Mauricio Zevallos

Universidade Estadual de Campinas (UNICAMP)

Rua Sérgio Buarque de Holanda, 651

Cidade Universitaria, Barao Geraldo

Campinas, Sao Paulo

Brazil

SCHOLARLY PAPERS

4

DOWNLOADS

301

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

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 (140,085)

Abstract:

Loading...

Contagion, Conditional Correlation, Financial Crises

2.

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 (518,173)
Citation 1

Abstract:

Loading...

minimum variance portfolio, risk, shrinkage, S&P500

3.

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 (529,462)
Citation 1

Abstract:

Loading...

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

4.

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 (647,528)

Abstract:

Loading...

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