Modeling and forecasting volatility of high dimensional financial series

• Grant number: 16/18599-4
• Support Opportunities: Scholarships in Brazil - Post-Doctoral
• Start date: December 01, 2016
• End date: March 29, 2019
• Field of knowledge: Applied Social Sciences - Economics - Quantitative Methods Applied to Economics
• Principal Investigator: Pedro Luiz Valls Pereira
• Grantee: Carlos Cesar Trucios Maza
• Host Institution: Escola de Economia de São Paulo (EESP). Fundação Getúlio Vargas (FGV). São Paulo , SP, Brazil
• Associated research grant: 13/22930-0 - Price discovery in high-dimensional arbitrage portfolios, AP.TEM
• Associated scholarship(s): 18/03012-3 - Robust dynamic dimension reduction techniques for volatilities, BE.EP.PD

Abstract

The aim of the research project is to propose models and forecasting for the volatility for high dimensional financial time series. It will consider methods to obtain point and interval forecasts and density forecast. Comparisons with existing methods will be considered. Monte Carlo experiments will be carried out to evaluate the performance of the proposed procedures. It will also evaluate the performance on the construction of risk measures and portfolios. The procedures will be applied to Brazilian and non-Brazilian financial time series. (AU)

Scientific publications

(6)

(References retrieved automatically from Web of Science and SciELO through information on FAPESP grants and their corresponding numbers as mentioned in the publications by the authors)

TRUCIOS, CARLOS; MAZZEU, JOAO H. G.; HALLIN, MARC; HOTTA, LUIZ K.; VALLS PEREIRA, PEDRO L.; ZEVALLOS, MAURICIO. Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, DEC 2021. (18/04654-9, 16/18599-4, 18/03012-3)

TRUCIOS, CARLOS; TIWARI, AVIRAL K.; ALQAHTANI, FAISAL. Value-at-risk and expected shortfall in cryptocurrencies' portfolio: a vine copula-based approach. APPLIED ECONOMICS, v. 52, n. 24, NOV 2019. (16/18599-4)

TRUCIOS, CARLOS; MAZZEU, JOAO H. G.; HOTTA, LUIZ K.; VALLS PEREIRA, PEDRO L.; HALLIN, MARC. Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting. INTERNATIONAL JOURNAL OF FORECASTING, v. 37, n. 4, p. 1520-1534, OCT-DEC 2021. (16/18599-4, 18/03012-3, 18/04654-9)

TRUCIOS, CARLOS. Forecasting Bitcoin risk measures: A robust approach. INTERNATIONAL JOURNAL OF FORECASTING, v. 35, n. 3, p. 836-847, JUL-SEP 2019. (16/18599-4, 18/03012-3)

TRUCIOS, CARLOS; HOTTA, LUIZ K.; VALLS PEREIRA, PEDRO L.. On the robustness of the principal volatility components. JOURNAL OF EMPIRICAL FINANCE, v. 52, p. 201-219, JUN 2019. (13/22930-0, 16/18599-4, 18/03012-3)

TRUCIOS, CARLOS; ZEVALLOS, MAURICIO; HOTTA, LUIZ K.; SANTOS, ANDRE A. P.. Covariance Prediction in Large Portfolio Allocation. ECONOMETRICS, v. 7, n. 2, JUN 2019. (16/18599-4, 18/03012-3, 13/00506-1, 18/04654-9)