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Details about Carlos Trucíos

Homepage:https://ctruciosm.github.io
Workplace:Universidade Estadual de Campinas, Departamento de Estatística.

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

  1. Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
  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) Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2021)

2019

  1. Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (3)
    Also in Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) (2019) Downloads View citations (3)

    See also Journal Article in Journal of Business & Economic Statistics (2022)
  2. 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 Downloads

2015

  1. 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 Downloads 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 Downloads
    See also Working Paper (2019)

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 Downloads View citations (1)
    See also Working Paper (2020)

2020

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

2019

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

2016

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