4
H index
1
i10 index
39
Citations
Mauricio Zevallos : Citation Profile
| RESEARCH PRODUCTION: 16 Articles 4 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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21 years (2004 - 2025). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Mauricio Zevallos. | Is cited by:
| Cites to:
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Main data
Where Mauricio Zevallos has published?
| Journals with more than one article published | # docs |
|---|---|
| Revista Economa | 4 |
| Econometrics | 2 |
Recent works citing Mauricio Zevallos (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Inferential 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. Full description at Econpapers || Download paper |
| 2024 | Financial 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. Full description at Econpapers || Download paper |
| 2024 | Performance 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. Full description at Econpapers || Download paper |
| 2025 | Linear 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. Full description at Econpapers || Download paper |
| 2025 | Positive 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. Full description at Econpapers || Download paper |
| 2024 | Vine 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. Full description at Econpapers || Download paper |
| 2025 | Trading 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. Full description at Econpapers || Download paper |
Works by Mauricio Zevallos:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2004 | Analysis of the correlation structure of square time series In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 8 |
| 2023 | Estimation and forecasting of long memory stochastic volatility models In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 4 |
| 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: 4 | 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: 4 | article | |
| 2013 | Minimum distance estimation of ARFIMA processes In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 2 |
| 2024 | Forecasting realized volatility: Does anything beat linear models? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 2 |
| 2024 | Forecasting realized volatility: Does anything beat linear models?.(2024) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2022 | Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models In: Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Covariance Prediction in Large Portfolio Allocation In: Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2008 | Estimación del riesgo bursátil peruano In: Revista Economía. [Full Text][Citation analysis] | article | 2 |
| 2015 | Metal Returns, Stock Returns and Stock Market Volatility In: Revista Economía. [Full Text][Citation analysis] | article | 2 |
| 2017 | Metal Prices and International Market Risk in the Peruvian Stock Market In: Revista Economía. [Full Text][Citation analysis] | article | 0 |
| 2019 | UA Note on Forecasting Daily Peruvian Stock Market VolatilityRisk Using Intraday Returns In: Revista Economía. [Full Text][Citation analysis] | article | 0 |
| 2010 | Estimación de capital por riesgo de precio: Evaluandometodologías para el caso peruano In: Revista Estudios Económicos. [Full Text][Citation analysis] | article | 0 |
| 2014 | Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Minimum distance estimation of long-memory stochastic duration models In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
| 2014 | Assessing stock market dependence and contagion In: Quantitative Finance. [Full Text][Citation analysis] | article | 10 |
| 2011 | Fitting non‐Gaussian persistent data In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 1 |
| 2018 | Modeling and forecasting intraday VaR of an exchange rate portfolio In: Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team