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Mauricio Zevallos
Mauricio Zevallos
Department of Statistics, University of Campinas (UNICAMP)
在 ime.unicamp.br 的电子邮件经过验证
标题
引用次数
引用次数
年份
Analysis of contagion in emerging markets
J de Paula, LK Hotta, M Zevallos
Journal of Data Science 6, 601-626, 2008
292008
Assessing stock market dependence and contagion
O Abbara, M Zevallos
Quantitative Finance 14 (9), 1627-1641, 2014
272014
Analysis of the correlation structure of square time series
W Palma, M Zevallos
Journal of Time Series Analysis 25 (4), 529-550, 2004
272004
Relationship between body mass index, age, and serum adrenal androgen levels in Peruvian children living at high altitude and at sea level
GF Gonzales, A Villena, C Gonez, M Zevallos
Human biology, 145-153, 1994
221994
Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach
C Trucíos, JHG Mazzeu, M Hallin, LK Hotta, PL Valls Pereira, M Zevallos
Journal of Business & Economic Statistics 41 (1), 40-52, 2022
182022
Covariance prediction in large portfolio allocation
C Trucíos, M Zevallos, LK Hotta, AAP Santos
Econometrics 7 (2), 19, 2019
182019
A note on influence diagnostics in AR (1) time series models
M Zevallos, B Santos, LK Hotta
Journal of Statistical Planning and Inference 142 (11), 2999-3007, 2012
142012
Modeling and forecasting intraday VaR of an exchange rate portfolio
O Abbara, M Zevallos
Journal of Forecasting 37 (7), 729-738, 2018
122018
Minimum distance estimation of ARFIMA processes
M Zevallos, W Palma
Computational Statistics & Data Analysis 58, 242-256, 2013
112013
Fitting non‐Gaussian persistent data
W Palma, M Zevallos
Applied Stochastic Models in Business and Industry 27 (1), 23-36, 2011
112011
Influential observations in GARCH models
M Zevallos, LK Hotta
Journal of Statistical Computation and Simulation 82 (11), 1571-1589, 2012
102012
Estimación del riesgo bursátil peruano
M Zevallos
Economía 31 (62), 109-126, 2008
102008
Metal returns, stock returns and stock market volatility
M Zevallos, C Del Carpio
Economía 38 (75), 101-122, 2015
92015
Bayesian estimation and prediction of stochastic volatility models via INLA
R Ehlers, M Zevallos
Communications in Statistics-Simulation and Computation 44 (3), 683-693, 2015
72015
Metal prices and international market risk in the peruvian stock market
M Zevallos, F Villarreal, C Del Carpio, O Abbara
Economia 40 (79), 87-104, 2017
52017
Riemann manifold Langevin methods on stochastic volatility estimation
M Zevallos, L Gasco, R Ehlers
Communications in Statistics-Simulation and Computation 46 (10), 7942-7956, 2017
42017
Portfolio risk decomposition through pair-copula models
O Abbara, M Zevallos
Communications in Statistics: Case Studies, Data Analysis and Applications 3 …, 2017
42017
Test of outliers and influential observations in GARCH models: A review
LK Hotta, M Zevallos
Estadística 65 (184), 99-119, 2013
42013
A note on stochastic volatility model estimation
O Abbara, M Zevallos
Brazilian Review of Finance 17 (4), 22-32, 2019
32019
Slope influence diagnostics in conditional heteroscedastic time series models
M Zevallos, LK Hotta
32015
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