3
H index
1
i10 index
48
Citations
Carlos TrucÃos : Citation Profile
| RESEARCH PRODUCTION: 9 Articles 5 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 TrucÃos. | Is cited by:
| Cites to:
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Main data
Where Carlos TrucÃos 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 |
|---|---|
| Textos para discussão / FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) | 2 |
| Working Papers ECARES / ULB -- Universite Libre de Bruxelles | 2 |
Recent works citing Carlos TrucÃos (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
| 2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359. 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 |
| 2023 | Tail 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. Full description at Econpapers || Download paper |
| 2023 | Diversification 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. Full description at Econpapers || Download paper |
| 2023 | Return-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. Full description at Econpapers || Download paper |
| 2023 | Machine 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. 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 |
| 2023 | Futures 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. Full description at Econpapers || Download paper |
| 2023 | Changes 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. Full description at Econpapers || Download paper |
| 2023 | Bayesian 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. Full description at Econpapers || Download paper |
| 2023 | Does 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. Full description at Econpapers || Download paper |
| 2023 | Forecasting 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. 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 |
| 2023 | . Full description at Econpapers || Download paper |
Works by Carlos TrucÃos:
| 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 | 0 |
| 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: 0 | 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: 0 | article | |
| 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 | 2 |
| 2019 | Forecasting Bitcoin risk measures: A robust approach In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 26 |
| 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 | 2 |
| 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: 2 | 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 | 9 |
| 2023 | A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies In: Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
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