Luiz Koodi Hotta

University of Campinas (UNICAMP) - Department of Statistics

Campinas, São Paulo 13083-859

Brazil

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 12,532

SSRN RANKINGS

Top 12,532

in Total Papers Downloads

4,719

SSRN CITATIONS
Rank 26,898

SSRN RANKINGS

Top 26,898

in Total Papers Citations

22

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 2,240 (7,680)
Citation 2

Abstract:

Loading...

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 63 (422,794)
Citation 2

Abstract:

Loading...

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 1,835 (10,795)
Citation 7

Abstract:

Loading...

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 244 (152,948)

Abstract:

Loading...

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
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 82 (361,015)
Citation 2

Abstract:

Loading...

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

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
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 76 (377,240)
Citation 3

Abstract:

Loading...

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

6.

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 (394,766)
Citation 3

Abstract:

Loading...

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

7.

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
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 46 (480,837)
Citation 3

Abstract:

Loading...

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

8.

Covariance Prediction in Large Portfolio Allocation

Number of pages: 22 Posted: 10 Jan 2019
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 34 (536,822)
Citation 3

Abstract:

Loading...

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
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 18 (636,092)
Citation 1

Abstract:

Loading...

Dimension reduction, Forecast, Jumps, Large panels

10.

Covariance Prediction in Large Portfolio Allocation: Supplementary Material

Number of pages: 11 Posted: 11 Jun 2019
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 11 (687,353)

Abstract:

Loading...

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

Abstract:

Loading...

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