Luiz Koodi Hotta

University of Campinas (UNICAMP) - Department of Statistics

Campinas, São Paulo 13083-859

Brazil

  • University of Campinas (UNICAMP) - Department of Statistics

SCHOLARLY PAPERS

11

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12

Scholarly Papers (11)

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1.

Estimation of VAR Using Copula and Extreme Value Theory

Downloads 2,348 ( 8,390)
Citation 7

Estimation of VAR Using Copula and Extreme Value Theory

Multinational Finance Journal, 2008, vol. 12, no. 3/4, pp. 205–218
Number of pages: 14 Posted: 15 Jun 2006 Last Revised: 19 Oct 2013
Luiz Koodi Hotta, Edimilson C. Lucas and Helder P. Palaro
University of Campinas (UNICAMP) - Department of Statistics, Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and Independent
Downloads 2,279 (8,649)
Citation 2

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Conditional Copula, Risk Measures, Value at Risk, Extreme Value Theory

Estimation of VAR Using Copula and Extreme Value Theory

Multinational Finance Journal, Vol. 12, No. 3/4, p. 205-218, 2008
Number of pages: 14 Posted: 26 Jun 2015
Luiz Koodi Hotta, Edimilson C. Lucas and Helder P. Palaro
University of Campinas (UNICAMP) - Department of Statistics, Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and Independent
Downloads 69 (446,092)
Citation 2

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conditional copula; risk measures; VaR, extreme value theory

2.

Using Conditional Copula to Estimate Value at Risk

Journal of Data Science 4(2006), 93-115
Number of pages: 23 Posted: 13 Oct 2005 Last Revised: 19 Oct 2013
Helder P. Palaro and Luiz Koodi Hotta
Independent and University of Campinas (UNICAMP) - Department of Statistics
Downloads 1,920 (11,697)
Citation 7

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Copula, multivariate distribution function, value-at-risk

3.

Analysis of Contagion in Emerging Markets

Journal of Data Science 6(2008), 601-626
Number of pages: 26 Posted: 13 Mar 2007 Last Revised: 19 Oct 2013
Juliana de Paula, Luiz Koodi Hotta and Mauricio Zevallos
Universidade Estadual de Campinas (UNICAMP), University of Campinas (UNICAMP) - Department of Statistics and Universidade Estadual de Campinas (UNICAMP)
Downloads 248 (168,495)

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Contagion, Conditional Correlation, Financial Crises

4.

On the Robustness of the Principal Volatility Components

Number of pages: 37 Posted: 19 Mar 2018 Last Revised: 12 Dec 2018
Carlos Trucíos, Luiz Koodi Hotta and Pedro L. Valls Pereira
Universidade Federal do Rio de Janeiro (UFRJ) - Faculdade de Administracao e Ciencias Contabeis - FACC, University of Campinas (UNICAMP) - Department of Statistics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 93 (370,876)
Citation 3

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Conditional Covariance Matrix, Constant Volatility, Curse of Dimensionality, Jumps, Outliers, Principal Components

5.

Robust Bootstrap Densities for Dynamic Conditional Correlations: Implications for Portfolio Selection and Value-at-Risk

Number of pages: 25 Posted: 17 May 2017
Carlos Trucíos, Luiz Koodi Hotta and Esther Ruiz
Universidade Federal do Rio de Janeiro (UFRJ) - Faculdade de Administracao e Ciencias Contabeis - FACC, University of Campinas (UNICAMP) - Department of Statistics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 90 (378,439)
Citation 2

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Forecast Density, MGARCH, Minimum Variance Portfolio, Outliers, VaR.

6.

Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach

Number of pages: 36 Posted: 17 Jun 2019 Last Revised: 28 Sep 2020
Carlos Trucíos, João Henrique Gonçalves Mazzeu, Marc Hallin, Luiz Koodi Hotta, Pedro L. Valls Pereira and Mauricio Zevallos
Universidade Federal do Rio de Janeiro (UFRJ) - Faculdade de Administracao e Ciencias Contabeis - FACC, Universidad Carlos III de Madrid, ECARES, Universite Libre de Bruxelles, University of Campinas (UNICAMP) - Department of Statistics, Sao Paulo School of Economics - FGV and CEQEF- FGV and Universidade Estadual de Campinas (UNICAMP)
Downloads 79 (408,826)
Citation 3

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Dimension reduction, Large panels, High-dimensional time series, Minimum variance portfolio, Volatility, Multivariate GARCH

7.

Bootstrap Prediction in Univariate Volatility Models with Leverage Effect

Number of pages: 21 Posted: 14 Oct 2013
Carlos Trucíos and Luiz Koodi Hotta
Universidade Federal do Rio de Janeiro (UFRJ) - Faculdade de Administracao e Ciencias Contabeis - FACC and University of Campinas (UNICAMP) - Department of Statistics
Downloads 70 (437,101)
Citation 3

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Interval prediction, Volatility interval prediction, interval prediction and outlier, interval prediction in EGARCH model, interval prediction in GJR-GARCH model, skew distribution

8.

Covariance Prediction in Large Portfolio Allocation

Number of pages: 22 Posted: 10 Jan 2019
Carlos Trucíos, Mauricio Zevallos, Luiz Koodi Hotta and André Santos
Universidade Federal do Rio de Janeiro (UFRJ) - Faculdade de Administracao e Ciencias Contabeis - FACC, Universidade Estadual de Campinas (UNICAMP), University of Campinas (UNICAMP) - Department of Statistics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 39 (564,831)
Citation 3

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minimum variance portfolio, risk, shrinkage, S&P500

9.

Robustness and the General Dynamic Factor Model With Infinite-Dimensional Space: Identification, Estimation, and Forecasting

Number of pages: 33 Posted: 15 Jan 2020 Last Revised: 30 Sep 2020
Carlos Trucíos, João Henrique Gonçalves Mazzeu, Luiz Koodi Hotta, Pedro L. Valls Pereira and Marc Hallin
Universidade Federal do Rio de Janeiro (UFRJ) - Faculdade de Administracao e Ciencias Contabeis - FACC, Universidad Carlos III de Madrid, University of Campinas (UNICAMP) - Department of Statistics, Sao Paulo School of Economics - FGV and CEQEF- FGV and ECARES, Universite Libre de Bruxelles
Downloads 21 (676,682)
Citation 1

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Dimension reduction, Forecast, Jumps, Large panels

10.

Covariance Prediction in Large Portfolio Allocation: Supplementary Material

Number of pages: 11 Posted: 11 Jun 2019
Carlos Trucíos, Mauricio Zevallos, Luiz Koodi Hotta and André Santos
Universidade Federal do Rio de Janeiro (UFRJ) - Faculdade de Administracao e Ciencias Contabeis - FACC, Universidade Estadual de Campinas (UNICAMP), University of Campinas (UNICAMP) - Department of Statistics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 15 (722,939)

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minimum variance portfolio, risk, shrinkage, S&P 500

11.

Equity Premium Prediction by Sparse Pooling of Parsimonious State-Dependent Models

Posted: 16 Aug 2018
Daniel de Almeida, Ana-Maria Fuertes and Luiz Koodi Hotta
Universidad Carlos III de Madrid, Bayes Business School, City, University of London and University of Campinas (UNICAMP) - Department of Statistics

Abstract:

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Equity Risk Premium, Forecast Combination, Technical Indicators, Out-of-Sample, Business Cycles