- Forecasting densities of returns, volatilities and correlations in DCC model in presence of additive outliers. Oral presentation at “16th Time Series and Econometrics School - ESTE“ August 05 to 07, 2015, Campos do Jordão, SP (Brazil).
- Robust bootstrap forecast densities for GARCH models: returns, volatilities and Value-at-Risk. Poster plus presentation at “60th World Statistics Congress - ISI2015“. July 26 to 31, 2015. Rio de Janeiro (Brazil).
- Forecasting Returns, Volatilities and Risk Measures in GARCH Models: A robust bootstrap procedure. Oral presentation at “35th International Symposium on Forecasting”. June 21 to 24, 2015. Riverside, Ca. (USA).
- Robust bootstrap prediction intervals for returns and volatilities in GARCH models. Oral presentation at “III Jornada Internacional de Probabilidad y Estadística”. August 13 to 15, 2014. Lima (Perú).
- Volatility and return bootstrap prediction intervals in GARCH models in the presence of outliers. Oral presentation at “34th International Symposium on Forecasting”. 29 June - 2 July, 2014. Rotterdam (Netherlands).
- Intervalos de previsão bootstrap em modelos de volatilidade multivariados DCC-GARCH. Oral presentation at “VIII “Encontro Científico dos Pós-Graduandos do IMECC”. October 15-18, 2013. Campinas, SP (Brazil).
- Bootstrap prediction in DCC-GARCH multivariate volatility model with normal distribution. Poster presented at “15th Brazilian Time Series and Econometrics School”. August 11-14, 2013. Teresópolis, RJ (Brazil).
- Bootstrap prediction in univariate volatility models with leverage effect. Poster presented at “Sixth Brazilian Conference on Statistical Modelling in Insurance and Finance”. March 24-28, 2013. Maresias, SP (Brazil)
- Intervalos de previsão bootstrap em modelos GARCH com efeito de alavancagem. Poster presented at “20th SINAPE”. July 30 - August 03, 2012. João Pessoa, PB (Brazil).
Papers:
- Trucíos, Carlos, and Luiz K. Hotta. "Bootstrap prediction in univariate volatility models with leverage effect." Mathematics and Computers in Simulation (2015).
Short courses:
- Special topics in R: Data visualization and Integrating R with C++ (in spanish) - Coming soon.
- R for Statisticians: An introduction (in portuguese) - Semana da Estatística 2015/ IMECC-UNICAMP
R packages:
- ipboot