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
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Working Papers
2020
- Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach
Working Papers ECARES, ULB -- Universite Libre de Bruxelles
- 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
- 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)
- 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
- 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
- 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
- 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
- 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
- Covariance Prediction in Large Portfolio Allocation
Econometrics, 2019, 7, (2), 1-24 View citations (3)
- Forecasting Bitcoin risk measures: A robust approach
International Journal of Forecasting, 2019, 35, (3), 836-847 View citations (14)
- On the robustness of the principal volatility components
Journal of Empirical Finance, 2019, 52, (C), 201-219 View citations (6)
2016
- Bootstrap prediction in univariate volatility models with leverage effect
Mathematics and Computers in Simulation (MATCOM), 2016, 120, (C), 91-103 View citations (4)
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