Carlos Trucíos

Sao Paulo School of Economics, FGV.

Postdoctoral Research Fellow

Rua Itapeva 474 s.1202

São Paulo, São Paulo 01332-000

Brazil

http://ctrucios.wixsite.com/personal

SCHOLARLY PAPERS

10

DOWNLOADS

412

SSRN CITATIONS

7

CROSSREF CITATIONS

0

Scholarly Papers (10)

1.

Forecasting Bitcoin Risk Measures: A Robust Approach

Number of pages: 25 Posted: 18 Jun 2018 Last Revised: 13 Dec 2018
Carlos Trucíos
Sao Paulo School of Economics, FGV.
Downloads 90 (292,629)
Citation 1

Abstract:

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Cryptocurrency, GARCH, Model Confidence Set, Outliers, Realised Volatility, Value-at-Risk

2.

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
Sao Paulo School of Economics, FGV., University of Campinas (UNICAMP) - Department of Statistics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 72 (334,210)
Citation 1

Abstract:

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

3.

Bootstrap Prediction in Univariate Volatility Models with Leverage Effect

Number of pages: 21 Posted: 14 Oct 2013
Carlos Trucíos and Luiz Koodi Hotta
Sao Paulo School of Economics, FGV. and University of Campinas (UNICAMP) - Department of Statistics
Downloads 70 (339,494)
Citation 2

Abstract:

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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

4.

On the Robustness of the Principal Volatility Components

Number of pages: 37 Posted: 19 Mar 2018 Last Revised: 12 Dec 2018
Sao Paulo School of Economics, FGV., University of Campinas (UNICAMP) - Department of Statistics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 63 (358,881)
Citation 1

Abstract:

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

5.

Value-at-Risk and Expected Shortfall in Cryptocurrencies' Portfolio: A Vine Copula-based Approach

Number of pages: 28 Posted: 24 Aug 2019 Last Revised: 18 Nov 2019
Carlos Trucíos, Aviral Kumar Tiwari and Faisal Alqahtani
Sao Paulo School of Economics, FGV., IFHE University (ICFAI) - Faculty of Management and University of Auckland
Downloads 41 (433,408)

Abstract:

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Cryptocurrency, GAS, GARCH, Pair-copula, Risk Measures, Volatility

6.

Covariance Prediction in Large Portfolio Allocation

Number of pages: 22 Posted: 10 Jan 2019
Sao Paulo School of Economics, FGV., Universidade Estadual de Campinas (UNICAMP), University of Campinas (UNICAMP) - Department of Statistics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 28 (492,130)

Abstract:

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minimum variance portfolio, risk, shrinkage, S&P500

7.

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

Number of pages: 32 Posted: 17 Jun 2019
Sao Paulo School of Economics, FGV., 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 21 (531,964)
Citation 1

Abstract:

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

8.

R package RobGARCHBoot

Number of pages: 7 Posted: 23 Dec 2019
Carlos Trucíos
Sao Paulo School of Economics, FGV.
Downloads 12 (587,772)

Abstract:

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Bootstrap, GARCH, Robust, Volatility

9.

Covariance Prediction in Large Portfolio Allocation: Supplementary Material

Number of pages: 11 Posted: 11 Jun 2019
Sao Paulo School of Economics, FGV., Universidade Estadual de Campinas (UNICAMP), University of Campinas (UNICAMP) - Department of Statistics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 8 (614,109)

Abstract:

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

10.

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

Number of pages: 40 Posted: 15 Jan 2020
Sao Paulo School of Economics, FGV., 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 7 (620,688)

Abstract:

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Dimension reduction, Forecast, Jumps, Large panels