| Forecasting Bitcoin risk measures: A robust approach C Trucíos International Journal of Forecasting 35 (3), 836-847, 2019 | 122 | 2019 |
| Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach C Trucíos, AK Tiwari, F Alqahtani Applied Economics 54 (24), 2580-2593, 2020 | 70 | 2020 |
| A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies C Trucíos, JW Taylor Journal of Forecasting 42 (4), 989-1007, 2023 | 33* | 2023 |
| Robust bootstrap forecast densities for GARCH returns and volatilities C Trucíos, LK Hotta, E Ruiz Journal of Statistical Computation and Simulation 87 (16), 3152-3174, 2017 | 32* | 2017 |
| Bootstrap prediction in univariate volatility models with leverage effect C Trucíos, LK Hotta Mathematics and Computers in Simulation 120, 91-103, 2016 | 30 | 2016 |
| Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach M Hallin, C Trucíos Econometrics and Statistics 27, 1-15, 2023 | 28 | 2023 |
| 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 | 28* | 2022 |
| Covariance prediction in large portfolio allocation C Trucíos, M Zevallos, LK Hotta, AAP Santos Econometrics 7 (2), 19, 2019 | 26 | 2019 |
| On the robustness of the principal volatility components C Trucíos, LK Hotta, PLV Pereira Journal of Empirical Finance 52 (1), 201-219, 2019 | 20 | 2019 |
| Robust Bootstrap Densities for Dynamic Conditional Correlations: Implications for Portfolio Selection and Value-at-Risk C Trucíos, LK Hotta, E Ruiz Journal of Statistical Computation and Simulation, 2018 | 17 | 2018 |
| Inference in (M) GARCH models in the presence of additive outliers: Specification, estimation, and prediction LK Hotta, C Trucíos Advances in Mathematics and Applications: Celebrating 50 years of the …, 2018 | 17 | 2018 |
| Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting C Trucíos, JHG Mazzeu, LK Hotta, PLV Pereira, M Hallin International Journal of Forecasting 37 (4), 1520-1534, 2021 | 16 | 2021 |
| RobGARCHBoot: Robust Bootstrap Forecast Densities for GARCH Models C Trucíos https://cran.r-project.org/web/packages/RobGARCHBoot/, 2020 | 4 | 2020 |
| StatPerMeCo: Statistical Performance Measures to Evaluate Covariance Matrix Estimates C Trucios https://cran.r-project.org/web/packages/StatPerMeCo/, 2017 | 2 | 2017 |
| Supplementary Material: Forecasting VaR and ES through Markov Switching GARCH Models: Does the Specification Matter? LK Hotta, C Trucíos, PL Valls Pereira, M Zevallos Available at SSRN 4734370, 2024 | 1 | 2024 |
| Does portfolio resampling really improve out-of-sample performance? evidence from the brazilian and us markets A Oliveira, C Trucíos, PL Valls Pereira Evidence from the Brazilian and Us Markets, 2023 | 1 | 2023 |
| Using hierarchical risk parity in the Brazilian market: An out-of-sample analysis F Reis, A Sobreira, C Trucios, B Asrilhant Brazilian Review of Finance 21 (4), 81-103, 2023 | 1 | 2023 |
| Book of abstracts: ISBIS 2016: meeting on statistics in business and industry T Oliveira, A Oliveira, R Mahmoudvand, N Ravishankar, D Banks Universidade Aberta, 2016 | 1 | 2016 |
| A Note About Calibration Tests for VaR and ES L Hotta, C Trucíos, M Zevallos Time Series and Wavelet Analysis: Festschrift in Honor of Pedro A. Morettin …, 2024 | | 2024 |
| Portfolio resampling in the Brazilian stock market: Can it outperforms Markowitz optimization? AB Oliveira, C Trucíos, PLV Pereira Brazilian Review of Finance 22 (3), 57-75, 2024 | | 2024 |
Pedro L. Valls PereiraFull Professor at São Paulo School of Economcis and Director of CEQEF at Fundação Getulio VargasAdresse e-mail validée de fgv.br