Mauricio Zevallos : Citation Profile

4

H index

1

i10 index

48

Citations

RESEARCH PRODUCTION:

16

Articles

4

Papers

1

Chapters

RESEARCH ACTIVITY:

   21 years (2004 - 2025). See details.
   Cites by year: 2
   Journals where Mauricio Zevallos has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 2 (4 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pze77
   Updated: 2026-05-02    RAS profile: 2026-02-18    
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Relations with other researchers

Works with:

Rubesam, Alexandre (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 (4)

Trucíos, Carlos (4)

Ruiz, Esther (3)

Broto, Carmen (3)

Hotta, Luiz (2)

Humala, Alberto (2)

Mollick, Andre (2)

Rodríguez, Gabriel (2)

Kapetanios, George (2)

Valls Pereira, Pedro (2)

Sprincean, Nicu (1)

Cites to:

Hallin, Marc (15)

Bollerslev, Tim (15)

Laurent, Sébastien (14)

Lippi, Marco (11)

Engle, Robert (11)

Forni, Mario (9)

Barigozzi, Matteo (7)

Patton, Andrew (7)

Acharya, Viral (7)

Diebold, Francis (6)

Andersen, Torben (5)

Main data

Where Mauricio Zevallos has published?

Journals with more than one article published# docs
Revista Economa4
Econometrics2

Recent works citing Mauricio Zevallos (2025 and 2024)

YearTitle of citing document
2026Same Error, Different Function: The Optimizer as an Implicit Prior in Financial Time Series. (2026). Beneventano, Pierfrancesco ; Poggio, Tomaso ; Crippa, Giulia ; Iannone, Giuseppe ; Cortesi, Federico Vittorio. In: Papers. RePEc:arx:papers:2603.02620.

Full description at Econpapers || Download paper

2026Regime-Aware Specialist Routing for Volatility Forecasting. (2026). Zhong, Tenghan. In: Papers. RePEc:arx:papers:2604.10402.

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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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2024Financial contagion dynamics from the US to the PIIGS amidst the global financial crisis. (2024). Tzomakas, Christos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924001017.

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2024Performance of crypto-Forex portfolios based on intraday data. (2024). Lopez, Raquel ; Esparcia, Carlos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000096.

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2025Linear and nonlinear econometric models against machine learning models: realized volatility prediction. (2025). Kili, Rehim. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-61.

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2026Extreme volatility of crude oil futures in the wake of a black swan event. (2026). Jin, YI ; Jiang, Wenting ; Yang, Wanping ; Ren, Xiaohang. In: Risk Management. RePEc:pal:risman:v:28:y:2026:i:2:d:10.1057_s41283-026-00198-8.

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2025Forecasting time series by long-memory models for count data with an application to price jumps. (2025). Grigoletto, Matteo ; Caporin, Massimiliano ; Bisaglia, Luisa. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:109:y:2025:i:3:d:10.1007_s10182-025-00538-1.

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2025Positive time series regression models: theoretical and computational aspects. (2025). Prass, Taiane Schaedler ; Pumi, Guilherme ; Taufemback, Cleiton Guollo ; Carlos, Jonas Hendler. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:3:d:10.1007_s00180-024-01531-z.

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2026Hierarchical risk clustering versus traditional risk-based portfolios: an empirical out-of-sample comparison. (2026). Trucíos, Carlos ; Trucos, Carlos. In: Empirical Economics. RePEc:spr:empeco:v:70:y:2026:i:3:d:10.1007_s00181-026-02900-x.

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2026Advances in forecasting realized volatility: a review of methodologies. (2026). Leushuis, Radmir Mishelevich ; Petkov, Nicolai. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-025-00809-5.

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2026Modeling long memory with zero-inflated geometric INAR(1) process and its $$\mathbb {Z}$$ Z -valued version. (2026). Yang, Yanqiu ; Zhu, Fukang ; Niu, Yixuan. In: Statistical Papers. RePEc:spr:stpapr:v:67:y:2026:i:3:d:10.1007_s00362-026-01827-w.

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2024Vine copula‐based scenario tree generation approaches for portfolio optimization. (2024). He, Xiaolei ; Zhang, Weiguo. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:1936-1955.

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2025Trading VIX on Volatility Forecasts: Another Volatility Puzzle?. (2025). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis ; Giannopoulos, George. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1602-1618.

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Works by Mauricio Zevallos:

YearTitleTypeCited
2004Analysis of the correlation structure of square time series In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article8
2023Estimation and forecasting of long memory stochastic volatility models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach In: Working Papers ECARES.
[Full Text][Citation analysis]		paper4
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: 4		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: 4		article
2013Minimum distance estimation of ARFIMA processes In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article2
2024Forecasting realized volatility: Does anything beat linear models? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article6
2024Forecasting realized volatility: Does anything beat linear models?.(2024) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2022Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models In: Econometrics.
[Full Text][Citation analysis]		article0
2019Covariance Prediction in Large Portfolio Allocation In: Econometrics.
[Full Text][Citation analysis]		article4
2008Estimación del riesgo bursátil peruano In: Revista Economía.
[Full Text][Citation analysis]		article2
2015Metal Returns, Stock Returns and Stock Market Volatility In: Revista Economía.
[Full Text][Citation analysis]		article2
2017 Metal Prices and International Market Risk in the Peruvian Stock Market In: Revista Economía.
[Full Text][Citation analysis]		article2
2019 UA Note on Forecasting Daily Peruvian Stock Market VolatilityRisk Using Intraday Returns In: Revista Economía.
[Full Text][Citation analysis]		article0
2010Estimación de capital por riesgo de precio: Evaluandometodologías para el caso peruano In: Revista Estudios Económicos.
[Full Text][Citation analysis]		article0
2014Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano In: Working Papers.
[Full Text][Citation analysis]		paper0
2024A Note About Calibration Tests for VaR and ES In: Springer Books.
[Citation analysis]		chapter0
2025Minimum distance estimation of long-memory stochastic duration models In: Communications in Statistics - Theory and Methods.
[Full Text][Citation analysis]		article0
2014Assessing stock market dependence and contagion In: Quantitative Finance.
[Full Text][Citation analysis]		article10
2011Fitting non‐Gaussian persistent data In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article3
2018Modeling and forecasting intraday VaR of an exchange rate portfolio In: Journal of Forecasting.
[Full Text][Citation analysis]		article5

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated March, 14 2026. Contact: CitEc Team