Mauricio Zevallos : Citation Profile

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   15 years (2004 - 2019). See details.
   Cites by year: 1
   Journals where Mauricio Zevallos has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 2 (6.9 %)


   Updated: 2022-11-19    RAS profile: 2022-04-17    
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Relations with other researchers

Works with:

Trucíos, Carlos (3)

Hotta, Luiz (3)

Hallin, Marc (2)

Valls Pereira, Pedro (2)

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

Is cited by:

Hallin, Marc (3)

Ruiz, Esther (3)

Broto, Carmen (3)

Kapetanios, George (2)

Humala, Alberto (2)

Valls Pereira, Pedro (2)

Mollick, Andre (2)

Hotta, Luiz (2)

Rodríguez, Gabriel (2)

Trucíos, Carlos (2)

Nganje, William (1)

Cites to:

Hallin, Marc (15)

Laurent, Sébastien (12)

Lippi, Marco (11)

Engle, Robert (10)

Forni, Mario (9)

Bollerslev, Tim (9)

Acharya, Viral (7)

Barigozzi, Matteo (7)

Patton, Andrew (5)

Ledoit, Olivier (5)

Bauwens, Luc (5)

Main data

Where Mauricio Zevallos has published?

Journals with more than one article published# docs
Revista Economa4

Recent works citing Mauricio Zevallos (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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2022Dependence dynamics of stock markets during COVID-19. (2022). Vo, Xuan Vinh ; Hussain, Syed Jawad ; Ahmad, Nasir ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pb:s1566014122000115.

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2022Risk spillovers and interconnectedness between systemically important institutions. (2022). Andrieș, Alin Marius ; Tunaru, Radu ; Sprincean, Nicu ; Ongena, Steven. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001224.

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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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2022Exchange rate dependence and economic fundamentals: A Copula-MIDAS approach. (2022). Chen, Qiang ; Ma, Chao ; Gong, Yuting. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560621002485.

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2022An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting. (2022). Wang, Shixuan ; Liu, Zhenya ; Han, Xuyuan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:25:y:2022:i:c:s2405851321000222.

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2021Predicting Food-Safety Risk and Determining Cost-Effective Risk-Reduction Strategies. (2021). Nganje, William ; Burbidge, Linda D ; Ndembe, Elvis M ; Denkyirah, Elisha K. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:9:p:408-:d:627116.

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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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Works by Mauricio Zevallos:

2004Analysis of the correlation structure of square time series In: Journal of Time Series Analysis.
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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach In: Working Papers ECARES.
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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: 3
2013Minimum distance estimation of ARFIMA processes In: Computational Statistics & Data Analysis.
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2019Covariance Prediction in Large Portfolio Allocation In: Econometrics.
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2008Estimación del riesgo bursátil peruano In: Revista Economía.
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2015Metal Returns, Stock Returns and Stock Market Volatility In: Revista Economía.
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2017 Precio internacional de los metales y riesgo de mercado en la Bolsa de Valores de Lima In: Revista Economía.
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2019 Una nota sobre el pronóstico del riesgo diario de volatilidad en el mercado de valores peruano utilizando retornos intradía In: Revista Economía.
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2010Estimación de capital por riesgo de precio: Evaluandometodologías para el caso peruano In: Revista Estudios Económicos.
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2014Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano In: Working Papers.
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2014Assessing stock market dependence and contagion In: Quantitative Finance.
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2011Fitting non?Gaussian persistent data In: Applied Stochastic Models in Business and Industry.
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2018Modeling and forecasting intraday VaR of an exchange rate portfolio In: Journal of Forecasting.
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