Marcelo C. Medeiros : Citation Profile


Are you Marcelo C. Medeiros?

Pontifícia Universidade Católica do Rio de Janeiro

12

H index

14

i10 index

606

Citations

RESEARCH PRODUCTION:

45

Articles

81

Papers

RESEARCH ACTIVITY:

   17 years (2000 - 2017). See details.
   Cites by year: 35
   Journals where Marcelo C. Medeiros has often published
   Relations with other researchers
   Recent citing documents: 110.    Total self citations: 62 (9.28 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme53
   Updated: 2017-12-09    RAS profile: 2017-07-18    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Hillebrand, Eric (7)

Fernandes, Marcelo (4)

Garcia, Marcio (4)

Lee, Tae Hwy (3)

McAleer, Michael (3)

Asai, Manabu (2)

Scharth, Marcel (2)

Medeiros, Marcelo (2)

Carvalho, Carlos (2)

Kock, Anders (2)

Callot, Laurent (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Marcelo C. Medeiros.

Is cited by:

McAleer, Michael (88)

Asai, Manabu (28)

Allen, David (24)

Chang, Chia-Lin (23)

Santucci de Magistris, Paolo (19)

Scharth, Marcel (17)

Caporin, Massimiliano (15)

Grassi, Stefano (13)

Audrino, Francesco (12)

Corsi, Fulvio (12)

van Dijk, Dick (11)

Cites to:

Bollerslev, Tim (71)

McAleer, Michael (60)

Teräsvirta, Timo (55)

Andersen, Torben (41)

Diebold, Francis (34)

Engle, Robert (20)

Granger, Clive (19)

Asai, Manabu (17)

Gali, Jordi (17)

Gertler, Mark (16)

van Dijk, Dick (16)

Main data


Where Marcelo C. Medeiros has published?


Journals with more than one article published# docs
Brazilian Review of Econometrics7
Econometric Reviews6
Journal of Econometrics6
International Journal of Forecasting5
Brazilian Review of Finance4
Economia2
Computational Statistics & Data Analysis2
Economics Letters2

Working Papers Series with more than one paper published# docs
Textos para discusso / Department of Economics PUC-Rio (Brazil)36
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute6
Discussion Papers / Instituto de Pesquisa Econmica Aplicada - IPEA4
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo4
Textos para discusso / FGV/EESP - Escola de Economia de So Paulo, Getulio Vargas Foundation (Brazil)4
CARF F-Series / Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo2
KIER Working Papers / Kyoto University, Institute of Economic Research2
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico2
Computing in Economics and Finance 2002 / Society for Computational Economics2

Recent works citing Marcelo C. Medeiros (2017 and 2016)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina . In: CREATES Research Papers. RePEc:aah:create:2017-28.

Full description at Econpapers || Download paper

2016CREDIBILITY ON PASS-THROUGH IN BRAZIL. (2016). de Mendonça, Helder ; Tostes, Felipe Santos ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:022.

Full description at Econpapers || Download paper

2016A TALE OF THREE GAPS: UNEMPLOYMENT, CAPACITY UTILIZATION AND OUTPUT. (2016). Correa, Arnildo ; Alves, Sergio ; da Silva, Arnildo ; Lago, Sergio Afonso . In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:031.

Full description at Econpapers || Download paper

2017“Regional tourism demand forecasting with machine learning models: Gaussian process regression vs. neural network models in a multiple-input multiple-output setting”. (2017). Claveria, Oscar ; Torra, Salvador ; Monte, Enric . In: AQR Working Papers. RePEc:aqr:wpaper:201701.

Full description at Econpapers || Download paper

2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

Full description at Econpapers || Download paper

2016Regime switching vine copula models for global equity and volatility indices. (2016). Fink, Holger ; Stober, Jakob ; Czado, Claudia ; Klimova, Yulia . In: Papers. RePEc:arx:papers:1604.05598.

Full description at Econpapers || Download paper

2017Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach. (2017). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe . In: Papers. RePEc:arx:papers:1708.02073.

Full description at Econpapers || Download paper

2017Is Market Fear Persistent? A Long-Memory Analysis. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6534.

Full description at Econpapers || Download paper

2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; GUPTA, RANGAN ; Lau, Chi Keung ; Segnon, Mawuli . In: CQE Working Papers. RePEc:cqe:wpaper:6117.

Full description at Econpapers || Download paper

2016A Bootstrap Approach for Generalized Autocontour Testing. (2016). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Gonalves, Joao Henrique . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23457.

Full description at Econpapers || Download paper

2017MONETARY POLICY SWITCHING IN THE EURO AREA AND MULTIPLE STEADY STATES: AN EMPIRICAL INVESTIGATION. (2017). Dufrenot, Gilles ; Khayat, Guillaume A. In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:05:p:1175-1188_00.

Full description at Econpapers || Download paper

2016Modelling and Forecasting with Financial Duration Data Using Non-linear Model. (2016). Kok-Haur, NG ; Ah-Hin, Pooi ; Huei-Ching, Soo . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:2:p:79-92.

Full description at Econpapers || Download paper

2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

Full description at Econpapers || Download paper

2016Natural interest rate in Brazil: further evidence frThe main objective of this study is to estimate the natural interest rate for Brazil using a parsimonious AR-trend-bound model proposed by Chan, Koo. (2016). Palma, Andreza A. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00116.

Full description at Econpapers || Download paper

2017k-means based load estimation of domestic smart meter measurements. (2017). Al-Wakeel, Ali ; Jenkins, Nick ; Wu, Jianzhong . In: Applied Energy. RePEc:eee:appene:v:194:y:2017:i:c:p:333-342.

Full description at Econpapers || Download paper

2016The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

Full description at Econpapers || Download paper

2016Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR–ARCH type processes. (2016). Ziel, Florian . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:773-793.

Full description at Econpapers || Download paper

2017Sparse seasonal and periodic vector autoregressive modeling. (2017). Baek, Changryong ; Davis, Richard A ; Pipiras, Vladas . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:106:y:2017:i:c:p:103-126.

Full description at Econpapers || Download paper

2017Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature. (2017). Monbet, Valerie ; Ailliot, Pierre . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:108:y:2017:i:c:p:40-51.

Full description at Econpapers || Download paper

2016Electricity consumption modelling: A case of Germany. (2016). Molnár, Peter ; Catherine, Linh Phuong ; Molnar, Peter ; Lin, Kuan-Heng . In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:92-101.

Full description at Econpapers || Download paper

2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

Full description at Econpapers || Download paper

2017Forecasting the oil futures price volatility: A new approach. (2017). Ma, Feng ; Chen, Wang ; Huang, Dengshi ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566.

Full description at Econpapers || Download paper

2016Exploiting the errors: A simple approach for improved volatility forecasting. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:1-18.

Full description at Econpapers || Download paper

2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

Full description at Econpapers || Download paper

2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

Full description at Econpapers || Download paper

2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef . In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:1:p:329-340.

Full description at Econpapers || Download paper

2016Forecasting day-ahead electricity load using a multiple equation time series approach. (2016). Hurn, Stan ; Clements, Adam ; Li, Z. In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:2:p:522-530.

Full description at Econpapers || Download paper

2017Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500. (2017). Huck, Nicolas ; Krauss, Christopher ; Do, Xuan Anh . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:689-702.

Full description at Econpapers || Download paper

2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

Full description at Econpapers || Download paper

2016Forecasting realized volatility in electricity markets using logistic smooth transition heterogeneous autoregressive models. (2016). Qu, Hui ; Li, Xindan ; Niu, Mengyi ; Chen, Wei . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:68-76.

Full description at Econpapers || Download paper

2016Forecasting the volatility of crude oil futures using HAR-type models with structural breaks. (2016). Wen, Fenghua ; Cai, Shenghua ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:400-413.

Full description at Econpapers || Download paper

2016Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:79-96.

Full description at Econpapers || Download paper

2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

Full description at Econpapers || Download paper

2017Forecasting the good and bad uncertainties of crude oil prices using a HAR framework. (2017). Gong, XU ; Lin, Boqiang . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:315-327.

Full description at Econpapers || Download paper

2016Collateral effects of liberalisation: Metering, losses, load profiles and cost settlement in Spain’s electricity system. (2016). Trujillo-Baute, Elisa ; Costa-Campi, Maria. In: Energy Policy. RePEc:eee:enepol:v:94:y:2016:i:c:p:421-431.

Full description at Econpapers || Download paper

2017Uncertainties in global radiation time series forecasting using machine learning: The multilayer perceptron case. (2017). Voyant, Cyril ; Motte, Fabrice ; Fouilloy, Alexis ; Darras, Christophe ; Notton, Gilles . In: Energy. RePEc:eee:energy:v:125:y:2017:i:c:p:248-257.

Full description at Econpapers || Download paper

2017A seasonal direct optimal hybrid model of computational intelligence and soft computing techniques for electricity load forecasting. (2017). Khashei, Mehdi ; Chahkoutahi, Fatemeh. In: Energy. RePEc:eee:energy:v:140:y:2017:i:p1:p:988-1004.

Full description at Econpapers || Download paper

2016International stock market cointegration under the risk-neutral measure. (2016). Power, Gabriel ; Toupin, Dominique ; Gagnon, Marie-Helene . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:243-255.

Full description at Econpapers || Download paper

2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz . In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

Full description at Econpapers || Download paper

2016Overseas market shocks and VKOSPI dynamics: A Markov-switching approach. (2016). Song, Wonho ; Webb, Robert I ; Ryu, Doojin . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:275-282.

Full description at Econpapers || Download paper

2016Risk-on/Risk-off: Financial market response to investor fear. (2016). Smales, Lee. In: Finance Research Letters. RePEc:eee:finlet:v:17:y:2016:i:c:p:125-134.

Full description at Econpapers || Download paper

2017FX interventions in Brazil: A synthetic control approach. (2017). Souza, Laura ; Garcia, Marcio ; Chamon, Marcos . In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:c:p:157-168.

Full description at Econpapers || Download paper

2016Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?. (2016). Fuertes, Ana-Maria ; Fernandez-Rodriguez, Fernando . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:695-715.

Full description at Econpapers || Download paper

2016Nonlinear forecasting with many predictors using kernel ridge regression. (2016). van Dijk, Dick ; Exterkate, Peter ; Heij, Christiaan ; Patrick, . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:736-753.

Full description at Econpapers || Download paper

2016A comparison of AdaBoost algorithms for time series forecast combination. (2016). Barrow, Devon K ; Crone, Sven F. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1103-1119.

Full description at Econpapers || Download paper

2016Cross-validation aggregation for combining autoregressive neural network forecasts. (2016). Barrow, Devon K ; Crone, Sven F. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1120-1137.

Full description at Econpapers || Download paper

2016Modelling and trading the U.S. implied volatility indices. Evidence from the VIX, VXN and VXD indices. (2016). Sermpinis, Georgios ; Psaradellis, Ioannis . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1268-1283.

Full description at Econpapers || Download paper

2016Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.

Full description at Econpapers || Download paper

2017Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:102-120.

Full description at Econpapers || Download paper

2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

Full description at Econpapers || Download paper

2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Hotta, Luiz K ; Ruiz, Esther ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

Full description at Econpapers || Download paper

2018Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index. (2018). Horta, Eduardo ; Ziegelmann, Flavio . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:75-88.

Full description at Econpapers || Download paper

2017Air transportation demand forecast through Bagging Holt Winters methods. (2017). Varela, Hugo Miguel ; Cyrino, Fernando Luiz ; Dantas, Tiago Mendes . In: Journal of Air Transport Management. RePEc:eee:jaitra:v:59:y:2017:i:c:p:116-123.

Full description at Econpapers || Download paper

2016Capital controls in Brazil: Effective?. (2016). Garcia, Marcio ; Chamon, Marcos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:61:y:2016:i:c:p:163-187.

Full description at Econpapers || Download paper

2017A review of the decomposition methodology for extracting and identifying the fluctuation characteristics in electricity demand forecasting. (2017). Shao, Zhen ; Zhou, Kai-Le ; Yang, Shan-Lin ; Chao, FU. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:75:y:2017:i:c:p:123-136.

Full description at Econpapers || Download paper

2016Gold, oil, and stocks: Dynamic correlations. (2016). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef . In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:186-201.

Full description at Econpapers || Download paper

2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

Full description at Econpapers || Download paper

2017Volatility and public information flows: Evidence from disclosure and media coverage in the Japanese stock market. (2017). Aman, Hiroyuki ; Moriyasu, Hiroshi . In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:660-676.

Full description at Econpapers || Download paper

2016Modelling the joint dynamics of oil prices and investor fear gauge. (2016). Ji, Qiang ; Fan, Ying . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:242-251.

Full description at Econpapers || Download paper

2017Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH. (2017). Vortelinos, Dimitrios I. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:824-839.

Full description at Econpapers || Download paper

2017Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:100161.

Full description at Econpapers || Download paper

2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:102576.

Full description at Econpapers || Download paper

2016How are VIX and Stock Index ETF Related?. (2016). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:79913.

Full description at Econpapers || Download paper

2016Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models. (2016). McAleer, Michael ; Asai, Manabu ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:93114.

Full description at Econpapers || Download paper

2016A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics. (2016). McAleer, Michael ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:93333.

Full description at Econpapers || Download paper

2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Econometric Institute Research Papers. RePEc:ems:eureir:98648.

Full description at Econpapers || Download paper

2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:99516.

Full description at Econpapers || Download paper

2017The aftermath of 2008 turmoil on Brazilian economy: Tsunami or “Marolinha”?. (2017). Marçal, Emerson ; Simes, Oscar Rodrigues ; Merlin, Giovanni Tondin ; Cunha, Ronan ; Maral, Emerson Fernandes ; FernandesMaral, Emerson . In: Textos para discussão. RePEc:fgv:eesptd:459.

Full description at Econpapers || Download paper

2016Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM. (2016). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2016_02.

Full description at Econpapers || Download paper

2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Gallo, Giampiero ; Otranto, Edoardo . In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05.

Full description at Econpapers || Download paper

2017Regime Switching Vine Copula Models for Global Equity and Volatility Indices. (2017). Fink, Holger ; Stober, Jakob ; Czado, Claudia ; Klimova, Yulia . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:3-:d:86821.

Full description at Econpapers || Download paper

2016The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective. (2016). Caporin, Massimiliano ; Bonaccolto, Giovanni . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:3:p:8-:d:73460.

Full description at Econpapers || Download paper

2016Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect. (2016). Sebastião, Helder ; Godinho, Pedro ; Sebastio, Helder ; Brito, Rui Pedro . In: GEMF Working Papers. RePEc:gmf:wpaper:2016-13..

Full description at Econpapers || Download paper

2016Electricity prices forecast analysis using the extreme value theory. (2016). de Paula, Mario Domingues ; Gomes, Leonardo Lima ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus . In: International Journal of Financial Markets and Derivatives. RePEc:ids:ijfmkd:v:5:y:2016:i:1:p:1-22.

Full description at Econpapers || Download paper

2017“Regional tourism demand forecasting with machine learning models: Gaussian process regression vs. neural network models in a multiple-input multiple-output setting. (2017). Claveria, Oscar ; Torra, Salvador ; Monte, Enric . In: IREA Working Papers. RePEc:ira:wpaper:201701.

Full description at Econpapers || Download paper

2017Forecasting Financial Market Volatility Using a Dynamic Topic Model. (2017). Morimoto, Takayuki ; Kawasaki, Yoshinori. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9228-z.

Full description at Econpapers || Download paper

2016Forecasting US Unemployment with Radial Basis Neural Networks, Kalman Filters and Support Vector Regressions. (2016). Stasinakis, Charalampos ; Karathanasopoulos, Andreas ; Sermpinis, Georgios . In: Computational Economics. RePEc:kap:compec:v:47:y:2016:i:4:d:10.1007_s10614-014-9479-y.

Full description at Econpapers || Download paper

2016Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting. (2016). GOMIDE, FERNANDO ; MacIel, Leandro ; Ballini, Rosangela . In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:3:d:10.1007_s10614-015-9535-2.

Full description at Econpapers || Download paper

2017Bagged artificial neural networks in forecasting inflation: An extensive comparison with current modelling frameworks. (2017). Szafranek, Karol. In: NBP Working Papers. RePEc:nbp:nbpmis:262.

Full description at Econpapers || Download paper

2016A Quantile Regression Model for Electricity Peak Demand Forecasting: An Approach to Avoiding Power Blackouts. (2016). Fukushige, Mototsugu ; Elamin, Niematallah . In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:1622.

Full description at Econpapers || Download paper

2017Modeling and Forecasting Hourly Electricity Demand by SARIMAX with Interactions. (2017). Fukushige, Mototsugu ; Elamin, Niematallah . In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:1728.

Full description at Econpapers || Download paper

2016Forecasting the sectoral GVA of a small Spanish region. (2016). Lampis, Federico. In: Economics and Business Letters. RePEc:ove:journl:aid:10969.

Full description at Econpapers || Download paper

2016Generalizing smooth transition autoregressions. (2016). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0114.

Full description at Econpapers || Download paper

2017Generalizing Smooth Transition Autoregressions. (2017). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0138.

Full description at Econpapers || Download paper

2016Forecasting oil price realized volatility: A new approach. (2016). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:69105.

Full description at Econpapers || Download paper

2016Les règles de Taylor à l’épreuve de la révolution : cas de l’Égypte.. (2016). Baaziz, Yosra . In: MPRA Paper. RePEc:pra:mprapa:69779.

Full description at Econpapers || Download paper

2017Placebo Tests for Synthetic Controls. (2017). Pinto, Cristine ; Ferman, Bruno. In: MPRA Paper. RePEc:pra:mprapa:78079.

Full description at Econpapers || Download paper

2017Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data. (2017). Wilfling, Bernd ; GUPTA, RANGAN ; Lau, Chi Keung ; Segnon, Mawuli . In: Working Papers. RePEc:pre:wpaper:201739.

Full description at Econpapers || Download paper

2016FORECAST COMBINATIONS FOR REALIZED VOLATILITY IN PRESENCE OF STRUCTURAL BREAKS. (2016). De Gaetano, Davide. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0208.

Full description at Econpapers || Download paper

2016Asymmetry with respect to the memory in stock market volatilities. (2016). Lonnbark, Carl . In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:4:d:10.1007_s00181-015-0975-2.

Full description at Econpapers || Download paper

2017Unemployment hysteresis and structural change in Europe. (2017). Akdoan, Kurma . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:4:d:10.1007_s00181-016-1171-8.

Full description at Econpapers || Download paper

2017Endogeneity and nonlinearities in Central Bank of Brazil’s reaction functions: an inverse quantile regression approach. (2017). Medeiros, Gabriela Bezerra ; da Silva, Edilean Kleber ; Portugal, Marcelo Savino . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:4:d:10.1007_s00181-016-1195-0.

Full description at Econpapers || Download paper

2017Is the Hybrid New Keynesian Phillips Curve Stable? Evidence from Some Emerging Economies. (2017). Chowdhury, Kushal Banik ; Sarkar, Nityananda . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:15:y:2017:i:3:d:10.1007_s40953-016-0059-y.

Full description at Econpapers || Download paper

2017Portfolio choice with high frequency data: CRRA preferences and the liquidity effect. (2017). Sebastião, Helder ; Godinho, Pedro ; Sebastio, H ; Brito, R P. In: Portuguese Economic Journal. RePEc:spr:portec:v:16:y:2017:i:2:d:10.1007_s10258-017-0131-3.

Full description at Econpapers || Download paper

2016Modelling cross-dependencies between Spain’s regional tourism markets with an extension of the Gaussian process regression model. (2016). Claveria, Oscar ; Torra, Salvador ; Monte, Enric . In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:7:y:2016:i:3:d:10.1007_s13209-016-0144-7.

Full description at Econpapers || Download paper

2017Connecting VIX and Stock Index ETF. (2017). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160010.

Full description at Econpapers || Download paper

2016Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models. (2016). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160044.

Full description at Econpapers || Download paper

2016A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics. (2016). McAleer, Michael ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160065.

Full description at Econpapers || Download paper

2016Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers. (2016). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160076.

Full description at Econpapers || Download paper

2017Realized Stochastic Volatility with General Asymmetry and Long Memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170038.

Full description at Econpapers || Download paper

2017Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170105.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Marcelo C. Medeiros:


YearTitleTypeCited
2012Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper2
2016Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models.(2016) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
2012Asymptotic Theory for Regressions with Smoothly Changing Parameters In: CREATES Research Papers.
[Full Text][Citation analysis]
paper7
2013Asymptotic Theory for Regressions with Smoothly Changing Parameters.(2013) In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2012Estimating High-Dimensional Time Series Models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper14
2012Estimating High-Dimensional Time Series Models..(2012) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2012Lets Do It Again: Bagging Equity Premium Predictors In: CREATES Research Papers.
[Full Text][Citation analysis]
paper0
2012Let´s do it again: bagging equity premium predictors.(2012) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2014Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice In: CREATES Research Papers.
[Full Text][Citation analysis]
paper0
2014Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2015Structure and asymptotic theory for nonlinear models with GARCH erros In: Economia.
[Full Text][Citation analysis]
article1
2011Structure and Asymptotic theory for Nonlinear Models with GARCH Errors.(2011) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2015Is the convergence of the manufacturing sector unconditional? In: Economia.
[Full Text][Citation analysis]
article0
2013Estimating Strategic Complementarity in a State-Dependent Pricing Model In: Working Papers Series.
[Full Text][Citation analysis]
paper0
2011Estimating Strategic Complementarity in a State-Dependent Pricing Model.(2011) In: 2011 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2004Local Global Neural Networks: A New Approach for Nonlinear Time Series Modeling In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article2
2003Local-global neural networks: a new approach for nonlinear time series modelling.(2003) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2011FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS In: Journal of Economic Surveys.
[Citation analysis]
article5
2010Forecasting Realized Volatility with Linear and Nonlinear Univariate Models.(2010) In: Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2003Diagnostic Checking in a Flexible Nonlinear Time Series Model In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article9
2001Diagnostic Checking in a Flexible Nonlinear Time Series Model.(2001) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 9
paper
2014Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios In: Brazilian Review of Finance.
[Full Text][Citation analysis]
article0
2014Economic gains of realized volatility in the Brazilian stock market In: Brazilian Review of Finance.
[Full Text][Citation analysis]
article0
2014Economic gains of realized volatility in the Brazilian stock market.(2014) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2006Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach In: Brazilian Review of Finance.
[Full Text][Citation analysis]
article1
2006Foreign Exchange Rate Futures Trends: Foreign Exchange Risk or Systematic Forecasting Errors? In: Brazilian Review of Finance.
[Full Text][Citation analysis]
article0
2010A Note on Nonlinear Cointegration, Misspecification and Bimodality In: Working Papers in Economics.
[Full Text][Citation analysis]
paper0
2014A Note on Nonlinear Cointegration, Misspecification, and Bimodality.(2014) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2010Modelling and Forecasting Noisy Realized Volatility In: Working Papers in Economics.
[Full Text][Citation analysis]
paper14
2012Modelling and forecasting noisy realized volatility.(2012) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
article
2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2009Modelling and Forecasting Noisy Realized Volatility.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2010Asymmetry and Long Memory in Volatility Modelling In: Working Papers in Economics.
[Full Text][Citation analysis]
paper31
2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
paper
2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: KIER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
paper
2012Asymmetry and Long Memory in Volatility Modeling.(2012) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
article
2011Asymmetry and Long Memory in Volatility Modelling.(2011) In: Documentos de Trabajo del ICAE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
paper
2009Asymmetry and Leverage in Realized Volatility In: CARF F-Series.
[Full Text][Citation analysis]
paper1
2008Asymmetry and leverage in realized volatility.(2008) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2009Asymmetry and Leverage in Realized Volatility.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2009Forecasting Realized Volatility with Linear and Nonlinear Models In: CARF F-Series.
[Full Text][Citation analysis]
paper1
2009Forecasting Realized Volatility with Linear and Nonlinear Models.(2009) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2009Forecasting Realized Volatility with Linear and Nonlinear Models.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2010Forecasting Realized Volatility with Linear and Nonlinear Models.(2010) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2009MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL In: Econometric Theory.
[Full Text][Citation analysis]
article9
2008Tree-structured smooth transition regression models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article2
2016Forecasting macroeconomic variables in data-rich environments In: Economics Letters.
[Full Text][Citation analysis]
article0
2016Instrument selection for estimation of a forward-looking Phillips Curve In: Economics Letters.
[Full Text][Citation analysis]
article0
2008A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries In: Journal of Econometrics.
[Full Text][Citation analysis]
article72
2007A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries.(2007) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 72
paper
2008A neural network demand system with heteroskedastic errors In: Journal of Econometrics.
[Full Text][Citation analysis]
article4
2008An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals In: Journal of Econometrics.
[Full Text][Citation analysis]
article11
2011Moment-based estimation of smooth transition regression models with endogenous variables In: Journal of Econometrics.
[Full Text][Citation analysis]
article12
2008Moment-bases estimation of smooth transition regression models with endogenous variables.(2008) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2010Moment-based estimation of smooth transition regression models with endogenous variables.(2010) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2009Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables.(2009) In: CIRJE F-Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2011Linear programming-based estimators in simple linear regression In: Journal of Econometrics.
[Full Text][Citation analysis]
article4
2010Linear Programming-Based Estimators in Simple Linear Regression.(2010) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2016ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors In: Journal of Econometrics.
[Full Text][Citation analysis]
article1
2005Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination In: International Journal of Forecasting.
[Full Text][Citation analysis]
article60
2004Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has another version. Agregated cites: 60
paper
2004Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination.(2004) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60
paper
2005Reply In: International Journal of Forecasting.
[Full Text][Citation analysis]
article0
2008Modeling and forecasting short-term electricity load: A comparison of methods with an application to Brazilian data In: International Journal of Forecasting.
[Full Text][Citation analysis]
article31
2009Asymmetric effects and long memory in the volatility of Dow Jones stocks In: International Journal of Forecasting.
[Full Text][Citation analysis]
article28
2006Asymmetric effects and long memory in the volatility of Dow Jones stocks.(2006) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
paper
2017Real-time inflation forecasting with high-dimensional models: The case of Brazil In: International Journal of Forecasting.
[Full Text][Citation analysis]
article0
2014Modeling and predicting the CBOE market volatility index In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article41
2013Modeling and predicting the CBOE market volatility index.(2013) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2007Modeling and predicting the CBOE market volatility index.(2007) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
paper
2013A (semi-)parametric functional coefficient autoregressive conditional duration model In: Textos para discussão.
[Full Text][Citation analysis]
paper2
2006A (semi-)parametric functional coefficient autoregressive conditional duration model.(2006) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2017Arco: an artificial counterfactual approach for high-dimensional panel time-series data In: Textos para discussão.
[Full Text][Citation analysis]
paper2
2016ARCO: an artificial counterfactual approach for high-dimensional panel time-series data.(2016) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2017The perils of counterfactual analysis with integrated processes In: Textos para discussão.
[Full Text][Citation analysis]
paper1
2016The perils of Counterfactual Analysis with Integrated Processes.(2016) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2005Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function In: Revista Brasileira de Economia - RBE.
[Full Text][Citation analysis]
article12
2001Monetary policy during Brazil´s Real Plan: estimating the Central Bank´s reaction function.(2001) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2000A Flexible Coefficient Smooth Transition Time Series Model In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
paper9
2000A Combinatorial Approach to Piecewise Linear Time Series Analysis In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
paper2
2002Building neural network models for time series: A statistical approach In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
paper16
2006Building neural network models for time series: a statistical approach.(2006) In: Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
article
2002Building Neural Network Models for Time Series: A Statistical Approach.(2002) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2014Price Discovery no Mercado de Câmbio Brasileiro: O Preço é Formado no Mercado à Vista ou Futuro? In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2016A Estabilidade da Desigualdade no Brasil entre 2006 e 2012: resultados adicionais In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2016O Impacto de Anúncios Econômicos no Mercado Futuro Brasileiro de Ações, Juros e Câmbio In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2016Desigualdades de gênero em tempo de trabalho pago e não pago no Brasil, 2013 In: Discussion Papers.
[Full Text][Citation analysis]
paper0
2000Modelling exchange rates: smooth transitions, neural networks, and linear models In: Textos para discussão.
[Full Text][Citation analysis]
paper5
2001Statistical methods for modelling neural networks In: Textos para discussão.
[Full Text][Citation analysis]
paper0
2001What are the effects of forecasting linear time series with neural networks In: Textos para discussão.
[Full Text][Citation analysis]
paper1
2002Evaluating the performance of GARCH models using White´s Reality Check In: Textos para discussão.
[Full Text][Citation analysis]
paper2
2003Three-structured smooth transition regression models based on CART algorithm In: Textos para discussão.
[Full Text][Citation analysis]
paper0
2003Formação de preços de commodities: padrões de vinculação dos preços internos ao externos In: Textos para discussão.
[Full Text][Citation analysis]
paper2
2004Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model In: Textos para discussão.
[Full Text][Citation analysis]
paper1
2005Modelling and forecasting short-term electricity load: a two step methodology In: Textos para discussão.
[Full Text][Citation analysis]
paper4
2006Modeling and forecasting the volatility of Brazilian asset returns In: Textos para discussão.
[Full Text][Citation analysis]
paper2
2006Realized volatility: a review In: Textos para discussão.
[Full Text][Citation analysis]
paper141
2008Realized Volatility: A Review.(2008) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141
article
2007ESTIMATION AND ASYMPTOTIC THEORY FOR A NEW CLASS OF MIXTURE MODELS In: Textos para discussão.
[Full Text][Citation analysis]
paper0
2007Forecasting realized volatility models:the benefits of bagging and nonlinear specifications In: Textos para discussão.
[Full Text][Citation analysis]
paper3
2010Linearity Testing Against a Fuzzy Rule-based Model In: Textos para discussão.
[Full Text][Citation analysis]
paper0
2010Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging In: Textos para discussão.
[Full Text][Citation analysis]
paper5
2011Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging.(2011) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 5
article
2010Nonlinear Cointegration, Misspecification and Bimodality In: Textos para discussão.
[Full Text][Citation analysis]
paper0
2010Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility In: Textos para discussão.
[Full Text][Citation analysis]
paper2
2014Price Discovery in Brazilian FX Markets In: Textos para discussão.
[Full Text][Citation analysis]
paper3
2015Price Discovery in Brazilian FX Markets.(2015) In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2014The impact of macroeconomic announcements in the Brazilian futures markets In: Textos para discussão.
[Full Text][Citation analysis]
paper0
2015l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations In: Textos para discussão.
[Full Text][Citation analysis]
paper0
2015Adaptative LASSO estimation for ARDL models with GARCH innovations In: Textos para discussão.
[Full Text][Citation analysis]
paper0
2005Evaluating the Forecasting Performance of GARCH Models Using White’s Reality Check In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]
article1
2007Inflation Dynamics in Brazil: The Case of a Small Open Economy In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]
article15
2013Nonlinear Error Correction Models With an Application to Commodity Prices In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]
article0
2015Unobserved Heterogeneity in Regression Models: A Semiparametric Approach Based on Nonlinear Sieves In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]
article0
2016The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]
article0
2016Forecasting Brazilian Inflation with High-Dimensional Models In: Brazilian Review of Econometrics.
[Full Text][Citation analysis]
article0
2002Currency Risk in Brazil under Two Different Exchange Rate Regimes In: Computing in Economics and Finance 2002.
[Citation analysis]
paper0
2002Are There Multiple Regimes in Financial Volatility? In: Computing in Economics and Finance 2002.
[Citation analysis]
paper0
2010The Link Between Statistical Learning Theory and Econometrics: Applications in Economics, Finance, and Marketing In: Econometric Reviews.
[Full Text][Citation analysis]
article0
2010The Benefits of Bagging for Forecast Models of Realized Volatility In: Econometric Reviews.
[Full Text][Citation analysis]
article9
2016A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model In: Econometric Reviews.
[Full Text][Citation analysis]
article0
2016Model Selection and Shrinkage: An Overview In: Econometric Reviews.
[Full Text][Citation analysis]
article0
2013Bagging Constrained Equity Premium Predictors In: Working Papers.
[Full Text][Citation analysis]
paper2
2008Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process In: University of St. Gallen Department of Economics working paper series 2008.
[Full Text][Citation analysis]
paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1st 2017. Contact: CitEc Team