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Universidade Estadual de Campinas (UNICAMP). Instituto de Matemática, Estatística e Computação Científica (IMECC) (Institutional affiliation from the last research proposal) Birthplace: Brazil
Luiz Koodi Hotta in research grants and scholarships supported by FAPESP.
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This project deals with new methodologies for econometric modelling and forecasting in high dimensional and/or frequency setting, as well as mixed-data frequencies setting. One of the challenges in econometrics in high dimensional problems is to deal with complex world, including structural changes, using sparce vector autoregressive models and dense (factors). Applications of these metho…
This project is a natural follow-up to an ongoing project 18/04654-9, which is the most recent of a series of thematic projects from this research group endowed by FAPESP in the last twenty years. The proposed statistical methodologies will have application in Medicine, Finance, Biology, Physics, Neurosciences, Engineering, among others areas. They solve theoretical and empirical question…
This project is a natural follow-up to the thematic project 13/00506-1 entitled Séries Temporais, Ondaletas e Análise de Dados Funcionais (Time Series, Wavelets and Functional data Analysis), from 01/07/2013 to 30/06/2018. The methodologies have potential and effective application to Medicine, Biology, Physics, Chemistry, Finance, Engineering, etc. These methods should solve theoretical a…
In this project we will investigate methodologies of time series, wavewlets and functional data analysis, with potential applications in several fields, as medicine, biology, physical sciences, chemistry, actuarial sciences, finance, etc. These methodologies aim to solve some important theoretical and applied problems related to the following strongly connected research topics: 1. Evaluat…
The quantitative epidemiology based on the immunology describes biological phenomena that situate between two largely separated scales (on microscopic scale we have the molecular and cellular interactions and on the macrocosms we have the interaction among populations). However both descriptions can be dealt with quite same mathematical tools, although the epidemiology of infectious disea…
(Only some records are available in English at this moment)
Merton's (1971) portfolio optimization problem addresses the investor's decision regarding the optimal allocation of wealth between a risk-free asset and a risky asset, with the objective of maximizing the expected utility of future wealth. This project aims to provide an introduction to stochastic control through the study of the formulation and solution of this classical model, serving…
¿The project investigates the robustness of dynamic factor models applied to time series, with an emphasis on the presence of outliers. It evaluates the performance of the outlier detection method proposed by Galeano and Peña (2024) (Detecting outliers in high-dimensional time series by dynamic factor models), in terms of estimation and forecasting effectiveness. The methodological approa…
Volatility estimation is important in finance, for example, in asset pricing, risk management, and portfolio selection. Given this importance, several multivariate models have emerged. However, various studies consider that most models, or the way their estimates were initially proposed, are not suitable for high-dimensional settings. The main issue lies in the need to estimate a large nu…
(Only some records are available in English at this moment)
Various statistical methods are applied in finance. One of the features of financial series is the occurrence of outliers. The objective of the project is to introduce the student to the study of the effects of these outliers on the performance of these methods and alternatives to make these methods more robust.
In the financial econometrics literature, it is common to use backtesting tools to evaluate the adequacy of risk measures such as Value-at-Risk and Expected Shorfall. This is done through hypothesis testing which, in some situations, can lead to opposite conclusions depending on the test used. The objective of this project is to evaluate, through Monte Carlo simulations, the power of the …
The most important statistical measures for allocating risk capital to financial instruments are the Value at Risk (VaR) and the Expected Shortfall (ES). In the statistical and econometric literature various methods have been proposed for estimating VaR and ES, with greater emphasis on the one-day horizon. The aim of this project is to familiarize the grantee with some methods for calcula…
(Only some records are available in English at this moment)
High-dimensional time series have become increasingly common across various fields. For instance, they are prevalent in climatology, where measurements are taken at numerous locations, as well as in economic panel data and finance. A popular approach to modeling these types of series, in order to overcome the so-called "curse of dimensionality," is to use factor models. Meanwhile, a commo…
The project to be developed at the Department of Statistics of the Universidad Carlos III de Madrid, Spain, aims to discuss the gains of obtain bootstrap prediction intervals for forecast portfolio value-at-risk using a multivariate model of the family MGARCH. The forecast intervals will be compared with bootstrap prediction intervals for forecast portfolio value-at-risk using a univariat…
The main goal of the project to be developed at the University Carlos III, Spain, is to study multivariate models of volatility which takes into account two types of asymmetry commonly found in financial series, the asymmetry of the disturbances and the leverage effect. The first type of asymmetryis used to consider one of the stylized facts that losses have distribution with heavier tail…
| 2 / 2 | Ongoing grants |
| 8 / 6 | Completed research grants |
| 4 / 4 | Ongoing scholarships in Brazil |
| 19 / 11 | Completed scholarships in Brazil |
| 3 / 3 | Completed scholarships abroad |
| 36 / 26 | All research grants and scholarships |
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