Talks

  1. Forecasting risk measures in high-dimensional portfolios. Invited talk at 17th International Conference on Computational and Financial Econometrics. December 17-18, 2023. Berlin, Germany.
  2. Forecasting conditional covariance matrices in high-dimensional time series via general dynamic factor models: portfolio allocation and risk measures. Seminar at Albert-Ludwigs-Universität Freiburg. December 14, 2023. Freiburg, Germany.
  3. Forecasting risk measures in high dimensional portfolios. Seminar at Universidad Nacional Mayor de San Marcos. December 5, 2023. Online, Peru.
  4. Does portfolio resampling really improve out-of-sample performance? Evidence from the Brazilian and US markets. Keynote speaker at Ciclo de Conferencias Internacionales por el día del Estadístico Peruano: Estadística e Investigación. December 4-8, 2023. Online, Peru.
  5. Forecasting conditional covariance matrices in high-dimensional time series via general dynamic factor models: portfolio allocation and risk measures. Seminar at Universidade Estadual de Campinas. December 1, 2023. Campinas, Brazil.
  6. Forecasting conditional covariance matrices in high-dimensional time series via general dynamic factor models: portfolio allocation and risk measures. Seminar at Instituto Tecnológico Autónomo de México. November 17, 2023. Online, Mexico.
  7. Forecasting Value-at-Risk and Expected Shortfall in large portfolios. Invited talk at 20th Time Series and Econometrics Meeting. July 30 - August 2, 2023. Florianopolis, Brazil.
  8. High-Dimensional Financial Time Series. Invited talk at 64th ISI World Statistics Congress. July 16-20, 2023. Ottawa, Canada.
  9. Forecasting risk measures in high-dimensional portfolios with additive outliers. Invited talk at 7th Latin American Conference on Statistical Computing. April 3-5, 2023. Lima, Peru.
  10. Academia, mercado e otras cositas mas. Palestra at 23º Semana da Estatística da UNICAMP. October 20, 2022. Campinas, Brazil.
  11. Risk Measures in Cryptocurrency Markets. Invited Session at IV Congresso Brasileiro de Jovens Pesquisadores em Matemática Pura, Aplicada e Estatística (CBJME-IV). October 5 to 7, 2022. João Pessoa. (Brazil)
  12. A Comparison of Methods for Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies. Seminar at Catholic University of Brasilia. September 9, 2022. Brasilia. (Brazil)
  13. Modelando Series Temporales Financieras en Alta Dimensión. Conference at X Encuentro Nacional de Matemáticas y Estadística. June 1 to 3, 2022. Ibagué. (Colombia)
  14. Forecasting Conditional Covariance Matrices in High- Dimentional Time Series: Implications for Portfolio Allocation. Conference at International Summer School on Applied Mathematics ‘Oscar Valverde Ayala’. January 18 to 20, 2022. Online version. (Peru)
  15. Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. Conference at 5to Congreso Internacional Multidisciplinario de Matemática. November 3 to 5, 2021. Online version. (Peru)
  16. Forecasting Value-at-Risk and Expected Shortfall in large portfolios: A general dynamic factor approach. Oral presentation at 41st International Symposium on Forecasting. June 27 to 30, 2021. Online version. (Brazil)
  17. Forecasting Value-at-Risk and Expected Shortfall in large portfolios: A general dynamic factor approach. Oral presentation at V Latin American Conference for Statistical Computing - LACSC2021. April 19 to 21, 2021. Online version. (Mexico)
  18. Forecasting Value-at-Risk and Expected Shortfall in large portfolios: A general dynamic factor approach. Seminar at the Department of Statistics - PUCP. March 30, 2021. Lima (Peru).
  19. Forecasting risk measures in cryptocurrency data. Conference at 4to Congreso Internacional Multidisciplinario de Matemática. November 4 to 6, 2020. Online version. (Peru)
  20. Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting. Prerecorded talk at International Symposium on Forecasting (ISF2020). October 26 to 28, 2020. Online version. (Brazil).
  21. Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. Prerecorded talk at Bernoulli-IMS One World Symposium 2020. August 24 to 28, 2020. Online version.
  22. Estatística aplicada ao mercado financeiro. talk at Semana de desenvolvimento profissional - Universidade Federal de Mato Grosso do Sul. August 17 to 21, 2020. Online version. (Brazil).
  23. A general dynamic factor approach to forecast conditional covariance matrices in high- dimensional data. Oral presentation at 4th Latin American Conference for Statistical Computing - LACSC2019. May 28 to 31, 2019. Guayaquil (Ecuador).
  24. Forecasting conditional covariance matrices in high-dimensional data using the general dynamic factor model. Oral presentation at 12th International Conference on Computational and Financial Econometrics - CFE2018. December 14 to 16, 2018, Pisa, Italy.
  25. Principal volatility components: A robust approach. Seminar at ECARES - Université libre de Bruxelles. October 26, 2018. Brussels, Belgium.
  26. Robust principal volatility components. Oral presentation at 23rd International Conference on Computational Statistics -COMPSTAT 2018. August 28 to 31, 2018. Iasi, Romania.
  27. Forecasting large dimensional (co)volatilities in the presence of outliers. Conference at I Simposio de Matemática Pura y Aplicada, December 20 to 22, 2017. Arequipa (Peru)
  28. Forecasting large conditional covariance matrix in the presence of additive outliers. Seminar at Universidad Nacional Mayor de San Marcos. December 18, 2017, Lima (Peru).
  29. Forecasting conditional covariance matrix via principal volatility components in the presence of additive outliers. Oral presentation at Symposium on big data in finance, retail and commerce: Statistical and computational challenges, November 2 and 3, 2017. Lisbon (Portugal).
  30. On the robustness of the principal volatility components. Oral presentation at Congreso Interamericano de Estadística,. October 17 to 20, 2017. Rosário (Argentina).
  31. Modeling and predicting volatility for high-dimension financial data. Seminar Descoberta de Preços e Modelagem e Previsão de Modelos com Alta Dimensão, EESP-FGV. March 24, 2017. São Paulo (Brazil).
  32. Nuevas herramientas para e enseñanza de metodologías cuantitativas de análisis de datos. Conference at Primer Congreso Internacional de Metodologías Cuantitativas en Educación. November 18 to 19, 2016, Valparaíso (Chile).
  33. Measuring the effect of uncertainty in the forecast of the conditional covariance matrix in portfolio selection and risk measures. Oral presentation at 22º SINAPE – Simpósio Nacional de Probabilidade e Estatística. July 24 to 29, 2016, Porto Alegre (Brazil).
  34. Forecasting densities of returns, volatilities, correlations and VaR in cDCC models using bootstrap procedures in the presence of outliers. Oral presentation at 36th International Symposium on Forecasting. June 19 to 22, 2016, Santander (Spain).
  35. Measuring the Effect of Uncertainty in the Estimation of the Conditional Covariance Matrix in Portfolio Selection and Risk Measures. Oral presentation at International Symposium on Business and Industrial Statistics – ISBIS 2016 Meeting. June 08 to 10, 2016, Barcelona (Spain).
  36. Forecasting densities of returns, volatilities and correlations in DCC model in presence of additive outliers. Oral presentation at 16th Time Series and Econometrics School – ESTE. August 05 to 07, 2015, Campos do Jordão, SP (Brazil).
  37. Robust bootstrap forecast densities for GARCH models: returns, volatilities and Value-at-Risk. Poster plus presentation at 60th World Statistics Congress – ISI2015. July 26 to 31, 2015. Rio de Janeiro (Brazil).
  38. Forecasting Returns, Volatilities and Risk Measures in GARCH Models: A robust bootstrap procedure. Oral presentation at 35th International Symposium on Forecasting. June 21 to 24, 2015. Riverside, Ca. (USA).
  39. Robust bootstrap prediction intervals for returns and volatilities in GARCH models. Oral presentation at III Jornada Internacional de Probabilidad y Estadística. August 13 to 15, 2014. Lima (Perú).
  40. Volatility and return bootstrap prediction intervals in GARCH models in the presence of outliers. Oral presentation at 34th International Symposium on Forecasting. 29 June – 2 July, 2014. Rotterdam (Netherlands).
  41. Intervalos de previsão bootstrap em modelos de volatilidade multivariados DCC-GARCH. Oral presentation at VIII “Encontro Científico dos Pós-Graduandos do IMECC. October 15-18, 2013. Campinas, SP (Brazil).
  42. Bootstrap prediction in DCC-GARCH multivariate volatility model with normal distribution. Poster presented at 15th Brazilian Time Series and Econometrics School. August 11-14, 2013. Teresópolis, RJ (Brazil).
  43. Bootstrap prediction in univariate volatility models with leverage effect.Poster presented at Sixth Brazilian Conference on Statistical Modelling in Insurance and Finance. March 24-28, 2013. Maresias, SP (Brazil).
  44. Intervalos de previsão bootstrap em modelos GARCH com efeito de alavancagem. Poster presented at 20th SINAPE. July 30 – August 03, 2012. João Pessoa, PB (Brazil).

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