EconPapers    
Economics at your fingertips  
 

Details about Mauricio Zevallos

E-mail:
Workplace:Universidade Estadual de Campinas, Instituto de Matemática, Estatística e Computação Científica

Access statistics for papers by Mauricio Zevallos.

Last updated 2022-04-17. Update your information in the RePEc Author Service.

Short-id: pze77


Jump to Journal Articles

Working Papers

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)

2014

  1. Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano
    Working Papers, Banco Central de Reserva del Perú Downloads

Journal Articles

2019

  1. Covariance Prediction in Large Portfolio Allocation
    Econometrics, 2019, 7, (2), 1-24 Downloads View citations (3)
  2. Una nota sobre el pronóstico del riesgo diario de volatilidad en el mercado de valores peruano utilizando retornos intradía
    Revista Economía, 2019, 42, (84), 94-101 Downloads

2018

  1. Modeling and forecasting intraday VaR of an exchange rate portfolio
    Journal of Forecasting, 2018, 37, (7), 729-738 Downloads View citations (3)

2017

  1. Precio internacional de los metales y riesgo de mercado en la Bolsa de Valores de Lima
    Revista Economía, 2017, 40, (79), 87-104 Downloads

2015

  1. Metal Returns, Stock Returns and Stock Market Volatility
    Revista Economía, 2015, 38, (75), 101-122 Downloads View citations (3)

2014

  1. Assessing stock market dependence and contagion
    Quantitative Finance, 2014, 14, (9), 1627-1641 Downloads View citations (8)

2013

  1. Minimum distance estimation of ARFIMA processes
    Computational Statistics & Data Analysis, 2013, 58, (C), 242-256 Downloads View citations (2)

2011

  1. Fitting non‐Gaussian persistent data
    Applied Stochastic Models in Business and Industry, 2011, 27, (1), 23-36 Downloads

2010

  1. Estimación de capital por riesgo de precio: Evaluandometodologías para el caso peruano
    Revista Estudios Económicos, 2010, (19), 47-62 Downloads View citations (2)

2008

  1. Estimación del riesgo bursátil peruano
    Revista Economía, 2008, (62), 109-126 Downloads View citations (4)

2004

  1. Analysis of the correlation structure of square time series
    Journal of Time Series Analysis, 2004, 25, (4), 529-550 Downloads View citations (8)
 
Page updated 2024-02-21