3
H index
2
i10 index
59
Citations
Carlos Trucíos : Citation Profile
| RESEARCH PRODUCTION: 9 Articles 6 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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8 years (2015 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Carlos Trucíos. | Is cited by:
| Cites to:
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Main data
Where Carlos Trucíos has published?
| Journals with more than one article published | # docs |
|---|---|
| International Journal of Forecasting | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers ECARES / ULB -- Universite Libre de Bruxelles | 3 |
| Textos para discuss�o / FGV EESP - Escola de Economia de S�o Paulo, Funda��o Getulio Vargas (Brazil) | 2 |
Recent works citing Carlos Trucíos (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224. Full description at Econpapers || Download paper |
| 2024 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
| 2024 | Research on optimization strategy of futures hedging dependent on market state. (2024). Li, Yanyan ; Yu, Xing ; Zhao, Qian. In: Applied Energy. RePEc:eee:appene:v:373:y:2024:i:c:s0306261924012686. Full description at Econpapers || Download paper |
| 2024 | Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x. 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 |
| 2024 | Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; An, Ran ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494. 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 |
| 2024 | Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies. (2024). Kara, Marta ; Soski, Tomasz ; Mercik, Aleksander. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000024. Full description at Econpapers || Download paper |
| 2024 | Exploring asymmetries in cryptocurrency intraday returns and implied volatility: New evidence for high-frequency traders. (2024). Shah, Mohamed ; Karim, Muhammad Mahmudul ; Yarovaya, Larisa ; Hanifa, Abu. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005490. Full description at Econpapers || Download paper |
| 2024 | Factor-augmented forecasting in big data. (2024). Bae, Juhee. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1660-1688. Full description at Econpapers || Download paper |
| 2025 | Risk Forecasting Comparisons in Decentralized Finance: An Approach in Constant Product Market Makers. (2025). Perlin, Marcelo Scherer ; Mller, Fernanda Maria ; Almeida, Lucas Mussoi. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10585-6. Full description at Econpapers || Download paper |
| 2024 | A comparison of Range Value at Risk (RVaR) forecasting models. (2024). Santos, Samuel Solgon ; Gossling, Thalles Weber ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:509-543. Full description at Econpapers || Download paper |
Works by Carlos Trucíos:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 | 2 |
| 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 nother version. Agregated cites: 1 | 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: 1 | article | |
| 2019 | On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2019 | On the robustness of the principal volatility components In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 3 |
| 2019 | Forecasting Bitcoin risk measures: A robust approach In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 32 |
| 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 | 3 |
| 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: 3 | paper | |
| 2016 | Bootstrap prediction in univariate volatility models with leverage effect In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 2 |
| 2019 | Covariance Prediction in Large Portfolio Allocation In: Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2020 | Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach In: Applied Economics. [Full Text][Citation analysis] | article | 10 |
| 2023 | A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies In: Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
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