Access Statistics for Luiz K. Hotta

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach 1 1 1 96 2 3 23 272
Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter? 0 2 6 13 10 26 57 72
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach 0 0 2 17 3 4 13 83
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations 0 0 1 275 1 1 7 515
MGARCH models: tradeoff between feasibility and flexibility 0 0 1 60 5 18 49 233
Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados 0 0 0 7 1 1 2 68
On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 0 58 1 7 17 113
On the robustness of the principal volatility components 0 0 0 25 3 5 9 79
Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk 0 0 3 68 3 9 21 146
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 0 17 4 6 17 66
Total Working Papers 1 3 14 636 33 80 215 1,647
7 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
ALTERNATIVE MODELS TO EXTRACT ASSET VOLATILITY: A COMPARATIVE STUDY 0 0 0 3 1 2 6 22
Aggregation and Disaggregation of Structural Time Series Models 0 0 0 2 1 1 5 11
An analysis of contagion among Asian countries using the canonical model of contagion 0 0 0 7 2 3 6 53
Bayesian Melding Estimation of a Stochastic SEIR Model 0 0 0 74 6 7 14 227
Bayesian extensions to Diebold-Li term structure model 0 0 1 76 1 3 14 224
Bootstrap prediction in univariate volatility models with leverage effect 0 0 2 8 2 3 11 50
Covariance Prediction in Large Portfolio Allocation 0 0 0 11 3 6 15 81
Effect of outliers on forecasting temporally aggregated flow variables 0 0 0 33 1 2 7 138
Estimation of VaR Using Copula and Extreme Value Theory 0 0 2 55 5 9 22 174
Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables 0 0 0 0 3 4 9 12
Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model 0 0 0 2 1 1 6 22
Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH 0 0 0 2 1 4 6 29
Fitting Distributions with the Polyhazard Model with Dependence 0 0 0 0 3 4 8 12
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach 0 0 1 4 1 4 11 38
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations 0 0 1 14 0 2 12 51
IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS 0 0 2 4 0 0 9 30
Indirect Inference in fractional short-term interest rate diffusions 0 0 1 3 1 1 5 44
MGARCH models: Trade-off between feasibility and flexibility 0 0 0 28 1 3 10 168
On the robustness of the principal volatility components 0 0 1 9 0 1 12 49
Out-of-Sample Predictability of the Equity Risk Premium 0 0 0 1 3 6 14 29
Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models 0 0 0 1 2 3 9 20
Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting 0 0 0 4 4 5 11 32
Seasonal adjustment of brazilian time series 0 0 0 0 1 2 7 15
THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS 0 0 2 8 1 3 9 27
The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil 0 0 0 7 2 7 18 84
The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models 0 0 1 19 5 5 8 64
Total Journal Articles 0 0 14 375 51 91 264 1,706

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Statistics updated 2026-05-06