Details about Mauricio Zevallos

Access statistics for papers by Mauricio Zevallos.

Last updated 2025-03-17. Update your information in the RePEc Author Service.

Short-id: pze77

Working Papers

2024

1. Forecasting realized volatility: Does anything beat linear models?
   Post-Print, HAL
   See also Journal Article Forecasting realized volatility: Does anything beat linear models?, Journal of Empirical Finance, Elsevier (2024) (2024)

2019

2. 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)

2014

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

Journal Articles

2024

1. Forecasting realized volatility: Does anything beat linear models?
   Journal of Empirical Finance, 2024, 78, (C)
   See also Working Paper Forecasting realized volatility: Does anything beat linear models?, Post-Print (2024) (2024)

2023

2. Estimation and forecasting of long memory stochastic volatility models
   Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (1), 1-24

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)
4. Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models
   Econometrics, 2022, 11, (1), 1-18

2019

5. A Note on Forecasting Daily Peruvian Stock Market VolatilityRisk Using Intraday Returns
   Revista Economía, 2019, 42, (84), 94-101
6. Covariance Prediction in Large Portfolio Allocation
   Econometrics, 2019, 7, (2), 1-24 View citations (3)

2018

7. Modeling and forecasting intraday VaR of an exchange rate portfolio
   Journal of Forecasting, 2018, 37, (7), 729-738 View citations (5)

2017

8. Metal Prices and International Market Risk in the Peruvian Stock Market
   Revista Economía, 2017, 40, (79), 87-104

2015

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

2014

10. Assessing stock market dependence and contagion
    Quantitative Finance, 2014, 14, (9), 1627-1641 View citations (10)

2013

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

2011

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

2010

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

2008

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

2004

15. Analysis of the correlation structure of square time series
    Journal of Time Series Analysis, 2004, 25, (4), 529-550 View citations (8)