6
H index
4
i10 index
118
Citations
Luiz K. Hotta : Citation Profile
| RESEARCH PRODUCTION: 24 Articles 16 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
36 years (1988 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Luiz K. Hotta. | Is cited by:
| Cites to:
|
Main data
Where Luiz K. Hotta has published?
| Journals with more than one article published | # docs |
|---|---|
| Brazilian Review of Econometrics | 5 |
| International Journal of Forecasting | 3 |
| Journal of Time Series Analysis | 2 |
| Mathematics and Computers in Simulation (MATCOM) | 2 |
| International Review of Financial Analysis | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Textos para discussão / FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) | 4 |
| DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de EstadÃstica | 2 |
Recent works citing Luiz K. Hotta (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
| 2023 | Highly Irregular Serial Correlation Tests. (2023). Sentana, Enrique ; Bei, Xinyue ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2023_2302. Full description at Econpapers || Download paper |
| 2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359. Full description at Econpapers || Download paper |
| 2024 | Dynamic hysteresis effects. (2024). Mendieta-Muñoz, Ivan ; Mendieta-Muoz, Ivan ; Li, Mengheng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000629. Full description at Econpapers || Download paper |
| 2024 | Inferential theory for generalized dynamic factor models. (2024). Hallin, Marc ; Barigozzi, Matteo ; Zaffaroni, Paolo ; Luciani, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000593. Full description at Econpapers || Download paper |
| 2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). TrucÃos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper |
| 2024 | Robust interactive fixed effects. (2024). Boudt, Kris ; Heyndels, Ewoud. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:206-223. Full description at Econpapers || Download paper |
| 2023 | Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074. Full description at Econpapers || Download paper |
| 2023 | Interactive R&D spillovers: An estimation strategy based on forecasting-driven model selection. (2023). Simioni, Michel ; Musolesi, Antonio ; Gioldasis, Georgios. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:144-169. Full description at Econpapers || Download paper |
| 2024 | Forecast reconciliation: A review. (2024). Panagiotelis, Anastasios ; Kourentzes, Nikolaos ; Hyndman, Rob J ; Athanasopoulos, George. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:430-456. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007. Full description at Econpapers || Download paper |
Works by Luiz K. Hotta:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1989 | IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 14 |
| 1999 | Aggregation and Disaggregation of Structural Time Series Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 3 |
| 2015 | MGARCH models: tradeoff between feasibility and flexibility In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 24 |
| 2018 | MGARCH models: Trade-off between feasibility and flexibility.(2018) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
| 2015 | Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach.(2019) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2022 | Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach.(2022) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2019 | On the robustness of the principal volatility components In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
| 2018 | On the robustness of the principal volatility components.(2018) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2010 | Bayesian extensions to Diebold-Li term structure model In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 14 |
| 2008 | Bayesian extensions to diebold-li term structure model.(2008) In: Insper Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2013 | An analysis of contagion among Asian countries using the canonical model of contagion In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 0 |
| 2021 | Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 4 |
| 2020 | Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting.(2020) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 1993 | The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 9 |
| 2016 | Bootstrap prediction in univariate volatility models with leverage effect In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 3 |
| 2013 | Indirect Inference in fractional short-term interest rate diffusions In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 2 |
| 2009 | Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados.(2009) In: Insper Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2009 | Modelos de Fatores Latentes Generalizados para Curvas de Juros em Múltiplos Mercados.(2009) In: Insper Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2024 | Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter? In: Textos para discussão. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH In: Revista Brasileira de Economia - RBE. [Full Text][Citation analysis] | article | 0 |
| 2019 | Covariance Prediction in Large Portfolio Allocation In: Econometrics. [Full Text][Citation analysis] | article | 3 |
| 1999 | Alternative Models to extract asset volatility: a comparative study In: Finance Lab Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 1999 | ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY.(1999) In: Brazilian Review of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2008 | Inferência indireta em modelos fracionários de taxas de juros de curto prazo In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Estimação de Equações Diferenciais Estocásticas Usando Verossimilhança EmpÃÂrica e MÃÂnimo Contraste Generalizado In: Insper Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Extensões Bayesianas do Modelo de Estrutura a Termo de Diebold-Li In: Insper Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations In: IBMEC RJ Economics Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2014 | Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations.(2014) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2008 | Estimation of VaR Using Copula and Extreme Value Theory In: Multinational Finance Journal. [Full Text][Citation analysis] | article | 13 |
| 2016 | Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables In: PLOS ONE. [Full Text][Citation analysis] | article | 0 |
| 1992 | The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2003 | Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2007 | Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1988 | Seasonal adjustment of brazilian time series In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2004 | Effect of outliers on forecasting temporally aggregated flow variables In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. [Full Text][Citation analysis] | article | 3 |
| 2015 | Fitting Distributions with the Polyhazard Model with Dependence In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
| 2010 | Bayesian Melding Estimation of a Stochastic SEIR Model In: Mathematical Population Studies. [Full Text][Citation analysis] | article | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team