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Covariance prediction in large portfolio allocation

Trucíos, Carlos; Zevallos, Mauricio; Hotta, Luiz K.; … - In: Econometrics 7 (2019) 2, 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/10012696234

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

Filtragem e previsao com modelos de volatilidade: volatilidade estocástica versus GARCH

Herencia, Mauricio Zevallos; Hotta, Luiz K.; Pereira, … - In: Revista brasileira de economia : RBE ; revista da … (1998) 2, pp. 241-278

Persistent link: https://www.econbiz.de/10008049317

An analysis of contagion among Asian countries using the canonical model of contagion

Ribeiro, André L.P.; Hotta, Luiz K. - In: International review of financial analysis 29 (2013), pp. 62-69

Persistent link: https://www.econbiz.de/10010168907

Quasi-maximum likelihood estimation of long-memory stochastic volatility models

Ferraz, Rosemeire O.; Hotta, Luiz K. - In: Brazilian review of econometrics : the review of the … 27 (2007) 2, pp. 225-233

Persistent link: https://www.econbiz.de/10009068988

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/10009084430

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

Covariance Prediction in Large Portfolio Allocation

Trucíos, Carlos - 2019

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 one-step-ahead...

Persistent link: https://www.econbiz.de/10012895989

An analysis of contagion among Asian countries using the canonical model of contagion

Ribeiro, André L. P.; Hotta, Luiz K. - In: International review of financial analysis 29 (2013), pp. 62-69

Persistent link: https://www.econbiz.de/10010244127

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