Carlos Trucíos

University of Campinas (UNICAMP) - Department of Statistics

PhD Student

Campinas, São Paulo, 13083-859

Brazil

  • University of Campinas (UNICAMP) - Department of Statistics

SCHOLARLY PAPERS

16

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38

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Scholarly Papers (16)

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1.

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
University of Campinas (UNICAMP) - Department of Statistics, Rajagiri Business School and University of Auckland
Downloads 251 (210,109)
Citation 2

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

2.

A Comparison of Methods for Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies

Number of pages: 33 Posted: 01 Mar 2022 Last Revised: 03 Nov 2022
Carlos Trucíos and James W. Taylor
University of Campinas (UNICAMP) - Department of Statistics and University of Oxford - Said Business School
Downloads 221 (236,686)

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digital assets, forecast combining, model misspecification, outliers, risk measures, structural breaks.

3.

Forecasting Bitcoin Risk Measures: A Robust Approach

Number of pages: 25 Posted: 18 Jun 2018 Last Revised: 13 Dec 2018
Carlos Trucíos
University of Campinas (UNICAMP) - Department of Statistics
Downloads 180 (286,298)
Citation 5

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

4.

Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: A General Dynamic Factor Model Approach

Number of pages: 26 Posted: 02 Feb 2021 Last Revised: 10 Mar 2021
Marc Hallin and Carlos Trucíos
ECARES, Universite Libre de Bruxelles and University of Campinas (UNICAMP) - Department of Statistics
Downloads 144 (345,708)
Citation 1

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conditional covariance, high-dimensional time series, large panels, risk measures, volatility

5.

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
University of Campinas (UNICAMP) - Department of Statistics, University of Campinas (UNICAMP) - Department of Statistics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 142 (349,592)
Citation 3

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

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
University of Campinas (UNICAMP) - Department of Statistics, Charles III University of 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 136 (359,542)
Citation 4

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

7.

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
University of Campinas (UNICAMP) - Department of Statistics, University of Campinas (UNICAMP) - Department of Statistics and Charles III University of Madrid - Department of Statistics and Econometrics
Downloads 110 (423,711)
Citation 3

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

8.

Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies using Combinations based on Jump-Robust and Regime-Switching Models

Number of pages: 22 Posted: 02 Feb 2021
Carlos Trucíos and James W. Taylor
University of Campinas (UNICAMP) - Department of Statistics and University of Oxford - Said Business School
Downloads 99 (456,416)
Citation 6

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digital assets, model misspecification, outliers, risk measures, structural breaks, volatility

9.

Bootstrap Prediction in Univariate Volatility Models with Leverage Effect

Number of pages: 21 Posted: 14 Oct 2013
Carlos Trucíos and Luiz Koodi Hotta
University of Campinas (UNICAMP) - Department of Statistics and University of Campinas (UNICAMP) - Department of Statistics
Downloads 97 (459,496)
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

10.

Using Hierarchical Risk Parity in the Brazilian Market: An Out-of-Sample Analysis

Number of pages: 21 Posted: 20 Aug 2023
Felipe Reis, Anderson Sobreira, Carlos Trucíos and Boris Asrilhant
Federal University of Rio de Janeiro, Federal University of Rio de Janeiro, University of Campinas (UNICAMP) - Department of Statistics and Federal University of Rio de Janeiro
Downloads 78 (525,611)

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Asset Allocation; Diversification; Machine Learning; Markowitz; Portfolio Selection

11.

Covariance Prediction in Large Portfolio Allocation

Number of pages: 22 Posted: 10 Jan 2019
Carlos Trucíos, Mauricio Zevallos, Luiz Koodi Hotta and André Santos
University of Campinas (UNICAMP) - Department of Statistics, Universidade Estadual de Campinas (UNICAMP), University of Campinas (UNICAMP) - Department of Statistics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 60 (604,405)
Citation 5

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minimum variance portfolio, risk, shrinkage, S&P500

12.

R package RobGARCHBoot

Number of pages: 7 Posted: 23 Dec 2019
Carlos Trucíos
University of Campinas (UNICAMP) - Department of Statistics
Downloads 57 (624,908)

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Bootstrap, GARCH, Robust, Volatility

13.

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
University of Campinas (UNICAMP) - Department of Statistics, Charles III University of Madrid, University of Campinas (UNICAMP) - Department of Statistics, Sao Paulo School of Economics - FGV and CEQEF- FGV and ECARES, Universite Libre de Bruxelles
Downloads 38 (734,171)
Citation 2

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Dimension reduction, Forecast, Jumps, Large panels

14.

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
University of Campinas (UNICAMP) - Department of Statistics, Universidade Estadual de Campinas (UNICAMP), University of Campinas (UNICAMP) - Department of Statistics and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 34 (770,644)

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

15.

Does Portfolio Resampling Really Improve Out-of-Sample Performance? Evidence From the Brazilian Market

Number of pages: 22 Posted: 21 Nov 2022
Andre Barbosa Oliveira, Carlos Trucíos and Pedro L. Valls Pereira
UFF - Universidade Federal Fluminense - Departamento de Economia, University of Campinas (UNICAMP) - Department of Statistics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 29 (802,188)

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Bootstrapping; Covariance Matrix; Diversification; Efficient Frontier; Markowitz; Portfolio Allocation.

16.

Does Portfolio Resampling Really Improve Out-of-Sample Performance? Evidence from the Brazilian and Us Markets

Number of pages: 28 Posted: 26 Jul 2023
Andre Oliveira, Carlos Trucíos and Pedro L. Valls Pereira
affiliation not provided to SSRN, University of Campinas (UNICAMP) - Department of Statistics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 10 (979,036)

Abstract:

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Bootstrapping, Covariance Matrix, Diversification, Efficient Frontier, Markowitz, Portfolio Allocation