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 0 0 1 96 0 1 21 273
Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter? 1 2 5 15 2 7 56 79
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach 0 0 1 17 0 1 13 84
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations 0 0 1 275 0 0 7 515
MGARCH models: tradeoff between feasibility and flexibility 0 0 1 60 0 1 50 234
Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados 0 0 0 7 0 0 2 68
On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 0 58 0 1 17 114
On the robustness of the principal volatility components 0 0 0 25 0 4 13 83
Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk 0 0 1 68 0 3 19 149
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 0 17 0 2 18 68
Total Working Papers 1 2 10 638 2 20 216 1,667
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 2 3 8 25
Aggregation and Disaggregation of Structural Time Series Models 0 0 0 2 1 1 6 12
An analysis of contagion among Asian countries using the canonical model of contagion 0 0 0 7 0 1 7 54
Bayesian Melding Estimation of a Stochastic SEIR Model 0 0 0 74 0 0 14 227
Bayesian extensions to Diebold-Li term structure model 0 0 1 76 1 2 12 226
Bootstrap prediction in univariate volatility models with leverage effect 0 0 1 8 0 1 11 51
Covariance Prediction in Large Portfolio Allocation 0 0 0 11 0 3 17 84
Effect of outliers on forecasting temporally aggregated flow variables 0 0 0 33 0 0 7 138
Estimation of VaR Using Copula and Extreme Value Theory 1 1 3 56 3 6 28 180
Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables 0 0 0 0 0 2 11 14
Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model 0 0 0 2 0 0 6 22
Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH 0 0 0 2 2 2 8 31
Fitting Distributions with the Polyhazard Model with Dependence 0 0 0 0 0 0 8 12
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach 0 0 0 4 2 2 11 40
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations 0 0 0 14 1 3 14 54
IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS 0 0 0 4 0 1 8 31
Indirect Inference in fractional short-term interest rate diffusions 0 0 1 3 0 0 5 44
MGARCH models: Trade-off between feasibility and flexibility 0 0 0 28 0 6 16 174
On the robustness of the principal volatility components 0 0 1 9 0 0 12 49
Out-of-Sample Predictability of the Equity Risk Premium 0 0 0 1 0 0 12 29
Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models 0 0 0 1 1 2 11 22
Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting 0 0 0 4 0 1 11 33
Seasonal adjustment of brazilian time series 0 0 0 0 0 0 7 15
THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS 0 0 1 8 1 1 9 28
The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil 0 0 0 7 0 0 18 84
The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models 0 0 0 19 1 2 9 66
Total Journal Articles 1 1 8 376 15 39 286 1,745

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Statistics updated 2026-08-07