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Scopus Author ID: 7801516854
ResearcherID: D-4985-2012

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Employment (1)

Universidade Estadual de Campinas (UNICAMP): Campinas, São Paulo, BR

1977-11 to present | Professor Titular (Statistics)
Employment
Source: Self-asserted source
Hotta, Luiz

Education and qualifications (1)

London School of Economics and Political Science: London, GB

1980-01 to 1983-07 | PhD
Education
Source: Self-asserted source
Hotta, Luiz

Works (36)

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)‎

Out-of-Sample Predictability of the Equity Risk Premium

Mathematics
2025-01-14 | Journal article
DOI: 10.3390/math13020257
Contributors: Daniel de Almeida; Ana-Maria Fuertes; Luiz Koodi Hotta
Source: check_circle
Crossref

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

Journal of Business & Economic Statistics
2023-01-02 | Journal article
DOI: 10.1080/07350015.2021.1996380
Contributors: Carlos Trucíos; João H. G. Mazzeu; Marc Hallin; Luiz K. Hotta; Pedro L. Valls Pereira; Mauricio Zevallos
Source: check_circle
Crossref

Teoria moderna de portfólio, paridade de risco e aplicações

2019-11-30 | Conference paper
DOI: 10.20396/revpibic2720192775
Contributors: Giuseppe Tomio; Luiz Hotta
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

Quasi-maximum likelihood estimation of GARCH models in the presence of missing values

Journal of Statistical Computation and Simulation
2019-01-22 | Journal article
DOI: 10.1080/00949655.2018.1546860
Contributors: Marcos H. Cascone; Luiz K. Hotta
Source: check_circle
Crossref

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

GMC/GEL estimation of stochastic volatility models

Communications in Statistics - Simulation and Computation
2017-10-21 | Journal article
DOI: 10.1080/03610918.2016.1213282
Contributors: Márcio Poletti Laurini; Luiz Koodi Hotta
Source: check_circle
Crossref

Estimation of the Heteroskedastic Canonical Contagion Model with Instrumental Variables

PLOS ONE
2016-12-28 | Journal article
DOI: 10.1371/journal.pone.0168967
Contributors: André L. P. Ribeiro; Wei-Xing Zhou; Luiz K. Hotta
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
Source: check_circle
Crossref

A note on influence diagnostics in AR(1) time series models

Journal of Statistical Planning and Inference
2012 | Journal article
DOI: 10.1016/j.jspi.2012.05.004
Contributors: Zevallos, M.
Source: Self-asserted source
Hotta, Luiz via Scopus - Elsevier
grade
Preferred source (of 2)‎

Bayesian extensions to Diebold-Li term structure model

International Review of Financial Analysis
2010 | Journal article
DOI: 10.1016/j.irfa.2010.08.010
Contributors: Laurini, M.P.
Source: Self-asserted source
Hotta, Luiz via Scopus - Elsevier
grade
Preferred source (of 2)‎

Bayesian melding estimation of a stochastic SEIR model

Mathematical Population Studies
2010 | Journal article
DOI: 10.1080/08898481003689528
Contributors: Hotta, L.K.
Source: Self-asserted source
Hotta, Luiz via Scopus - Elsevier
grade
Preferred source (of 2)‎

Climate changes and their effects in the public health: Use of poisson regression models

Pesquisa Operacional
2010 | Journal article
EID: 2-s2.0-78649871183
Contributors: Alonso, J.B.
Source: Self-asserted source
Hotta, Luiz via Scopus - Elsevier

Effect of outliers on forecasting temporally aggregated flow variables

Test
2004 | Journal article
EID: 2-s2.0-13444291502
Contributors: Hotta, L.K.
Source: Self-asserted source
Hotta, Luiz via Scopus - Elsevier

The serorevertion and the survival related to HIV infection among children: Statistical modeling applied to retrospective data collection

Mathematical and Computer Modelling
2003 | Journal article
EID: 2-s2.0-0141615745
Contributors: Yang, H.M.
Source: Self-asserted source
Hotta, Luiz via Scopus - Elsevier

Aggregation and disaggregation of structural time series models

Journal of Time Series Analysis
1999 | Journal article
EID: 2-s2.0-0040366184
Contributors: Hotta, L.K.
Source: Self-asserted source
Hotta, Luiz via Scopus - Elsevier

Schistosomiasis mansoni in an area of low transmission. II. Risk factors for infection.

Revista do Instituto de Medicina Tropical de Sao Paulo
1993 | Journal article
EID: 2-s2.0-0027622797
Contributors: Marçal Júnior, O.
Source: Self-asserted source
Hotta, Luiz via Scopus - Elsevier

The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models

International Journal of Forecasting
1993 | Journal article
EID: 2-s2.0-38249002643
Contributors: Hotta, L.K.
Source: Self-asserted source
Hotta, Luiz via Scopus - Elsevier

Control of schistosomiasis mansoni in an area of low transmission | Controle da esquistossomose mansônica em área de baixa transmissão.

Memorias do Instituto Oswaldo Cruz
1992 | Journal article
EID: 2-s2.0-0026956361
Contributors: Dias, L.C.
Source: Self-asserted source
Hotta, Luiz via Scopus - Elsevier

Schistosomiasis mansoni in an area of low transmission. I. Impact of control measures.

Revista do Instituto de Medicina Tropical de Sao Paulo
1991 | Journal article
EID: 2-s2.0-0026124960
Contributors: Marçal Júnior, O.
Source: Self-asserted source
Hotta, Luiz via Scopus - Elsevier

Biological competition between Biomphalaria glabrata (Say, 1818) and Biomphalaria tenagophila (d'Orbigny, 1835), in natural breeding areas in the municipality of Ourinhos, S.P. (Brazil) | Competição biológica entre Biomphalaria glabrata (Say, 1818) e Biomphalaria tenagophila (d'Orbigny, 1835), em criadouros naturais no município de Ourinhos, SP (Brasil).

Revista de Saude Publica
1980 | Journal article
EID: 2-s2.0-16744361984
Contributors: Kawazoe, U.
Source: Self-asserted source
Hotta, Luiz via Scopus - Elsevier

Aggregation and Disaggregation of Structural Time Series Models

Journal article
DOI: 10.1111/1467-9892.00131
Source: Self-asserted source
Hotta, Luiz

Analysis of Contagion in Emerging Markets

Journal article
DOI: 10.2139/ssrn.969835
Source: Self-asserted source
Hotta, Luiz

Climate changes and their effects in the public health: use of poisson regression models
Source: Self-asserted source
Hotta, Luiz

Competição biológica entre Biomphalaria glabrata (Say, 1818) e Biomphalaria tenagophila (d'Orbigny, 1835) em criadouros naturais no município de Ourinhos, SP (Brasil)
Source: Self-asserted source
Hotta, Luiz

Controle da esquistossomose mansônica em área de baixa transmissao
Source: Self-asserted source
Hotta, Luiz

Effect of outliers on forecasting temporally aggregated flow variables

Journal article
DOI: 10.1007/bf02595778
Source: Self-asserted source
Hotta, Luiz
grade
Preferred source (of 2)‎

Estimation of VaR Using Copula and Extreme Value Theory

Journal article
DOI: 10.2139/ssrn.908259
Source: Self-asserted source
Hotta, Luiz

Fatty acid composition of the total, neutral and phospholipids of pond-raised Brazilian Piaractus mesopotamicus
Source: Self-asserted source
Hotta, Luiz

IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
Source: Self-asserted source
Hotta, Luiz

Influential observations in GARCH models

Journal article
DOI: 10.1080/00949655.2011.583651
Source: Self-asserted source
Hotta, Luiz
grade
Preferred source (of 2)‎

Restricted alternatives tests in a bivariate exponential model with covariates

Journal article
DOI: 10.1080/03610920008832477
Source: Self-asserted source
Hotta, Luiz

The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models

Journal article
DOI: 10.1016/0169-2070(93)90056-S
Source: Self-asserted source
Hotta, Luiz

Using Conditional Copula to Estimate Value at Risk

Journal article
DOI: 10.2139/ssrn.818884
Source: Self-asserted source
Hotta, Luiz

Peer review (1 review for 1 publication/grant)

Review activity for PloS one. (1)
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