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 1 13 22 270
Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter? 0 1 5 11 8 26 43 54
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach 0 0 2 17 1 5 10 80
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations 0 0 1 275 0 4 6 514
MGARCH models: tradeoff between feasibility and flexibility 0 0 1 60 10 34 42 225
Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados 0 0 0 7 0 0 2 67
On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 0 58 6 14 16 112
On the robustness of the principal volatility components 0 0 0 25 2 4 6 76
Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk 0 0 4 68 4 10 17 141
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 1 17 0 7 13 60
Total Working Papers 0 1 15 633 32 117 177 1,599
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 4 20
Aggregation and Disaggregation of Structural Time Series Models 0 0 0 2 0 3 4 10
An analysis of contagion among Asian countries using the canonical model of contagion 0 0 0 7 0 1 3 50
Bayesian Melding Estimation of a Stochastic SEIR Model 0 0 0 74 0 6 7 220
Bayesian extensions to Diebold-Li term structure model 0 0 4 76 1 6 15 222
Bootstrap prediction in univariate volatility models with leverage effect 0 0 2 8 0 3 8 47
Covariance Prediction in Large Portfolio Allocation 0 0 1 11 1 7 11 76
Effect of outliers on forecasting temporally aggregated flow variables 0 0 0 33 0 5 5 136
Estimation of VaR Using Copula and Extreme Value Theory 0 2 3 55 3 13 17 168
Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables 0 0 0 0 1 5 6 9
Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model 0 0 0 2 0 1 5 21
Filtragem e Previsão com Modelos de Voltalidade: Voltalidade Estocastica versus GARCH 0 0 0 2 1 3 3 26
Fitting Distributions with the Polyhazard Model with Dependence 0 0 0 0 1 5 5 9
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach 0 0 1 4 3 8 11 37
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations 0 0 1 14 2 10 13 51
IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS 0 0 2 4 0 4 9 30
Indirect Inference in fractional short-term interest rate diffusions 0 0 1 3 0 2 4 43
MGARCH models: Trade-off between feasibility and flexibility 0 0 0 28 0 3 9 165
On the robustness of the principal volatility components 0 1 1 9 0 10 12 48
Out-of-Sample Predictability of the Equity Risk Premium 0 0 1 1 1 5 11 24
Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models 0 0 0 1 0 3 6 17
Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting 0 0 0 4 0 4 6 27
Seasonal adjustment of brazilian time series 0 0 0 0 0 3 5 13
THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS 0 1 2 8 2 6 9 26
The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil 0 0 0 7 5 12 18 82
The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models 0 0 1 19 0 1 3 59
Total Journal Articles 0 4 20 375 21 130 209 1,636

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Statistics updated 2026-03-04