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Carlos Trucíos

Observed names: Carlos Cesar Trucios-Maza, Carlos César Trucíos Maza, Carlos Trucios, Trucíos Maza, Carlos César, 1985-
ORCID: 0000-0001-8746-8877
Observed ORCID: 0000-0001-8746-8877
OpenAlex ID: A5075865136
Forecasting Bitcoin risk measures: A robust approach
2019 · Carlos Trucíos · International Journal of Forecasting · 109
Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach
2019 · Carlos Trucíos, Aviral K. Tiwari, et al. · Applied Economics · 76
A Comparison of Methods for Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies
2022 · Carlos Trucíos, James W. Taylor · Journal of Forecasting · 47
Robust bootstrap forecast densities for GARCH returns and volatilities
2017 · Carlos Trucíos, Luiz K. Hotta, et al. · Journal of Statistical Computation and Simulation · 29
Bootstrap prediction in univariate volatility models with leverage effect
2015 · Carlos Trucíos, Luiz K. Hotta · Mathematics and Computers in Simulation · 23
Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Model Approach
2020 · Marc Hallin, Carlos Trucíos · Econometrics and Statistics · 22
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
2021 · Carlos Trucíos, João H. G. Mazzeu, et al. · Journal of Business and Economic Statistics · 20
On the Robustness of the Principal Volatility Components
2018 · Carlos Trucíos, Luiz K. Hotta, et al. · Journal of Empirical Finance · 20
Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting
2020 · Carlos Trucíos, João H.G. Mazzeu, et al. · International Journal of Forecasting · 19
Inference in (M)GARCH Models in the Presence of Additive Outliers: Specification, Estimation, and Prediction
2018 · Luiz Koodi Hotta, Carlos Trucíos · Springer eBooks · 16
Covariance Prediction in Large Portfolio Allocation
2019 · Carlos Trucíos, Mauricio Zevallos, et al. · Econometrics · 15
Robust Bootstrap Densities for Dynamic Conditional Correlations: Implications for Portfolio Selection and Value-at-Risk
2017 · Carlos Trucíos, Luiz K. Hotta, et al. · Journal of Statistical Computation and Simulation · 14
Hierarchical risk clustering versus traditional risk-based portfolios: an empirical out-of-sample comparison
2026 · Carlos Trucíos · Empirical Economics · 5
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Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk
2015 · Esther Ruiz, Carlos Trucíos, et al. · RePEc: Research Papers in Economics · 4
Using hierarchical risk parity in the Brazilian market: An out-of-sample analysis
2023 · Felipe Reis, Anderson Sobreira, et al. · Brazilian Review of Finance · 3
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Forecasting Bitcoin and Ethereum risk measures through MSGARCH models
2025 · Luiz Hotta, Carlos Trucios, et al. · Brazilian Review of Finance · 2
Portfolio resampling in the Brazilian stock market
2024 · André Barbosa Oliveira, Carlos Trucíos, et al. · Brazilian Review of Finance · 1
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Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach
2019 · Marc Hallin, Luis K. Hotta, et al. · RePEc: Research Papers in Economics · 1
Changes in Rainfall Regime: A Case Study in the Piracicaba River Basin, Brazil
2026 · Ronalton Machado, Tárcio Rocha Lopes, et al. · JAWRA Journal of the American Water Resources Association
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Combining Covariance Forecasts for Large-Dimensional Portfolio Optimization
2026 · Luiz Koodi Hotta, Carlos César Trucíos Maza, et al. · SSRN Electronic Journal
Daily Volatility Forecasting with Off-the-Shelf Models: A Comparative Study Under Stress
2026 · Felipe Marques, Carlos César Trucíos Maza · SSRN Electronic Journal
On the Ordering of Vine Copula Construction for Risk Measures Forecasting and Asset Allocation
2026 · Carlos César Trucíos Maza, Carlos Alan Vieira do Nascimento · SSRN Electronic Journal
GARCH, GAS, SV, and MSGARCH models: Do we really need all of them for forecasting daily volatility?
2025 · Carlos César Trucíos Maza, Felipe Marques · SSRN Electronic Journal
A Note About Calibration Tests for VaR and ES
2024 · Luiz Hotta, Carlos Trucíos, et al. · Springer eBooks
HierPortfolios: Hierarchical Risk Clustering Portfolio Allocation Strategies
2021 · Carlos Trucios, Moon Jun Kwon
Works count: 32
Citation count: 426
H-index: 12
I10-index: 12
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