Luiz K. Hotta : Citation Profile


Are you Luiz K. Hotta?

6

H index

2

i10 index

74

Citations

RESEARCH PRODUCTION:

21

Articles

14

Papers

RESEARCH ACTIVITY:

   31 years (1988 - 2019). See details.
   Cites by year: 2
   Journals where Luiz K. Hotta has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 6 (7.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pho297
   Updated: 2019-12-07    RAS profile: 2019-08-19    
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Relations with other researchers


Works with:

Trucíos, Carlos (6)

Valls Pereira, Pedro (4)

Ruiz, Esther (3)

Hallin, Marc (2)

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)

Athanasopoulos, George (5)

Laurini, Márcio (5)

Valls Pereira, Pedro (4)

Silvestrini, Andrea (4)

Fajardo, José (3)

Marçal, Emerson (3)

Trucíos, Carlos (3)

Amado, Cristina (2)

Silvennoinen, Annastiina (2)

Veredas, David (2)

Cites to:

Ruiz, Esther (16)

Laurent, Sébastien (15)

Engle, Robert (14)

Bollerslev, Tim (13)

Hallin, Marc (12)

Caporin, Massimiliano (12)

Shephard, Neil (11)

Bauwens, Luc (9)

Diebold, Francis (9)

McAleer, Michael (9)

Lippi, Marco (9)

Main data


Where Luiz K. Hotta has published?


Journals with more than one article published# docs
Brazilian Review of Econometrics5
Journal of Time Series Analysis3
International Review of Financial Analysis2
International Journal of Forecasting2
Mathematics and Computers in Simulation (MATCOM)2

Working Papers Series with more than one paper published# docs
DES - Working Papers. Statistics and Econometrics. WS / Universidad Carlos III de Madrid. Departamento de Estadística2
Textos para discusso / FGV EESP - Escola de Economia de So Paulo, Fundao Getulio Vargas (Brazil)2

Recent works citing Luiz K. Hotta (2019 and 2018)


YearTitle of citing document
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018Modeling Nelson-Siegel Yield Curve using Bayesian Approach. (2018). Das, Sourish. In: Papers. RePEc:arx:papers:1809.06077.

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2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

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2019Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847.

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2018Multiple parameter determination in textile material design:A Bayesian inference approach based on simulation. (2018). Xu, Dinghua ; Zhang, Qifeng ; Yu, Yue ; He, Yangao. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:151:y:2018:i:c:p:1-14.

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2018Uncertainty times for portfolio selection at financial market. (2018). Valls Pereira, Pedro ; Oliveira, Andre. In: Textos para discussão. RePEc:fgv:eesptd:473.

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2019Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification. (2019). Jain, Shashi. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:74-:d:245327.

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2019Market-Risk Optimization among the Developed and Emerging Markets with CVaR Measure and Copula Simulation. (2019). Tiwari, Aviral Kumar ; Trabelsi, Nader. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:78-:d:246399.

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2019Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment. (2019). Husodo, Zaafri Ananto ; Wibowo, Buddi ; Utama, Cynthia Afriani ; Sasongko, Aryo. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:3:d:10.1007_s10614-018-9848-z.

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2018Comparing different methods for the estimation of interbank intraday yield curves. (2018). Demertzidis, Anastasios ; Jeleskovic, Vahidin. In: MAGKS Papers on Economics. RePEc:mar:magkse:201839.

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2019Hierarchical Forecasting. (2019). Hyndman, Rob ; Affan, Mohamed ; Panagiotelis, Anastasios ; Gamakumara, Puwasala ; Athanasopoulos, George. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2019-2.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: NIPE Working Papers. RePEc:nip:nipewp:07/2018.

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

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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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article8
1993THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS In: Journal of Time Series Analysis.
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article8
1999Aggregation and Disaggregation of Structural Time Series Models In: Journal of Time Series Analysis.
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article1
2015MGARCH models: tradeoff between feasibility and flexibility In: DES - Working Papers. Statistics and Econometrics. WS.
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paper4
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: 4
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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paper0
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: 0
paper
2019On the robustness of the principal volatility components In: Journal of Empirical Finance.
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article1
2018On the robustness of the principal volatility components.(2018) In: Textos para discussão.
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This paper has another version. Agregated cites: 1
paper
2010Bayesian extensions to Diebold-Li term structure model In: International Review of Financial Analysis.
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article11
2008Bayesian extensions to diebold-li term structure model.(2008) In: Insper Working Papers.
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This paper has another version. Agregated cites: 11
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
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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article1
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
paper
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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article1
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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article10
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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article0
2007Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models In: Brazilian Review of Econometrics.
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article0
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
2010Bayesian Melding Estimation of a Stochastic SEIR Model In: Mathematical Population Studies.
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article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 2nd 2019. Contact: CitEc Team