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

Journal of business & economic statistics, 2023-01, Vol.41 (1), p.40-52

2023

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Predictability of Equity Models

Journal of forecasting, 2015-09, Vol.34 (6), p.427-440

2015

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Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching

Applied economics, 2016-05, Vol.48 (25), p.2367-2382

2016

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Analysis of the volatility's dependency structure during the subprime crisis

Applied economics, 2013-12, Vol.45 (36), p.5031-5045

2013

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Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals

Applied economics, 2011-08, Vol.43 (19), p.2365-2379

2011

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Speculative bubbles and contagion: Analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Cogent economics & finance, 2017-01, Vol.5 (1), p.1-28

2017

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Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy

Econometrics, 2022-06, Vol.10 (2), p.27

2022

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Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo

Revista Brasileira de Finanças, 2015-10, Vol.13 (4), p.571-630

2015

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Small sample properties of GARCH estimates and persistence

The European journal of finance, 2006-10, Vol.12 (6-7), p.473-494

2006

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On the robustness of the principal volatility components

Journal of empirical finance, 2019-06, Vol.52, p.201-219

2019

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Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting

International journal of forecasting, 2021-10, Vol.37 (4), p.1520-1534

2021

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O Conteúdo Informacional das Transações no Mercado Futuro de Câmbio: uma investigação do caso brasileiro

Revista Brasileira de Finanças, 2016-01, Vol.14 (1), p.7-43

2016

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Conditional stochastic kernel estimation by nonparametric methods

Economics letters, 2009-12, Vol.105 (3), p.234-238

2009

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Income convergence clubs for Brazilian Municipalities: a non-parametric analysis

Applied economics, 2005-10, Vol.37 (18), p.2099-2118

2005

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Portfolio Pumping no Mercado Acionário Brasileiro

Revista Brasileira de Finanças, 2018-09, Vol.16 (3), p.389-428

2018

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How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models

Journal of business finance & accounting, 2007-06, Vol.34 (5-6), p.1002-1024

2007

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Convergence clubs among Brazilian municipalities

Economics letters, 2004-05, Vol.83 (2), p.179-184

2004

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Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)

Journal of time series econometrics, 2019-07, Vol.11 (2)

2019

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Effect of outliers on forecasting temporally aggregated flow variables

Test (Madrid, Spain), 2004-12, Vol.13 (2), p.371-402

2004

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Portfolio resampling in the Brazilian stock market: Can it outperforms Markowitz optimization?

Revista Brasileira de Finanças, 2024-09, Vol.22 (3), p.57-75

2024

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Portfolio resampling in the Brazilian stock market: Can it outperform Markowitz optimization?

Revista Brasileira de Financas, 2024-07, Vol.22 (3), p.57

2024

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The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models

Communications in statistics. Simulation and computation, 2008-02, Vol.37 (3), p.571-578

2008

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Strategies of portfolio investment with estimates of bull and bear markets

Revista Brasileira de Finanças, 2021-12, Vol.19 (4), p.160-185

2021

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Estratégias de investimento em portfólios com estimativas de alta e baixa do mercado financeiro

Revista Brasileira de Finanças, 2021-12, Vol.19 (4), p.160-185

2021

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Strategies of portfolio investment with estimates of bull and bear markets/ Estrategias de investimento em portfolios com estimativas de alta e baixa do mercado financeiro

Revista Brasileira de Financas, 2021-10, Vol.19 (4), p.160

2021

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

Predictability of Equity Models

Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching

Analysis of the volatility's dependency structure during the subprime crisis

Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals

Speculative bubbles and contagion: Analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy

Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo

Small sample properties of GARCH estimates and persistence

On the robustness of the principal volatility components

Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting

O Conteúdo Informacional das Transações no Mercado Futuro de Câmbio: uma investigação do caso brasileiro

Conditional stochastic kernel estimation by nonparametric methods

Income convergence clubs for Brazilian Municipalities: a non-parametric analysis

Portfolio Pumping no Mercado Acionário Brasileiro

How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models

Convergence clubs among Brazilian municipalities

Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)

Effect of outliers on forecasting temporally aggregated flow variables

Portfolio resampling in the Brazilian stock market: Can it outperforms Markowitz optimization?

Portfolio resampling in the Brazilian stock market: Can it outperform Markowitz optimization?

The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models

Strategies of portfolio investment with estimates of bull and bear markets

Estratégias de investimento em portfólios com estimativas de alta e baixa do mercado financeiro

Strategies of portfolio investment with estimates of bull and bear markets/ Estrategias de investimento em portfolios com estimativas de alta e baixa do mercado financeiro

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