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Bayesian extensions to Diebold-Li term structure model

Laurini, Márcio Poletti; Hotta, Luiz K. - In: International review of financial analysis 19 (2010) 5, pp. 342-350

Persistent link: https://www.econbiz.de/10009272648

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/10003743610

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

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

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