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Mauricio Zevallos

Personal Details

First Name:Mauricio
Middle Name:
Last Name:Zevallos
Suffix:
RePEc Short-ID:pze77

Affiliation

Universidade Estadual de Campinas, Instituto de Matemática, Estatística e Computação Científica

http://www.ime.unicamp.br/
Campinas, Sao Paulo, Brazil

Research output

as
Jump to: Working papers Articles

Working papers

  1. Zevallos, Mauricio & Villarreal, Fernanda & Del Carpio, Carlos & Abbara, Omar, 2014. "Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano," Working Papers 2014-023, Banco Central de Reserva del Perú.

Articles

  1. Omar Abbara & Mauricio Zevallos, 2018. "Modeling and forecasting intraday VaR of an exchange rate portfolio," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(7), pages 729-738, November.
  2. Mauricio Zevallos & Fernanda Villarreal & Carlos Del Carpio & Omar Abbara, 2017. " Precio internacional de los metales y riesgo de mercado en la Bolsa de Valores de Lima," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 40(79), pages 87-104.
  3. Mauricio Zeballos & Carlos del Carpio, 2015. "Metal Returns, Stock Returns and Stock Market Volatility," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 38(75), pages 101-122.
  4. Omar Abbara & Mauricio Zevallos, 2014. "Assessing stock market dependence and contagion," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1627-1641, September.
  5. Zevallos, Mauricio & Palma, Wilfredo, 2013. "Minimum distance estimation of ARFIMA processes," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 242-256.
  6. Wilfredo Palma & Mauricio Zevallos, 2011. "Fitting non‐Gaussian persistent data," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 27(1), pages 23-36, January.
  7. Del Carpio, Carlos & Zevallos, Mauricio, 2010. "Estimación de capital por riesgo de precio: Evaluandometodologías para el caso peruano," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 19, pages 47-62.
  8. Mauricio Zevallos, 2008. "Estimación del riesgo bursátil peruano," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, issue 62, pages 109-126.
  9. Wilfredo Palma & Mauricio Zevallos, 2004. "Analysis of the correlation structure of square time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 529-550, July.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

    Sorry, no citations of working papers recorded.

Articles

  1. Mauricio Zeballos & Carlos del Carpio, 2015. "Metal Returns, Stock Returns and Stock Market Volatility," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 38(75), pages 101-122.

    Cited by:

    1. Tursoy, Turgut & Faisal, Faisal & Berk, Niyazi & Shahbaz, Muhammad, 2018. "How do Stock Prices and Metal Prices Contribute to Economic Activity in Turkey? The Importance of Linear and Non-linear ARDL," MPRA Paper 88899, University Library of Munich, Germany.
    2. Mauricio Zevallos & Fernanda Villarreal & Carlos Del Carpio & Omar Abbara, 2017. " Precio internacional de los metales y riesgo de mercado en la Bolsa de Valores de Lima," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 40(79), pages 87-104.

  2. Omar Abbara & Mauricio Zevallos, 2014. "Assessing stock market dependence and contagion," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1627-1641, September.

    Cited by:

    1. Wanling Huang & André Varella Mollick & Khoa Huu Nguyen, 2017. "Dynamic responses and tail-dependence among commodities, the US real interest rate and the dollar," Empirical Economics, Springer, vol. 53(3), pages 959-997, November.
    2. Huang, Wanling & Mollick, André Varella & Nguyen, Khoa Huu, 2016. "U.S. stock markets and the role of real interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 231-242.
    3. Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, Open Access Journal, vol. 4(4), pages 1-15, October.

  3. Zevallos, Mauricio & Palma, Wilfredo, 2013. "Minimum distance estimation of ARFIMA processes," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 242-256.

    Cited by:

    1. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Bandwidth selection by cross-validation for forecasting long memory financial time series," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 129-143.
    2. Baillie, Richard T. & Kapetanios, George & Papailias, Fotis, 2014. "Modified information criteria and selection of long memory time series models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 116-131.

  4. Mauricio Zevallos, 2008. "Estimación del riesgo bursátil peruano," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, issue 62, pages 109-126.

    Cited by:

    1. Alberto Humala & Gabriel Rodriguez, 2011. "Some Stylized Facts of Returns in the Foreign Exchange and Stock Markets in Peru," Documentos de Trabajo / Working Papers 2011-325, Departamento de Economía - Pontificia Universidad Católica del Perú.
    2. Mauricio Zevallos & Fernanda Villarreal & Carlos Del Carpio & Omar Abbara, 2017. " Precio internacional de los metales y riesgo de mercado en la Bolsa de Valores de Lima," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 40(79), pages 87-104.

  5. Wilfredo Palma & Mauricio Zevallos, 2004. "Analysis of the correlation structure of square time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 529-550, July.

    Cited by:

    1. Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2004. "LARCH, leverage, and long memory," LSE Research Online Documents on Economics 294, London School of Economics and Political Science, LSE Library.
    2. Liudas Giraitis, 2004. "LARCH, Leverage, and Long Memory," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 177-210.
    3. Carmen Broto & Esther Ruiz, 2008. "Testing for conditional heteroscedasticity in the components of inflation," Working Papers 0812, Banco de España;Working Papers Homepage.
    4. Menelaos Karanasos & J. Kim, "undated". "Moments of the ARMA-EGARCH Model," Discussion Papers 00/29, Department of Economics, University of York.
    5. Liudas Giraitis & Remigijus Leipus & Peter M Robinson & Donatas Surgailis, 2003. "LARCH, Leverage and Long Memory," STICERD - Econometrics Paper Series 460, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    6. Ruiz, Esther & Broto, Carmen, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de Estadística.
    7. Giraitis, Liudas & Leipus, Remigijus & Robinson, Peter M. & Surgailis, Donatas, 2003. "LARCH, leverage and long memory," LSE Research Online Documents on Economics 2020, London School of Economics and Political Science, LSE Library.

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