Details about Carlos Trucíos

Access statistics for papers by Carlos Trucíos.

Last updated 2023-02-19. 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 (1)
   See also Journal Article in International Journal of Forecasting (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 in Journal of Business & Economic Statistics (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 (3)

Journal Articles

2022

1. Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
   Journal of Business & Economic Statistics, 2022, 41, (1), 40-52
   See also Working Paper (2019)

2021

2. 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)

2020

3. Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach
   Applied Economics, 2020, 52, (24), 2580-2593 View citations (6)

2019

4. Covariance Prediction in Large Portfolio Allocation
   Econometrics, 2019, 7, (2), 1-24 View citations (3)
5. Forecasting Bitcoin risk measures: A robust approach
   International Journal of Forecasting, 2019, 35, (3), 836-847 View citations (14)
6. On the robustness of the principal volatility components
   Journal of Empirical Finance, 2019, 52, (C), 201-219 View citations (6)

2016

7. Bootstrap prediction in univariate volatility models with leverage effect
   Mathematics and Computers in Simulation (MATCOM), 2016, 120, (C), 91-103 View citations (4)