Carlos Trucíos : Citation Profile

4

H index

2

i10 index

67

Citations

RESEARCH PRODUCTION:

9

Articles

6

Papers

2

Chapters

RESEARCH ACTIVITY:

   9 years (2015 - 2024). See details.
   Cites by year: 7
   Journals where Carlos Trucíos has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 11 (14.1 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ptr398
   Updated: 2025-12-13    RAS profile: 2025-12-10    
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Relations with other researchers

Works with:

Hallin, Marc (5)

Hotta, Luiz (3)

Valls Pereira, Pedro (3)

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

Is cited by:

Righi, Marcelo (4)

Fantazzini, Dean (4)

Molnár, Peter (3)

Barigozzi, Matteo (3)

Hallin, Marc (3)

Hotta, Luiz (3)

Valls Pereira, Pedro (3)

Fiszeder, Piotr (2)

Zhang, Yaojie (2)

Yarovaya, Larisa (2)

Lyócsa, Štefan (1)

Cites to:

Hallin, Marc (78)

Forni, Mario (61)

Lippi, Marco (59)

Reichlin, Lucrezia (30)

Hotta, Luiz (24)

Barigozzi, Matteo (24)

Engle, Robert (23)

Ruiz, Esther (21)

Laurent, Sébastien (18)

Zaffaroni, Paolo (18)

Bollerslev, Tim (17)

Main data

Where Carlos Trucíos has published?

Journals with more than one article published# docs
International Journal of Forecasting2

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 (2025 and 2024)

YearTitle of citing document
2024Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests. (2024). Schienle, Melanie ; Gorgen, Konstantin ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2024Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2024The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2408.07271.

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2025Approximate Factor Model with S-vine Copula Structure. (2025). Li, Yu-Ning ; Han, Jialing. In: Papers. RePEc:arx:papers:2508.11619.

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2025Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall. (2025). Taylor, James W ; Wang, Chao. In: Papers. RePEc:arx:papers:2508.16919.

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2024Research 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.

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2024Robust 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.

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2025Bayesian analysis for functional coefficient conditional autoregressive range model with applications. (2025). Qian, Yixin ; Wang, Bin ; Yu, Enping. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003602.

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2025Portfolio tail risk forecasting for international financial assets: A GARCH-MIDAS-R-Vine copula model. (2025). Yao, Yinhong ; Chen, Xiuwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000257.

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2024Inferential 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.

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2024Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494.

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2024Robust interactive fixed effects. (2024). Boudt, Kris ; Heyndels, Ewoud. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:206-223.

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2024Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies. (2024). Soski, Tomasz ; Kara, Marta ; Mercik, Aleksander. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000024.

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2024Exploring 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.

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2025A risk measurement approach from risk-averse stochastic optimization of score functions. (2025). Mller, Fernanda Maria ; Righi, Marcelo Brutti ; Moresco, Marlon Ruoso. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:42-50.

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2025“Dollarization vs. bitcoinization in Türkiye: Which is more dangerous for the financial market?”. (2025). Mansour-Ichrakieh, Layal ; Jabbour, George M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:100:y:2025:i:c:s104244312500006x.

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2024Factor-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.

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2024Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:567.

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2024Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets. (2024). Fantazzini, Dean. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:6:p:248-:d:1414302.

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2024Comparison of Value at Risk (VaR) Multivariate Forecast Models. (2024). Righi, Marcelo ; Muller, Fernanda Maria. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10330-x.

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2025Risk 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.

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2024Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets. (2024). Fantazzini, Dean. In: MPRA Paper. RePEc:pra:mprapa:121214.

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2024A comparison of Range Value at Risk (RVaR) forecasting models. (2024). Righi, Marcelo ; Gossling, Thalles Weber ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:509-543.

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2025Forecasting Expected Shortfall and Value‐at‐Risk With Cross‐Sectional Aggregation. (2025). Wang, Yongqiao. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:391-423.

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2025Combining Volatility Forecasts of Duration‐Dependent Markov‐Switching Models. (2025). de Paula, Fernando Henrique ; Turatti, Douglas Eduardo. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1195-1210.

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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.
[Full Text][Citation analysis]		paper2
2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach In: Working Papers ECARES.
[Full Text][Citation analysis]		paper1
2019Forecasting 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
2022Forecasting 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
2019On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting In: Working Papers ECARES.
[Full Text][Citation analysis]		paper0
2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach In: Working Papers ECARES.
[Full Text][Citation analysis]		paper0
2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach In: Econometrics and Statistics.
[Full Text][Citation analysis]		article1
2019On the robustness of the principal volatility components In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article4
2019Forecasting Bitcoin risk measures: A robust approach In: International Journal of Forecasting.
[Full Text][Citation analysis]		article35
2021Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting In: International Journal of Forecasting.
[Full Text][Citation analysis]		article3
2020Robustness 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
2016Bootstrap prediction in univariate volatility models with leverage effect In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article2
2019Covariance Prediction in Large Portfolio Allocation In: Econometrics.
[Full Text][Citation analysis]		article3
2024A Note About Calibration Tests for VaR and ES In: Springer Books.
[Citation analysis]		chapter0
2018Inference in (M)GARCH Models in the Presence of Additive Outliers: Specification, Estimation, and Prediction In: Springer Books.
[Citation analysis]		chapter0
2020Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach In: Applied Economics.
[Full Text][Citation analysis]		article11
2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies In: Journal of Forecasting.
[Full Text][Citation analysis]		article5

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