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 3 7 14 260
Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter? 0 0 5 10 8 12 26 36
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach 0 1 2 17 0 4 6 75
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations 0 1 1 275 2 3 5 512
MGARCH models: tradeoff between feasibility and flexibility 0 0 1 60 3 9 12 194
Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados 0 0 0 7 0 1 5 67
On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 0 58 2 3 4 100
On the robustness of the principal volatility components 0 0 0 25 2 3 4 74
Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk 0 0 4 68 1 1 8 132
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 1 17 2 5 10 55
Total Working Papers 0 2 15 632 23 48 94 1,505
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 0 1 3 19
Aggregation and Disaggregation of Structural Time Series Models 0 0 0 2 1 2 2 8
An analysis of contagion among Asian countries using the canonical model of contagion 0 0 0 7 1 2 3 50
Bayesian Melding Estimation of a Stochastic SEIR Model 0 0 0 74 2 3 4 216
Bayesian extensions to Diebold-Li term structure model 0 1 5 76 1 3 13 217
Bootstrap prediction in univariate volatility models with leverage effect 0 1 3 8 1 4 7 45
Covariance Prediction in Large Portfolio Allocation 0 0 1 11 2 3 6 71
Effect of outliers on forecasting temporally aggregated flow variables 0 0 0 33 1 1 1 132
Estimation of VaR Using Copula and Extreme Value Theory 1 1 2 54 3 6 9 158
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 0 4 5 20
Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH 0 0 0 2 1 1 2 24
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 1 1 4 30
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations 0 0 2 14 2 3 7 43
IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS 0 0 2 4 0 2 7 26
Indirect Inference in fractional short-term interest rate diffusions 0 1 1 3 1 3 5 42
MGARCH models: Trade-off between feasibility and flexibility 0 0 0 28 2 6 10 164
On the robustness of the principal volatility components 0 0 0 8 3 4 7 41
Out-of-Sample Predictability of the Equity Risk Premium 0 0 1 1 0 1 19 19
Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models 0 0 0 1 1 3 5 15
Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting 0 0 0 4 1 2 3 24
Seasonal adjustment of brazilian time series 0 0 0 0 0 2 2 10
THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS 1 1 2 8 2 3 6 22
The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil 0 0 0 7 2 5 9 72
The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models 0 0 1 19 0 1 2 58
Total Journal Articles 2 5 21 373 28 66 144 1,534

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Statistics updated 2026-01-09