Research Interest: Bootstrap procedures for
dependent data; general dynamic factor models; high dimensional data;
risk measures and portfolio allocation; robust procedures in time
series; statistical learning for business, economics and finance.
Publications
PEER-REVIEWED PUBLICATIONS
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Using hierarchical risk parity in the Brazilian market: An
out-of-sample analysis. Accepted Brazilian Review of
Finance (2023) [with Felipe Reis, Anderson Sobreira and Boris
Asrilhant]
CODES
-
A
Comparison of Methods for Forecasting Value-at-Risk and Expected
Shortfall of Cryptocurrencies. Journal of
Forecasting (2023) [with James W. Taylor]
CODES
-
Forecasting
Conditional Covariance Matrices in High-Dimensional Time Series: a
General Dynamic Factor Approach. Journal of Business
and Economic Statistics (2023) [with João Mazzeu, Marc Hallin,
Luiz Hotta, Pedro Valls and Mauricio Zevallos]
-
Forecasting
Value-at-Risk and Expected Shortfall in Large Portfolios: a General
Dynamic Factor Model Approach. Econometrics and
Statistics (2021). [with Marc Hallin]
CODES
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Robustness
and the general dynamic factor model with infinite-dimensional space:
identification, estimation, and forecasting.
International Journal of Forecasting (2020). [with João
Mazzeu, Luiz Hotta, Pedro Valls and Marc Hallin]
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Value-at-Risk
and Expected Shortfall in Cryptocurrencies’ Portfolio: A Vine
Copula–based Approach. Applied Economics
(2020). [with Aviral Tiwari and Faisal Alqahtani]
CODES
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Covariance
prediction in large portfolio allocation.
Econometrics (2019). [with Mauticio Zevallos, Luiz
Hotta and André P. Santos]
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On
the robustness of the principal volatility components.
Journal of Empirical Finance (2019). [with Luiz Hotta
and Pedro Valls]
R PACKAGE
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Forecasting
Bitcoin risk measures: A robust approach. International
Journal of Forecasting (2019).
R PACKAGE
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Inference
in (M)GARCH Models in the Presence of Additive Outliers: Specification,
Estimation and Prediction. In Lavor, C. and Neto, F. A. M. G.,
editors, Advances in Mathematics and Applications.
Springer. (2018). [with Luiz Hotta]
-
Robust
Bootstrap Densities for Dynamic Conditional Correlations: Implications
for Portfolio Selection and Value-at-Risk. Journal of
Statistical Computing and Simulation (2018). [with Luiz Hotta
and Esther Ruiz]
-
Robust
bootstrap forecast densities for GARCH returns and
volatilities. Journal of Statistical Computing and
Simulation (2017). [with Luiz Hotta and Esther Ruiz]
R PACKAGE
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Bootstrap
prediction in univariate volatility models with leverage
effect. Mathematics and Computers in
Simulation (2016). [with Luiz Hotta]
OTHER PUBLICATIONS
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Factors
that influence in the academic performance of the students of the
Faculty of Mathematical sciences of the Universidad Nacional Mayor de
San Marcos. ECI PERU (2009). [with Estela
Ponce Aruneri]
Working Papers
WORKING PAPERS
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A note about calibration tests for VaR and ES. [with Luiz K.
Hotta and Mauricio Zevallos]
-
Does portfolio resampling really improve out-of-sample performance?
Evidence from the Brazilian and US marketst. [with André Oliveira
and Pedro Valls]
Ongoing
ONGOING WORK
-
Forecasting VaR and ES through Markov Switching GARCH Models: Does
the specification matter? [with Luiz K. Hotta, Mauricio Zevallos
and Pedro Valls]
-
Shrinking the covariance matrix: an exhaustive comparison.
[with Isabella Nascimento Peres da Silva]