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  2. Trucíos, Carlos [Author] ; Zevallos, Mauricio [Other]; Hotta, Luiz Koodi [Other]; Santos, André [Other]

    Covariance Prediction in Large Portfolio Allocation : Supplementary Material

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    [S.l.]: SSRN, [2019]

  3. Trucíos, Carlos [Author] ; Mazzeu, João Henrique Gonçalves [Other]; Hallin, Marc [Other]; Hotta, Luiz Koodi [Other]; Valls Pereira, Pedro L. [Other]; Zevallos, Mauricio [Other]

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

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    [S.l.]: SSRN, [2020]

  5. Trucíos, Carlos [Author] ; Mazzeu, João Henrique Gonçalves [Other]; Hotta, Luiz Koodi [Other]; Valls Pereira, Pedro L. [Other]; Hallin, Marc [Other]

    Robustness and the General Dynamic Factor Model With Infinite-Dimensional Space : Identification, Estimation, and Forecasting

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    [S.l.]: SSRN, [2020]

  6. Trucíos, Carlos [Author] ; Tiwari, Aviral Kumar [Other]; Alqahtani, Faisal [Other]

    Value-at-Risk and Expected Shortfall in Cryptocurrencies' Portfolio : A Vine Copula-based Approach

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    [S.l.]: SSRN, [2019]

  9. Trucíos, Carlos [Author] ; Hotta, Luiz Koodi [Other]; Ruiz, Esther [Other]

    Robust Bootstrap Densities for Dynamic Conditional Correlations : Implications for Portfolio Selection and Value-at-Risk

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    [S.l.]: SSRN, [2017]

  12. Hallin, Marc [Author]; Trucios, Carlos [Author]

    Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach

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    Brussels, Belgium: ECARES, December 2020

    Published in: European Center for Advanced Research in Economics and Statistics: ECARES working paper ; 2020,50

  14. Trucíos, Carlos [Author]; Taylor, James W. [Author]

    Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies using Combinations based on Jump-Robust and Regime-Switching Models

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    [S.l.]: SSRN, [2021]

  15. Oliveira, Andre [Author]; Trucíos, Carlos [Author]; Valls Pereira, Pedro L. [Author]

    Does Portfolio Resampling Really Improve Out-of-Sample Performance? Evidence from the Brazilian and Us Markets

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    [S.l.]: SSRN, [2023]

  16. Reis, Felipe [Author]; Sobreira, Anderson [Author]; Trucíos, Carlos [Author]; Asrilhant, Boris [Author]

    Using hierarchical risk parity in the Brazilian market : an out-of-sample analysis

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    2023

    Published in: Revista Brasileira de Finanças ; 21(2023), 4 vom: Okt./Dez., Seite 81-103

  17. Oliveira, Andre Barbosa [Author]; Trucíos, Carlos [Author]; Valls Pereira, Pedro L. [Author]

    Does Portfolio Resampling Really Improve Out-of-Sample Performance? Evidence From the Brazilian Market

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    [S.l.]: SSRN, 2022

  18. Trucíos, Carlos [Author]; Zevallos, Mauricio [Author]; Hotta, Luiz K. [Author]; Santos, André A. P. [Author]

    Covariance prediction in large portfolio allocation

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    2019

    Published in: Econometrics ; 7(2019), 2/19 vom: Juni, Seite 1-24

  20. Trucíos, Carlos [Author]; Mazzeu, João H. G. [Author]; Hotta, Luiz K. [Author]; Pereira, Pedro L. Valls [Author]; Hallin, Marc [Author]

    On the robustness of the general dynamic factor model with infinite-dimensional space : identification, estimation, and forecasting

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    Brussels, Belgium: ECARES, [2019]

    Published in: European Center for Advanced Research in Economics and Statistics: ECARES working paper ; 2019,32