Luiz K. Hotta : Citation Profile


Are you Luiz K. Hotta?

7

H index

4

i10 index

108

Citations

RESEARCH PRODUCTION:

24

Articles

16

Papers

RESEARCH ACTIVITY:

   33 years (1988 - 2021). See details.
   Cites by year: 3
   Journals where Luiz K. Hotta has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 10 (8.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pho297
   Updated: 2023-01-28    RAS profile: 2022-03-30    
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Relations with other researchers


Works with:

Valls Pereira, Pedro (7)

Trucíos, Carlos (6)

Hallin, Marc (5)

Zevallos, Mauricio (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Luiz K. Hotta.

Is cited by:

Hyndman, Rob (9)

Trucíos, Carlos (7)

Athanasopoulos, George (7)

Silvestrini, Andrea (5)

Laurini, Márcio (5)

Valls Pereira, Pedro (4)

Hallin, Marc (4)

Fajardo, José (3)

Marçal, Emerson (3)

Silvennoinen, Annastiina (2)

Fiorentini, Gabriele (2)

Cites to:

Hallin, Marc (53)

Forni, Mario (44)

Lippi, Marco (42)

Reichlin, Lucrezia (22)

Laurent, Sébastien (18)

Barigozzi, Matteo (18)

Engle, Robert (17)

Ruiz, Esther (17)

Bauwens, Luc (14)

Zaffaroni, Paolo (13)

Bollerslev, Tim (13)

Main data


Where Luiz K. Hotta has published?


Journals with more than one article published# docs
Brazilian Review of Econometrics5
International Journal of Forecasting3
Journal of Time Series Analysis3
Mathematics and Computers in Simulation (MATCOM)2
International Review of Financial Analysis2

Working Papers Series with more than one paper published# docs
Textos para discusso / FGV EESP - Escola de Economia de So Paulo, Fundao Getulio Vargas (Brazil)3
Working Papers ECARES / ULB -- Universite Libre de Bruxelles2
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2

Recent works citing Luiz K. Hotta (2022 and 2021)


YearTitle of citing document
2022Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151.

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2021Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs. (2021). Boulet, Lucien. In: Papers. RePEc:arx:papers:2109.01044.

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2021Indirect inference for time series using the empirical characteristic function and control variates. (2021). Kluppelberg, Claudia ; Do, Thiago ; Davis, Richard A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:653-684.

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202130 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial. (2021). Ruiz, Esther ; Pea, Daniel ; Escribano, Alvaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1333-1337.

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2021Who is the center of local currency Asian government bond markets?. (2021). Tsukuda, Yoshihiko ; Shimada, Junji ; Miyakoshi, Tatsuyoshi. In: Japan and the World Economy. RePEc:eee:japwor:v:59:y:2021:i:c:s0922142521000220.

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2022The relationship between global stock and precious metals under Covid-19 and happiness perspectives. (2022). Quc, Nguyn Khc ; Vn, LE. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722000836.

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2021.

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2022.

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2022Reframing Demand Forecasting: A Two-Fold Approach for Lumpy and Intermittent Demand. (2022). Mladeni, Dunja ; Fortuna, Bla ; Roanec, Joe Martin. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:15:p:9295-:d:875050.

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2021Interactive R&D Spillovers: an estimation strategy based on forecasting-driven model selection. (2021). Simioni, Michel ; Musolesi, Antonio ; Gioldasis, Georgios. In: Working Papers. RePEc:hal:wpaper:hal-03224910.

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2021DEEDP DIVING INTO THE S&P 350 EUROPE INDEX NETWORK ANS ITS REACTION TO COVID-19. (2021). Eratalay, Mustafa ; Corts, Ariana Paola. In: University of Tartu - Faculty of Economics and Business Administration Working Paper Series. RePEc:mtk:febawb:134.

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2022Deep diving into the S&P Europe 350 index network and its reaction to COVID-19. (2022). Eratalay, Mustafa Hakan ; Cortes, Ariana Paola. In: Journal of Computational Social Science. RePEc:spr:jcsosc:v:5:y:2022:i:2:d:10.1007_s42001-022-00172-w.

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2022Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019). (2022). Vogl, Markus. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:12:d:10.1007_s43546-022-00359-3.

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2021Interactive R&D Spillovers: An estimation strategy based on forecasting-driven model selection. (2021). Gioldasis, Georgios ; Simioni, Michel ; Musolesi, Antonio. In: SEEDS Working Papers. RePEc:srt:wpaper:0621.

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2022Can Volatility Solve the Naive Portfolio Puzzle?. (2022). Curran, Michael ; Zalla, Ryan ; O'Sullivan, Patrick. In: Villanova School of Business Department of Economics and Statistics Working Paper Series. RePEc:vil:papers:52.

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Works by Luiz K. Hotta:


YearTitleTypeCited
1989IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS In: Journal of Time Series Analysis.
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article12
1993THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING?AVERAGE MODELS In: Journal of Time Series Analysis.
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article9
1999Aggregation and Disaggregation of Structural Time Series Models In: Journal of Time Series Analysis.
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article3
2015MGARCH models: tradeoff between feasibility and flexibility In: DES - Working Papers. Statistics and Econometrics. WS.
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paper20
2018MGARCH models: Trade-off between feasibility and flexibility.(2018) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 20
article
2015Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk In: DES - Working Papers. Statistics and Econometrics. WS.
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paper1
2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach In: Working Papers ECARES.
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paper1
2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach.(2019) In: Textos para discussão.
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This paper has another version. Agregated cites: 1
paper
2019On the robustness of the general dynamic factor model with in?nite-dimensional space: identi?cation, estimation, and forecasting In: Working Papers ECARES.
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paper0
2019On the robustness of the principal volatility components In: Journal of Empirical Finance.
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article2
2018On the robustness of the principal volatility components.(2018) In: Textos para discussão.
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This paper has another version. Agregated cites: 2
paper
2010Bayesian extensions to Diebold-Li term structure model In: International Review of Financial Analysis.
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article13
2008Bayesian extensions to diebold-li term structure model.(2008) In: Insper Working Papers.
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This paper has another version. Agregated cites: 13
paper
2013An analysis of contagion among Asian countries using the canonical model of contagion In: International Review of Financial Analysis.
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article0
2021Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting In: International Journal of Forecasting.
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article2
2020Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting.(2020) In: Textos para discussão.
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This paper has another version. Agregated cites: 2
paper
1993The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models In: International Journal of Forecasting.
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article9
2016Bootstrap prediction in univariate volatility models with leverage effect In: Mathematics and Computers in Simulation (MATCOM).
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article2
2013Indirect Inference in fractional short-term interest rate diffusions In: Mathematics and Computers in Simulation (MATCOM).
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article2
2009Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados In: Working Papers.
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paper0
2009Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados.(2009) In: Insper Working Papers.
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This paper has another version. Agregated cites: 0
paper
2009Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados.(2009) In: Insper Working Papers.
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This paper has another version. Agregated cites: 0
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1998Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH In: Revista Brasileira de Economia - RBE.
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article0
2019Covariance Prediction in Large Portfolio Allocation In: Econometrics.
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article3
1999Alternative Models to extract asset volatility: a comparative study In: Finance Lab Working Papers.
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paper9
1999ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY.(1999) In: Brazilian Review of Econometrics.
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This paper has another version. Agregated cites: 9
article
2008Inferência indireta em modelos fracionários de taxas de juros de curto prazo In: Insper Working Papers.
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paper0
2009Estimação de Equações Diferenciais Estocásticas Usando Verossimilhança Empírica e Mínimo Contraste Generalizado In: Insper Working Papers.
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paper0
2007Extensões Bayesianas do Modelo de Estrutura a Termo de Diebold-Li In: Insper Working Papers.
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paper1
2011Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations In: IBMEC RJ Economics Discussion Papers.
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paper3
2014Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations.(2014) In: Journal of Forecasting.
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This paper has another version. Agregated cites: 3
article
2008Estimation of VaR Using Copula and Extreme Value Theory In: Multinational Finance Journal.
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article12
2016Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables In: PLOS ONE.
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article0
1992The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil In: Brazilian Review of Econometrics.
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article0
2003Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model In: Brazilian Review of Econometrics.
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2007Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models In: Brazilian Review of Econometrics.
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1988Seasonal adjustment of brazilian time series In: Brazilian Review of Econometrics.
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article0
2004Effect of outliers on forecasting temporally aggregated flow variables In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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article3
2015Fitting Distributions with the Polyhazard Model with Dependence In: Communications in Statistics - Theory and Methods.
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article0
2010Bayesian Melding Estimation of a Stochastic SEIR Model In: Mathematical Population Studies.
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article1

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