of Forecasting (2018)
6. 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 View citations (3)

2011

7. 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 in Journal of Forecasting (2014)

2009

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

2008

10. Bayesian extensions to diebold-li term structure model
    Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa
    See also Journal Article in International Review of Financial Analysis (2010)
11. 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

12. 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

13. 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 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 View citations (1)
   See also Working Paper (2020)

2019

2. Covariance Prediction in Large Portfolio Allocation
   Econometrics, 2019, 7, (2), 1-24 View citations (3)
3. On the robustness of the principal volatility components
   Journal of Empirical Finance, 2019, 52, (C), 201-219 View citations (6)
   See also Working Paper (2018)

2018

4. MGARCH models: Trade-off between feasibility and flexibility
   International Journal of Forecasting, 2018, 34, (1), 45-63 View citations (22)
   See also Working Paper (2015)

2016

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

2015

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

2014

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

2013

9. 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)
10. Indirect Inference in fractional short-term interest rate diffusions
    Mathematics and Computers in Simulation (MATCOM), 2013, 94, (C), 109-126 View citations (2)

2010

11. Bayesian Melding Estimation of a Stochastic SEIR Model
    Mathematical Population Studies, 2010, 17, (2), 101-111 View citations (1)
12. Bayesian extensions to Diebold-Li term structure model
    International Review of Financial Analysis, 2010, 19, (5), 342-350 View citations (13)
    See also Working Paper (2008)

2008

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

2007

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

2004

15. 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

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

1999

17. ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY
    Brazilian Review of Econometrics, 1999, 19, (1) View citations (8)
    See also Working Paper (1999)
18. Aggregation and Disaggregation of Structural Time Series Models
    Journal of Time Series Analysis, 1999, 20, (2), 155-171 View citations (3)

1998

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

1993

20. THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS
    Journal of Time Series Analysis, 1993, 14, (3), 261-269 View citations (9)
21. 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

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

1989

23. IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
    Journal of Time Series Analysis, 1989, 10, (3), 259-270 View citations (11)

1988

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