CV Lattes
Universidade Estadual de Campinas (UNICAMP). Instituto de Matemática, Estatística e Computação Científica (IMECC) (Institutional affiliation from the last research proposal) Birthplace: Brazil
graduation at Física from Universidade Federal de Juiz de Fora (2011) and master's at Physic from Universidade Federal de Juiz de Fora (2014). Has experience in Probability and Statistics (Source: Lattes Curriculum)
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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…
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