| Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach C Trucíos, JHG Mazzeu, M Hallin, LK Hotta, PL Valls Pereira, M Zevallos Journal of Business & Economic Statistics 41 (1), 40-52, 2022 | 25 | 2022 |
| Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting C Trucíos, JHG Mazzeu, LK Hotta, PLV Pereira, M Hallin International Journal of Forecasting 37 (4), 1520-1534, 2021 | 18 | 2021 |
| Modeling and forecasting the oil volatility index JHG Mazzeu, H Veiga, MB Mariti Journal of Forecasting 38 (8), 773-787, 2019 | 15 | 2019 |
| CAPM condicional com aprendizagem aplicado ao mercado brasileiro de ações JHG Mazzeu, NCA Costa Junior, AAP Santos RAM. Revista de Administração Mackenzie 14, 143-175, 2013 | 15 | 2013 |
| O comportamento dos componentes da volatilidade das ações no Brasil HC Costa, JHG Mazzeu, NCA da Costa Jr Brazilian Review of Finance 14 (2), 225-268, 2016 | 13 | 2016 |
| Uncertainty and density forecasts of Arma models: comparison of asymptotic, Bayesian, and bootstrap procedures JHG Mazzeu, E Ruiz, H Veiga Journal of Economic Surveys 32 (2), 388-419, 2018 | 5 | 2018 |
| The canonical econophysics approach to the flash crash of May 6, 2010 J Mazzeu, T Otuki, S Da Silva | 5 | 2011 |
| A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities JHG Mazzeu, G González-Rivera, E Ruiz, H Veiga Econometric Reviews 39 (10), 971-990, 2020 | 3 | 2020 |
| Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach M Hallin, LK Hotta, JHG Mazzeu, CC Trucios-Maza, PLV Pereira, ... Working Papers ECARES, 2019 | 1 | 2019 |
| Model uncertainty and the forecast accuracy of ARMA models: A survey JH Gonçalves Mazzeu, E Ruiz Ortega, H Veiga DES-Working Papers. Statistics and Econometrics. WS, 2015 | 1 | 2015 |
| Duration Dependent Volatility Models with Value-weighted Approach F HPS Mendes, DE Turatti, JHG Mazzeu Douglas E. and Mazzeu, João Henrique Gonçalves, Duration Dependent …, 2022 | | 2022 |
| Modeling and forecasting the oil volatility index MB Maritia, JHG Mazzeub, H Veigac DES-Working Papers. Statistics and Econometrics. WS, 2017 | | 2017 |
| A Bootstrap Approach for Generalized Autocontour Testing JH Gonçalves Mazzeu, G González-Rivera, E Ruiz Ortega, H Veiga DES-Working Papers. Statistics and Econometrics. WS, 2016 | | 2016 |
| Topics in density forecast in stationary parametric univariate time series models JHG Mazzeu Universidad Carlos III de Madrid, 2016 | | 2016 |
| Topics in density forecast in stationary parametric univariate time series models JH Gonçalves Mazzeu | | 2016 |
| CAPM condicional con el aprendizaje aplicado a la bolsa de valores brasileña JHG Mazzeu, NCA Costa Junior, AAP Santos RAM. Revista de Administração Mackenzie 14, 143-175, 2013 | | 2013 |
| Conditional CAPM with learning applied to the Brazilian stock market JHG Mazzeu, NCA Costa Junior, AAP Santos RAM. Revista de Administração Mackenzie 14, 143-175, 2013 | | 2013 |
| Pedro L. Valls Pereira2, Mauricio Zevallos3 7 1Faculty of Business Administration and Accounting C Trucıos, JHG Mazzeu, M Hallin, LK Hotta | | |
| Ccapm condicional com aprendizagem JHG MAZZEU, NCADAC JUNIOR, AAP SANTOS | | |
