Carlos Trucíos : Citation Profile


Are you Carlos Trucíos?

3

H index

1

i10 index

27

Citations

RESEARCH PRODUCTION:

5

Articles

6

Papers

RESEARCH ACTIVITY:

   5 years (2015 - 2020). See details.
   Cites by year: 5
   Journals where Carlos Trucíos has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 8 (22.86 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ptr398
   Updated: 2023-01-28    RAS profile: 2022-10-15    
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Relations with other researchers


Works with:

Hotta, Luiz (6)

Valls Pereira, Pedro (5)

Hallin, Marc (5)

Zevallos, Mauricio (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Carlos Trucíos.

Is cited by:

Valls Pereira, Pedro (4)

Hotta, Luiz (4)

Molnár, Peter (3)

Fantazzini, Dean (2)

Hallin, Marc (2)

Zhang, Yaojie (2)

Escribano, Alvaro (1)

Schienle, Melanie (1)

Ben Cheikh, Nidhaleddine (1)

Plíhal, Tomᚠ(1)

Curran, Michael (1)

Cites to:

Hallin, Marc (67)

Forni, Mario (60)

Lippi, Marco (53)

Reichlin, Lucrezia (28)

Barigozzi, Matteo (23)

Engle, Robert (18)

Hotta, Luiz (17)

Laurent, Sébastien (16)

Zaffaroni, Paolo (16)

Ruiz, Esther (16)

Bollerslev, Tim (14)

Main data


Where Carlos Trucíos has published?


Working Papers Series with more than one paper published# docs
Working Papers ECARES / ULB -- Universite Libre de Bruxelles3
Textos para discusso / FGV EESP - Escola de Economia de So Paulo, Fundao Getulio Vargas (Brazil)2

Recent works citing Carlos Trucíos (2022 and 2021)


YearTitle of citing document
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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2022Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2021An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166.

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2022Risk management of Bitcoin futures with GARCH models. (2022). Guo, Zi-Yi. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002671.

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2022Interest in cryptocurrencies predicts conditional correlation dynamics. (2022). Chuffart, Thomas. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002956.

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2022Comparison of risk forecasts for cryptocurrencies: A focus on Range Value at Risk. (2022). Muller, Fernanda Maria ; Santos, Samuel Solgon ; Gossling, Thalles Weber ; Righi, Marcelo Brutti. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001878.

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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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2021Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting. (2021). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1520-1534.

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2022Forecasting volatility of Bitcoin. (2022). Molnár, Peter ; Polasik, Micha ; Molnar, Peter ; Lind, Andrea Falk ; Bergsli, Lykke Overland. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001616.

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2022Semi-nonparametric risk assessment with cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andrés ; Jimenez, Ines. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001884.

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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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2022Which predictor is more predictive for Bitcoin volatility? And why?. (2022). Ma, Feng ; Li, Xiafei ; Zhang, Yaojie ; Liang, Chao. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1947-1961.

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2022Forecasting Bitcoin volatility: A new insight from the threshold regression model. (2022). Wang, Yudong ; Wen, Danyan ; He, Mengxi ; Zhang, Yaojie. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:3:p:633-652.

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Works by Carlos Trucíos:


YearTitleTypeCited
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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paper2
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
2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach 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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article1
2019Forecasting Bitcoin risk measures: A robust approach In: International Journal of Forecasting.
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article12
2016Bootstrap prediction in univariate volatility models with leverage effect In: Mathematics and Computers in Simulation (MATCOM).
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article2
2020Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting In: Textos para discussão.
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paper1
2019Covariance Prediction in Large Portfolio Allocation In: Econometrics.
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article3
2020Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach In: Applied Economics.
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article5

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