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Seasonal adjustment of Brazilian time series

Hotta, Luiz K. - In: Revista de econometria 8 (1988) 1, pp. 83-95

Persistent link: https://www.econbiz.de/10001072478

The effect of overlapping aggregation on time series models : an application to the unemployment rate in Brazil

Hotta, Luiz K. - In: Revista de econometria 12 (1992) 2, pp. 223-240

Persistent link: https://www.econbiz.de/10001144568

Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach

Trucíos, Carlos; Mazzeu, João H. G.; Hallin, Marc; … - 2019

Persistent link: https://www.econbiz.de/10012064776

Covariance prediction in large portfolio allocation

Trucíos, Carlos; Zevallos, Mauricio; Hotta, Luiz K.; … - In: Econometrics : open access journal 7 (2019) 2/19, pp. 1-24

Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict...

Persistent link: https://www.econbiz.de/10012025822

MGARCH models: trade-off between feasibility and flexibility

Almeida, Daniel de; Hotta, Luiz K.; Ruiz, Esther - In: International journal of forecasting 34 (2018) 1, pp. 45-63

Persistent link: https://www.econbiz.de/10012030840

Forecasting the term structure of interest rates using integrated nested Laplace approximations

Laurini, Márcio Poletti; Hotta, Luiz K. - In: Journal of forecasting 33 (2014) 3, pp. 214-230

Persistent link: https://www.econbiz.de/10010424830

On the robustness of the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting

Trucíos, Carlos; Mazzeu, João H. G.; Hotta, Luiz K.; … - 2019

Persistent link: https://www.econbiz.de/10012179660

On the robustness of the principal volatility components

Trucíos, Carlos; Hotta, Luiz K.; Pereira, Pedro L. Valls - In: Journal of empirical finance 52 (2019), pp. 201-219

Persistent link: https://www.econbiz.de/10012171112

Exact maximum likelihood and Bayesian estimation of the stochastic volatility model

Motta, Anderson C. O.; Hotta, Luiz K. - In: Brazilian review of econometrics : the review of the … 23 (2003) 2, pp. 183-226

Persistent link: https://www.econbiz.de/10002091175

Estimação de equações diferenciais estocásticas usando verossimilhança empírica e mínimo contraste generalizado

Laurini, Márcio Poletti; Hotta, Luiz K. - 2009

Persistent link: https://www.econbiz.de/10008797386

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