Luiz Koodi Hotta

Finance · 2004–2018

A researcher in the Science corpus: 3 papers; trusts 55 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

• Finance — 76 citations into it
• Economics and Econometrics — 65 citations into it
• Statistics and Probability — 17 citations into it
• Management Science and Operations Research — 10 citations into it

Whom Luiz Koodi Hotta trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert F. Engle
2. Andrew J. Patton
3. Tim Bollerslev
4. Alexandra Dias
5. P. R. Hansen
6. Alexander J. McNeil
7. Christian M. Hafner
8. Annastiina Silvennoinen
9. Paul Embrechts
10. Ole E. Barndorff-Nielsen

Papers from Luiz Koodi Hotta's perspective

Ordered by how strongly the researchers Luiz Koodi Hotta trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
3. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
4. Dynamic Conditional Correlation
5. Extreme Correlation of International Equity Markets
6. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
7. Asymptotic theory for multivariate GARCH processes
8. MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a
9. A test for constant correlations in a multivariate GARCH model
10. An Introduction to Copulas

Their papers

• MGARCH models: Trade-off between feasibility and flexibility (2018) — 49 citations
• Estimation of VAR Using Copula and Extreme Value Theory (2006) — 50 citations
• Using Conditional Copula to Estimate Value at Risk (2004) — 53 citations