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ResearcherID: C-8569-2016

Keywords

Forecast, Bootstrap, Volatility models, Outliers, Prediction, High-dimensional, Econometrics

Countries

Brazil

Activities

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Employment (5)

State University of Campinas: Campinas, São Paulo, BR

2022-07-07 to present | Assistant Professor (Department of Statistics)
Employment
Source: Self-asserted source
Trucíos, Carlos

Federal University of Rio de Janeiro: Rio de Janeiro, Rio de Janeiro, BR

2020-12-11 to 2022-07-07 | Assistant Professor (Faculty of Business Administration and Accounting)
Employment
Source: Self-asserted source
Trucíos, Carlos

Universidade Federal do ABC (UFABC): Santo Andre, SP, BR

2020-09-01 to 2020-12-10 | Visiting Professor (Centre for Mathematics, Computation and Cognition)
Employment
Source: Self-asserted source
Trucíos, Carlos

Fundação Getúlio Vargas: São Paulo, SP, BR

2016-12-01 to 2019-03-01 | Postdoctoral Research Fellow (Sao Paulo School of Economics)
Employment
Source: Self-asserted source
Trucíos, Carlos

Université Libre de Bruxelles: Bruxelles, BE

2018-07-31 to 2018-11-29 | Visiting postdoc ( European Center for Advanced Research in Economics and Statistics (ECARES))
Employment
Source: Self-asserted source
Trucíos, Carlos

Education and qualifications (4)

Sao Paulo School of Economics, FGV: São Paulo, SP, BR

2016-12-01 to 2019-01-03 | Postdoctoral Fellow (Economics)
Education
Source: Self-asserted source
Trucíos, Carlos

University of Campinas: Campinas, São Paulo, BR

2012-08 to 2016-07 | PhD (Statistics)
Education
Source: Self-asserted source
Trucíos, Carlos

University Carlos III de Madrid: Getafe, Madrid, ES

2014-03 to 2014-07 | Visiting PhD Student (Statistics)
Education
Source: Self-asserted source
Trucíos, Carlos

University of Campinas: Campinas, São Paulo, BR

2010-08 to 2012-07 | MSc. (Statistics)
Education
Source: Self-asserted source
Trucíos, Carlos

Professional activities (4)

International Statistical Institute (ISI): The Hague, NL

2024-11-18 | ISI Elected Member (Statistics )
Distinction
Source: Self-asserted source
Trucíos, Carlos

Best LACSC 2019 Paper Award in the 4th Latin American Conference for Statistical Computing: Guayaquil, EC

2019-05-31 | Latin American Conference for Statistical Computing
Distinction
Source: Self-asserted source
Trucíos, Carlos

IASC-ERS Young Researchers Award: Iasi, RO

2018-08-31 | International Conference on Computational Statistics
Distinction
Source: Self-asserted source
Trucíos, Carlos

Second place prize y-BIS Best Paper Award : Barcelona , ES

2016-06-10 | ISBIS, the American Statistical Association (ASA), and the National Institute of Statistical Sciences in the US (NISS)
Distinction
Source: Self-asserted source
Trucíos, Carlos

Funding (4)

Modelling and Forecasting Time Series in the BigData Era: High-Dimensional and High-Frequency data.

2022-11 to 2024-10 | Grant
São Paulo Research Foundation (São Paulo, São Paulo, BR)
GRANT_NUMBER:

2022/09122-0
Source: Self-asserted source
Trucíos, Carlos

Modeling and forecasting volatility of high dimensional financial series

2016-12 to 2018-11 | Grant
Fundação de Amparo à Pesquisa do Estado de São Paulo (São Paulo, São Paulo, BR)
GRANT_NUMBER:

2016/18599-4
Source: Self-asserted source
Trucíos, Carlos
grade
Preferred source (of 3)‎

Bootstrap prediction intervals to forecast portfolio value-at-risk.

2014-03 to 2014-07 | Grant
Fundação de Amparo à Pesquisa do Estado de São Paulo (São Paulo, São Paulo, BR)
Part of GRANT_NUMBER:

2013/23524-5

GRANT_NUMBER:

2012/09596-0
Source: Self-asserted source
Trucíos, Carlos

Bootstrap prediction in univariate and multivariate volatility models

2012-08 to 2016-08 | Grant
Fundação de Amparo à Pesquisa do Estado de São Paulo (São Paulo, São Paulo, BR)
GRANT_NUMBER:

2012/09596-0
Source: Self-asserted source
Trucíos, Carlos

Works (16)

Forecasting Bitcoin and Ethereum risk measures through MSGARCH models

Brazilian Review of Finance
2025-03-10 | Journal article | Author
DOI: 10.12660/rbfin.v23n1.2025.92777
Part of ISSN: 1984-5146
Contributors: Hotta, Luiz; Trucíos, Carlos; Pedro L. Valls Pereira; Mauricio Zevallos
Source: check_circle
FGV ORCID
grade
Preferred source (of 2)‎

Portfolio resampling in the Brazilian stock market

Brazilian Review of Finance
2024-09-01 | Journal article
DOI: 10.12660/rbfin.v22n3.2024.91552
Part of ISSN: 1984-5146
Part of ISSN: 1679-0731
Contributors: André Barbosa Oliveira; Carlos Trucíos; Pedro L. Valls Pereira
Source: Self-asserted source
Trucíos, Carlos

Using hierarchical risk parity in the Brazilian market: An out-of-sample analysis

Brazilian Review of Finance
2023-11-15 | Journal article | Author
DOI: 10.12660/rbfin.v21n4.2023.89848
Part of ISSN: 1984-5146
Contributors: Felipe Reis; Anderson Sobreira; Trucíos, Carlos; Boris Asrilhant
Source: check_circle
FGV ORCID
grade
Preferred source (of 2)‎

A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies

Journal of Forecasting
2022-11-23 | Journal article
DOI: 10.1002/for.2929
Part of ISSN: 0277-6693
Part of ISSN: 1099-131X
Contributors: Trucíos, Carlos; James W. Taylor
Source: Self-asserted source
Trucíos, Carlos

Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach

Journal of Business & Economic Statistics
2021-10-22 | Journal article
DOI: 10.1080/07350015.2021.1996380
Part of ISSN: 0735-0015
Part of ISSN: 1537-2707
Source: Self-asserted source
Trucíos, Carlos

Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach

Econometrics and Statistics
2021-05 | Journal article
DOI: 10.1016/j.ecosta.2021.04.006
Part of ISSN: 2452-3062
Source: Self-asserted source
Trucíos, Carlos

Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting

International Journal of Forecasting
2020-11 | Journal article
DOI: 10.1016/j.ijforecast.2020.09.013
Part of ISSN: 0169-2070
Source: Self-asserted source
Trucíos, Carlos

Value-at-risk and expected shortfall in cryptocurrencies’ portfolio: a vine copula–based approach

Applied Economics
2020-05-20 | Journal article
DOI: 10.1080/00036846.2019.1693023
Contributors: Carlos Trucíos; Aviral K. Tiwari; Faisal Alqahtani
Source: check_circle
Crossref

Covariance Prediction in Large Portfolio Allocation

Econometrics
2019-05-09 | Journal article
DOI: 10.3390/econometrics7020019
Contributors: Carlos Trucíos; Mauricio Zevallos; Luiz K. Hotta; André A. P. Santos
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Forecasting Bitcoin risk measures: A robust approach

International Journal of Forecasting
2019-03-01 | Journal article
DOI: 10.1016/j.ijforecast.2019.01.003
Part of ISSN: 0169-2070
Source: Self-asserted source
Trucíos, Carlos

On the robustness of the principal volatility components

Journal of Empirical Finance
2019-03-01 | Journal article
DOI: 10.1016/j.jempfin.2019.03.006
Part of ISSN: 0927-5398
Source: Self-asserted source
Trucíos, Carlos

Inference in (M)GARCH Models in the Presence of Additive Outliers: Specification, Estimation, and Prediction

Advances in Mathematics and Applications
2018-09-08 | Book chapter
Source: Self-asserted source
Trucíos, Carlos

Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk

Journal of Statistical Computation and Simulation
2018-07-03 | Journal article
DOI: 10.1080/00949655.2018.1462811
Contributors: Carlos Trucíos; Luiz K. Hotta; Esther Ruiz
Source: check_circle
Crossref

Robust bootstrap forecast densities for GARCH returns and volatilities

Journal of Statistical Computation and Simulation
2017-11-02 | Journal article
DOI: 10.1080/00949655.2017.1359601
Contributors: Carlos Trucíos; Luiz K. Hotta; Esther Ruiz
Source: check_circle
Crossref

Bootstrap prediction in univariate volatility models with leverage effect

Mathematics and Computers in Simulation
2016-02 | Journal article
DOI: 10.1016/j.matcom.2015.07.001
Contributors: Carlos Trucíos; Luiz K. Hotta
Source: Self-asserted source
Trucíos, Carlos via Crossref Metadata Search

Robust bootstrap forecast densities for GARCH models: returns, volatilities and Value-at-Risk

2015-11 | Working paper
Source: Self-asserted source
Trucíos, Carlos
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