Details about Carlos Trucíos

Access statistics for papers by Carlos Trucíos.

Last updated 2025-04-07. Update your information in the RePEc Author Service.

Short-id: ptr398

Working Papers

2020

1. Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
2. 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

3. 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)
4. 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

2015

5. 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 (4)

Journal Articles

2023

1. A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies
   Journal of Forecasting, 2023, 42, (4), 989-1007 View citations (3)
2. Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach
   Econometrics and Statistics, 2023, 27, (C), 1-15

2022

3. 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

4. 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)

2020

5. Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach
   Applied Economics, 2020, 52, (24), 2580-2593 View citations (12)

2019

6. Covariance Prediction in Large Portfolio Allocation
   Econometrics, 2019, 7, (2), 1-24 View citations (3)
7. Forecasting Bitcoin risk measures: A robust approach
   International Journal of Forecasting, 2019, 35, (3), 836-847 View citations (31)
8. On the robustness of the principal volatility components
   Journal of Empirical Finance, 2019, 52, (C), 201-219 View citations (10)

2016

9. Bootstrap prediction in univariate volatility models with leverage effect
   Mathematics and Computers in Simulation (MATCOM), 2016, 120, (C), 91-103 View citations (5)