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 95 2 5 11 257
Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter? 0 0 5 10 2 5 18 28
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach 1 1 2 17 3 4 6 75
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations 0 1 1 275 0 1 3 510
MGARCH models: tradeoff between feasibility and flexibility 0 1 1 60 5 7 10 191
Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados 0 0 0 7 1 1 5 67
On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 0 58 0 1 2 98
On the robustness of the principal volatility components 0 0 0 25 1 1 2 72
Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk 0 1 4 68 0 1 7 131
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 1 17 3 3 8 53
Total Working Papers 1 4 15 632 17 29 72 1,482
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 1 3 19
Aggregation and Disaggregation of Structural Time Series Models 0 0 0 2 1 1 1 7
An analysis of contagion among Asian countries using the canonical model of contagion 0 0 0 7 1 2 2 49
Bayesian Melding Estimation of a Stochastic SEIR Model 0 0 0 74 0 1 3 214
Bayesian extensions to Diebold-Li term structure model 1 1 6 76 1 2 13 216
Bootstrap prediction in univariate volatility models with leverage effect 1 1 3 8 1 3 6 44
Covariance Prediction in Large Portfolio Allocation 0 0 1 11 1 1 4 69
Effect of outliers on forecasting temporally aggregated flow variables 0 0 0 33 0 0 1 131
Estimation of VaR Using Copula and Extreme Value Theory 0 0 1 53 1 3 6 155
Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables 0 0 0 0 0 0 1 4
Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model 0 0 0 2 2 4 5 20
Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH 0 0 0 2 0 0 1 23
Fitting Distributions with the Polyhazard Model with Dependence 0 0 0 0 0 0 2 4
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach 0 0 1 4 0 0 3 29
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations 0 0 2 14 0 1 5 41
IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS 0 0 2 4 2 2 7 26
Indirect Inference in fractional short-term interest rate diffusions 1 1 1 3 2 2 4 41
MGARCH models: Trade-off between feasibility and flexibility 0 0 0 28 2 4 8 162
On the robustness of the principal volatility components 0 0 0 8 0 1 4 38
Out-of-Sample Predictability of the Equity Risk Premium 0 0 1 1 1 1 19 19
Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models 0 0 0 1 0 2 4 14
Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting 0 0 0 4 0 1 2 23
Seasonal adjustment of brazilian time series 0 0 0 0 1 2 2 10
THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS 0 0 1 7 1 1 4 20
The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil 0 0 0 7 1 4 7 70
The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models 0 0 1 19 1 1 2 58
Total Journal Articles 3 3 20 371 20 40 119 1,506

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Statistics updated 2025-12-06