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 2 95 0 3 7 252
Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter? 1 3 8 10 4 8 18 23
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach 0 1 1 16 0 1 4 71
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations 0 0 0 274 0 0 1 508
MGARCH models: tradeoff between feasibility and flexibility 0 0 1 59 0 0 4 184
Modelos de fatores latentes generalizados para curvas de juros em múltiplos mercados 0 0 0 7 0 0 4 66
On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 1 58 0 1 2 97
On the robustness of the principal volatility components 0 0 0 25 0 0 0 70
Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk 1 2 3 67 1 5 6 130
Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting 0 0 1 17 1 1 5 50
Total Working Papers 2 6 17 628 6 19 51 1,451
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 2 3 0 1 3 17
Aggregation and Disaggregation of Structural Time Series Models 0 0 0 2 0 0 0 6
An analysis of contagion among Asian countries using the canonical model of contagion 0 0 0 7 0 0 1 47
Bayesian Melding Estimation of a Stochastic SEIR Model 0 0 1 74 0 0 4 213
Bayesian extensions to Diebold-Li term structure model 0 0 7 75 0 4 14 214
Bootstrap prediction in univariate volatility models with leverage effect 0 1 2 7 0 1 2 40
Covariance Prediction in Large Portfolio Allocation 0 0 1 11 0 1 2 67
Effect of outliers on forecasting temporally aggregated flow variables 0 0 0 33 0 0 7 131
Estimation of VaR Using Copula and Extreme Value Theory 0 0 2 53 0 0 5 152
Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables 0 0 0 0 0 0 0 3
Exact Maximum Likelihood and Bayesian Estimation of the Stochastic Volatility Model 0 0 0 2 0 0 2 16
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 1 1 4 1 2 6 29
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations 0 1 2 14 0 1 5 40
IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS 0 2 2 4 0 2 5 23
Indirect Inference in fractional short-term interest rate diffusions 0 0 0 2 0 0 2 39
MGARCH models: Trade-off between feasibility and flexibility 0 0 0 28 0 0 5 158
On the robustness of the principal volatility components 0 0 0 8 0 0 3 37
Out-of-Sample Predictability of the Equity Risk Premium 0 0 1 1 0 2 17 17
Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models 0 0 0 1 0 0 2 11
Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting 0 0 0 4 0 1 1 22
Seasonal adjustment of brazilian time series 0 0 0 0 0 0 0 8
THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS 0 1 1 7 0 1 4 19
The Effect of Overlapping Aggregation on Time Series Models: An Application to the Unemployment Rate in Brazil 0 0 0 7 0 0 3 66
The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models 0 1 1 19 0 1 1 57
Total Journal Articles 0 7 23 368 1 17 97 1,459

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Statistics updated 2025-08-05