7
H index
4
i10 index
110
Citations
Luiz K. Hotta : Citation Profile
| RESEARCH PRODUCTION: 24 Articles 16 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
33 years (1988 - 2021). 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 | 3 |
| International Review of Financial Analysis | 2 |
| Mathematics and Computers in Simulation (MATCOM) | 2 |
Recent works citing Luiz K. Hotta (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2022 | Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151. Full description at Econpapers || Download paper |
| 2021 | Forecasting High-Dimensional Covariance Matrices of Asset Returns with Hybrid GARCH-LSTMs. (2021). Boulet, Lucien. In: Papers. RePEc:arx:papers:2109.01044. Full description at Econpapers || Download paper |
| 2021 | Indirect 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. 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 |
| 2021 | 30 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. 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 |
| 2021 | Who 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. Full description at Econpapers || Download paper |
| 2022 | The 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. Full description at Econpapers || Download paper |
| 2021 | . Full description at Econpapers || Download paper |
| 2022 | . Full description at Econpapers || Download paper |
| 2022 | Reframing 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. Full description at Econpapers || Download paper |
| 2021 | Interactive 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. Full description at Econpapers || Download paper |
| 2021 | DEEDP 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. Full description at Econpapers || Download paper |
| 2022 | Deep 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. Full description at Econpapers || Download paper |
| 2022 | Quantitative 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. Full description at Econpapers || Download paper |
| 2021 | Interactive 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. Full description at Econpapers || Download paper |
| 2022 | Can 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. 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 | 12 |
| 1993 | THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING?AVERAGE MODELS In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 9 |
| 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 | 22 |
| 2018 | MGARCH models: Trade-off between feasibility and flexibility.(2018) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | 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 | 1 |
| 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 another version. Agregated cites: 1 | paper | |
| 2019 | On the robustness of the general dynamic factor model with in?nite-dimensional space: identi?cation, estimation, and forecasting In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 0 |
| 2019 | On the robustness of the principal volatility components In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 2 |
| 2018 | On the robustness of the principal volatility components.(2018) In: Textos para discussão. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2010 | Bayesian extensions to Diebold-Li term structure model In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 13 |
| 2008 | Bayesian extensions to diebold-li term structure model.(2008) In: Insper Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | 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 | 2 |
| 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 another version. Agregated cites: 2 | 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 | 2 |
| 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 | 0 |
| 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 another version. Agregated cites: 0 | 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 another version. Agregated cites: 0 | paper | |
| 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 another 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 | 3 |
| 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 another version. Agregated cites: 3 | article | |
| 2008 | Estimation of VaR Using Copula and Extreme Value Theory In: Multinational Finance Journal. [Full Text][Citation analysis] | article | 12 |
| 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 | 0 |
| 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. Sponsored by INOMICS. Last updated March, 2 2023. Contact: CitEc Team