Research

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

  1. 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
  2. A Comparison of Methods for Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies. Journal of Forecasting (2023) [with James W. Taylor] CODES
  3. 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]
  4. Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Model Approach. Econometrics and Statistics (2021). [with Marc Hallin] CODES
  5. 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]
  6. Value-at-Risk and Expected Shortfall in Cryptocurrencies’ Portfolio: A Vine Copula–based Approach. Applied Economics (2020). [with Aviral Tiwari and Faisal Alqahtani] CODES
  7. Covariance prediction in large portfolio allocation. Econometrics (2019). [with Mauticio Zevallos, Luiz Hotta and André P. Santos]
  8. On the robustness of the principal volatility components. Journal of Empirical Finance (2019). [with Luiz Hotta and Pedro Valls] R PACKAGE
  9. Forecasting Bitcoin risk measures: A robust approach. International Journal of Forecasting (2019). R PACKAGE
  10. 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]
  11. 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]
  12. Robust bootstrap forecast densities for GARCH returns and volatilities. Journal of Statistical Computing and Simulation (2017). [with Luiz Hotta and Esther Ruiz] R PACKAGE
  13. Bootstrap prediction in univariate volatility models with leverage effect. Mathematics and Computers in Simulation (2016). [with Luiz Hotta]
OTHER PUBLICATIONS
  1. 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

  1. A note about calibration tests for VaR and ES. [with Luiz K. Hotta and Mauricio Zevallos]
  2. 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

  1. Forecasting VaR and ES through Markov Switching GARCH Models: Does the specification matter? [with Luiz K. Hotta, Mauricio Zevallos and Pedro Valls]
  2. Shrinking the covariance matrix: an exhaustive comparison. [with Isabella Nascimento Peres da Silva]