Luiz Koodi Hotta

University of Campinas (UNICAMP) - Department of Statistics

Campinas, São Paulo 13083-859

Brazil

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 34,122

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9

CROSSREF CITATIONS

12

Scholarly Papers (11)

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 2,193 (6,829)
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 50 (429,138)

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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 1,746 (10,199)
Citation 6

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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 239 (140,181)

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Contagion, Conditional Correlation, Financial Crises

4.

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 74 (347,306)
Citation 1

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

5.

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 (358,135)
Citation 2

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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

6.

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
Sao Paulo School of Economics, FGV., University of Campinas (UNICAMP) - Department of Statistics and Sao Paulo School of Economics - FGV and CEQEF- FGV
Downloads 69 (360,937)
Citation 2

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

7.

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 (518,519)
Citation 1

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minimum variance portfolio, risk, shrinkage, S&P500

8.

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 26 (529,866)
Citation 1

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

9.

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 11 (626,951)

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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
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 (648,126)

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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, Cass Business School, City University of London and University of Campinas (UNICAMP) - Department of Statistics

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