Carlos Trucíos : Citation Profile

Are you Carlos Trucíos?

3

H index

2

i10 index

52

Citations

RESEARCH PRODUCTION:

9

Articles

5

Papers

RESEARCH ACTIVITY:

   8 years (2015 - 2023). See details.
   Cites by year: 6
   Journals where Carlos Trucíos has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 11 (17.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ptr398
   Updated: 2024-11-04    RAS profile: 2023-10-09    
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Relations with other researchers

Works with:

Hallin, Marc (7)

Hotta, Luiz (7)

Valls Pereira, Pedro (6)

Zevallos, Mauricio (4)

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)

Hotta, Luiz (3)

Barigozzi, Matteo (3)

Hallin, Marc (3)

Valls Pereira, Pedro (3)

Molnár, Peter (3)

Zhang, Yaojie (2)

Chevallier, Julien (1)

Perote, Javier (1)

Oyewole, Oluwatomisin (1)

Cites to:

Hallin, Marc (58)

Lippi, Marco (43)

Forni, Mario (40)

Engle, Robert (23)

Hotta, Luiz (20)

Ruiz, Esther (20)

Reichlin, Lucrezia (19)

Laurent, Sébastien (18)

Bollerslev, Tim (17)

Barigozzi, Matteo (16)

Zaffaroni, Paolo (14)

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
Textos para discussão / FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)2
Working Papers ECARES / ULB -- Universite Libre de Bruxelles2

Recent works citing Carlos Trucíos (2024 and 2023)

YearTitle of citing document
2024Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2023An 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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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359.

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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 ; An, Ran ; 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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2023Tail risk contagion across electricity markets in crisis periods. (2023). Tiwari, Aviral ; Abdullah, Mohammad ; Khan, Isma ; Wali, G M ; Aikins, Emmanuel Joel. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323005984.

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2023Diversification in financial and crypto markets. (2023). Naoui, Kamel ; Hamdi, Haykel ; Guesmi, Khaled ; Galariotis, Emilios ; ben Osman, Myriam. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003010.

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2023Return-volatility relationships in cryptocurrency markets: Evidence from asymmetric quantiles and non-linear ARDL approach. (2023). Yarovaya, Larisa ; Ali, Md Hakim ; Karim, Muhammad Mahmudul ; Hammoudeh, Shawkat ; Uddin, Md Hamid. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004106.

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2023Machine learning approaches to forecasting cryptocurrency volatility: Considering internal and external determinants. (2023). Martin-Barragan, Belen ; Andreeva, Galina ; Wang, Yijun. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004301.

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2024Understanding 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.

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2023Futures hedging in crude oil markets: A trade-off between risk and return. (2023). Shen, Xilin ; Lu, Junli ; Li, Yanyan ; Yu, Xing. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005906.

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2023Changes in the market structure and risk management of Bitcoin and its forked coins. (2023). Baltas, Konstantinos ; Nguyen, Thong Trung ; Narayan, Seema ; Ren, Yi-Shuai ; Ma, Chaoqun ; Kong, Xiaolin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000569.

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2023Bayesian nonlinear expectation for time series modelling and its application to Bitcoin. (2023). Siu, Tak Kuen. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02255-z.

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2023Does the tail risk index matter in forecasting downside risk?. (2023). Yang, Jimmy J ; Liu, Hungchun ; Hung, Juicheng. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3451-3466.

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2023Forecasting realized volatility of Bitcoin: The informative role of price duration. (2023). Tabche, Ibrahim ; Slim, Skander ; Karathanasopoulos, Andreas ; Osman, Mohamed ; Koubaa, Yosra. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1909-1929.

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2024A 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.

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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
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]		article0
2019On the robustness of the principal volatility components In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article2
2019Forecasting Bitcoin risk measures: A robust approach In: International Journal of Forecasting.
[Full Text][Citation analysis]		article27
2021Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
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: 2		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
2020Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach In: Applied Economics.
[Full Text][Citation analysis]		article10
2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies In: Journal of Forecasting.
[Full Text][Citation analysis]		article3

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