Marcelo C. Medeiros : Citation Profile


Are you Marcelo C. Medeiros?

Pontifícia Universidade Católica do Rio de Janeiro

13

H index

20

i10 index

837

Citations

RESEARCH PRODUCTION:

47

Articles

81

Papers

RESEARCH ACTIVITY:

   17 years (2000 - 2017). See details.
   Cites by year: 49
   Journals where Marcelo C. Medeiros has often published
   Relations with other researchers
   Recent citing documents: 238.    Total self citations: 65 (7.21 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme53
   Updated: 2020-08-01    RAS profile: 2018-04-08    
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Relations with other researchers


Works with:

Carvalho, Carlos (4)

Garcia, Marcio (4)

Fernandes, Marcelo (4)

Kock, Anders (3)

Callot, Laurent (3)

Hillebrand, Eric (3)

Scharth, Marcel (2)

Medeiros, Marcelo (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 (97)

Asai, Manabu (32)

Chang, Chia-Lin (29)

Allen, David (25)

Santucci de Magistris, Paolo (21)

Degiannakis, Stavros (19)

GUPTA, RANGAN (18)

Scharth, Marcel (17)

Audrino, Francesco (15)

Caporin, Massimiliano (15)

Claveria, Oscar (14)

Cites to:

Bollerslev, Tim (71)

McAleer, Michael (60)

Teräsvirta, Timo (57)

Andersen, Torben (41)

Diebold, Francis (34)

Engle, Robert (21)

Granger, Clive (19)

Asai, Manabu (17)

van Dijk, Dick (17)

Hansen, Peter (16)

Shephard, Neil (16)

Main data


Where Marcelo C. Medeiros has published?


Journals with more than one article published# docs
Brazilian Review of Econometrics7
Econometric Reviews7
Journal of Econometrics6
International Journal of Forecasting5
Brazilian Review of Finance4
Economics Letters2
Economia2
Computational Statistics & Data Analysis2
Journal of Applied Econometrics2

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
Textos para discusso / FGV EESP - Escola de Economia de So Paulo, Fundao Getulio Vargas (Brazil)4
Discussion Papers / Instituto de Pesquisa Econmica Aplicada - IPEA4
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo4
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 (2018 and 2017)


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 ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13.

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2019Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:03-19.

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2018Transparency in Long-Term Electric Demand Forecast: A Perspective on Regional Load Forecasting. (2018). Konidena, Rao ; Eryilmaz, Derya ; Sun, Bixuan. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274396.

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2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

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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 ; Monte, Enric ; Torra, Salvador. In: AQR Working Papers. RePEc:aqr:wpaper:201701.

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2018“A regional perspective on the accuracy of machine learning forecasts of tourism demand based on data characteristics”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201802.

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

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2019An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls. (2019). Wüthrich, Kaspar ; Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1712.09089.

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2020On LASSO for Predictive Regression. (2018). Lee, Ji Hyung ; Gao, Zhan ; Shi, Zhentao ; Hyung, JI. In: Papers. RePEc:arx:papers:1810.03140.

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2020Practical and robust $t$-test based inference for synthetic control and related methods. (2019). Wüthrich, Kaspar ; Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1812.10820.

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2019Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991.

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2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2019Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1904.12346.

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2020On the Properties of the Synthetic Control Estimator with Many Periods and Many Controls. (2019). Ferman, Bruno. In: Papers. RePEc:arx:papers:1906.06665.

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2019A Vine-copula extension for the HAR model. (2019). Magris, Martin. In: Papers. RePEc:arx:papers:1907.08522.

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2019Forward-Selected Panel Data Approach for Program Evaluation. (2019). Huang, Jingyi ; Shi, Zhentao. In: Papers. RePEc:arx:papers:1908.05894.

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2019Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

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2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

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2019Forecasting Implied Volatility Smile Surface via Deep Learning and Attention Mechanism. (2019). Zhang, Zili ; Chen, Shengli. In: Papers. RePEc:arx:papers:1912.11059.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158.

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2019The Effect of Interest Rate Caps on Bankruptcy: Synthetic Control Evidence from Recent Payday Lending Bans. (2019). Dasgupta, Kabir ; Mason, Brenden J. In: Working Papers. RePEc:aut:wpaper:201904.

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2019Hedger of Last Resort: evidence from Brazilian FX interventions, local credit, and global financial cycles. (2019). Peydro, Jose-Luis ; Polo, Andrea ; Khametshin, Dmitry ; Gonzalez, Rodrigo Barbone. In: Working Papers Series. RePEc:bcb:wpaper:509.

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2018The G-20 regulatory agenda and bank risk. (2018). Nieto, Maria J ; Dwyer, Gerald P ; Cabrera, Matias. In: Working Papers. RePEc:bde:wpaper:1829.

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2018Macro-financial linkages: the role of liquidity dependence. (2018). Seleznev, Sergei ; Ponomarenko, Alexey ; Rozhkova, Anna. In: BIS Working Papers. RePEc:bis:biswps:716.

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2019Hedger of Last Resort: Evidence from Brazilian FX Interventions, Local Credit and Global Financial Cycles. (2019). Peydro, Jose-Luis ; Polo, Andrea ; Khametshin, Dmitry ; Gonzalez, Rodrigo Barbone. In: BIS Working Papers. RePEc:bis:biswps:832.

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2018Inflation Forecasting Using Machine Learning Methods. (2018). Baybuza, Ivan. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:77:y:2018:i:4:p:42-59.

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2019Exchange Rate Pass-Through in Brazil: À Markov Switching DSGE Estimation for the Inflation Targeting Period. (2019). Portugal, Marcelo Savino ; Marodin, Fabrizio Almeida. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:78:y:2019:i:1:p:36-66.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2017Oracle M-Estimation for Time Series Models. (2017). Giurcanu, Mihai C. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:479-504.

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2019Shapley regressions: a framework for statistical inference on machine learning models. (2019). Joseph, Andreas . In: Bank of England working papers. RePEc:boe:boeewp:0784.

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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.

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2018Brexit and Uncertainty in Financial Markets. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6874.

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2018Persistence in the Russian Stock Market Volatility Indices. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan ; Maria, Caporale Guglielmo . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7243.

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2020Proyección de la Inflación en Chile con Métodos de Machine Learning. (2020). Zilberman, Eduardo ; Molina, Carlos ; Leal, Felipe. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:860.

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

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118.

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

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2018Brexit and Uncertainty in Financial Markets. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1719.

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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.

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2019Forecasting of India VIX as a Measure of Sentiment. (2019). Banerjee, Arindam. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-28.

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2018Quantile Regression Model for Peak Load Demand Forecasting with Approximation by Triangular Distribution to Avoid Blackouts. (2018). Fukushige, Mototsugu ; Elamin, Niematallah. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-05-16.

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2018Business cycles, expectations and inflation in Brazil: a New-Keynesian Phillips curve analysis. (2018). Arruda, Elano Ferreira ; Castelar, Ivan. In: Revista CEPAL. RePEc:ecr:col070:43955.

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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.

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2019On the impact of outlier filtering on the electricity price forecasting accuracy. (2019). Afanasyev, Dmitriy ; Fedorova, Elena A. In: Applied Energy. RePEc:eee:appene:v:236:y:2019:i:c:p:196-210.

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2019Modelling and forecasting hourly electricity demand in West African countries. (2019). Spataru, Catalina ; Adeoye, Omotola. In: Applied Energy. RePEc:eee:appene:v:242:y:2019:i:c:p:311-333.

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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.

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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.

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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.

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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.

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2018On the persistence of the forward premium in the joint presence of nonlinearity, asymmetry, and structural changes. (2018). Cho, Dooyeon. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:310-319.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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2020Price connectedness between green bond and financial markets. (2020). Ugolini, Andrea ; Reboredo, Juan. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:25-38.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2019The impacts of overseas market shocks on the CDS-option basis. (2019). Ryu, Doojin ; Kutan, Ali M ; Park, Yuen Jung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:622-636.

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2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-Rodríguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

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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.

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

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2020Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis. (2020). Teräsvirta, Timo ; Holt, Matthew ; Terasvirta, Timo. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:198-215.

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2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

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2019Mixed interval realized variance: A robust estimator of stock price volatility. (2019). Vasnev, Andrey ; Sutton, Maxwell ; Gerlach, Richard. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:43-62.

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2019The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016. (2019). Teräsvirta, Timo ; Zhang, Shuhua ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:1-24.

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2020Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation. (2020). Veiga, Helena ; Ruiz, Esther ; Czellar, Veronika ; Mao, Xiuping. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:84-105.

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2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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2019To tell the truth or the perceived truth: Structural estimation of peer effects in China’s macroeconomic forecast. (2019). Li, Feiyue ; Geng, Hao ; Lv, Yuxia ; Hou, Linke. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:2:9.

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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.

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2018Rule-based autoregressive moving average models for forecasting load on special days: A case study for France. (2018). Arora, Siddharth ; Taylor, James W. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:259-268.

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2019Large data sets and machine learning: Applications to statistical arbitrage. (2019). Huck, Nicolas . In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:1:p:330-342.

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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.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2019A multiple regime extension to the Heston–Nandi GARCH(1,1) model. (2019). Constantinou, Nick ; Diaz-Hernandez, Adan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:162-180.

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2019Exponential smoothing of realized portfolio weights. (2019). Seifert, Miriam Isabel ; Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:222-237.

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2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

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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.

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

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2018The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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2018On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach. (2018). Balcilar, Mehmet ; Toparli, Elif Akay ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:813-827.

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2018Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach. (2018). Ji, Qiang ; Uddin, Gazi Salah ; Nehler, Henrik ; Liu, Bing-Yue. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:115-126.

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2019Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:639-649.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2020Forecasting volatility in the petroleum futures markets: A re-examination and extension. (2020). Shaiban, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Al-Freedi, Ajab. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304232.

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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.

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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.

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2018Forecasting mid-long term electric energy consumption through bagging ARIMA and exponential smoothing methods. (2018). de Oliveira, Erick Meira ; Cyrino, Fernando Luiz. In: Energy. RePEc:eee:energy:v:144:y:2018:i:c:p:776-788.

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2018Exploiting dependence: Day-ahead volatility forecasting for crude oil and natural gas exchange-traded funds. (2018). Molnár, Peter ; Lyócsa, Štefan. In: Energy. RePEc:eee:energy:v:155:y:2018:i:c:p:462-473.

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2018Modeling and forecasting hourly electricity demand by SARIMAX with interactions. (2018). Fukushige, Mototsugu ; Elamin, Niematallah. In: Energy. RePEc:eee:energy:v:165:y:2018:i:pb:p:257-268.

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2019Time of day effects of temperature and daylight on short term electricity load. (2019). Perez Garcia, Julian ; Perez-Garcia, Julian ; Moral-Carcedo, Julian. In: Energy. RePEc:eee:energy:v:174:y:2019:i:c:p:169-183.

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2020Indonesian electricity load forecasting using singular spectrum analysis, fuzzy systems and neural networks. (2020). Sulandari, Winita ; Rodrigues, Paulo Canas ; Lee, Muhammad Hisyam. In: Energy. RePEc:eee:energy:v:190:y:2020:i:c:s0360544219321036.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; 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.

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2019Forecasting implied volatility risk indexes: International evidence using Hammerstein-ARX approach. (2019). tissaoui, KAIS. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:232-249.

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2018Is market fear persistent? A long-memory analysis. (2018). Plastun, Alex ; Caporale, Guglielmo Maria ; Gil-Alana, Luis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:140-147.

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2019How much happiness can we find in the U.S. fear Index?. (2019). Aharon, David Y ; Qadan, Mahmoud. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:246-258.

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2020Volatility persistence in the Russian stock market. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231830624x.

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2020Rough volatility of Bitcoin. (2020). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231930337x.

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2018The G-20′s regulatory agenda and banks’ risk. (2018). Cabrera, Matias ; Nieto, Maria J ; Dwyer, Gerald P. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:66-78.

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2019Cross-asset relations, correlations and economic implications. (2019). McMillan, David G. In: Global Finance Journal. RePEc:eee:glofin:v:41:y:2019:i:c:p:60-78.

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

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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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.

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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.

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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.
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2016Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models.(2016) In: Journal of Business & Economic Statistics.
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2012Asymptotic Theory for Regressions with Smoothly Changing Parameters In: CREATES Research Papers.
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2013Asymptotic Theory for Regressions with Smoothly Changing Parameters.(2013) In: Journal of Time Series Econometrics.
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article
2012Estimating High-Dimensional Time Series Models In: CREATES Research Papers.
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2012Estimating High-Dimensional Time Series Models..(2012) In: Textos para discussão.
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2012Lets Do It Again: Bagging Equity Premium Predictors In: CREATES Research Papers.
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2012Let´s do it again: bagging equity premium predictors.(2012) In: Textos para discussão.
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2014Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice In: CREATES Research Papers.
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paper0
2014Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice.(2014) In: Tinbergen Institute Discussion Papers.
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2015Structure and asymptotic theory for nonlinear models with GARCH erros In: Economia.
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article1
2011Structure and Asymptotic theory for Nonlinear Models with GARCH Errors.(2011) In: Econometric Institute Research Papers.
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2015Is the convergence of the manufacturing sector unconditional? In: Economia.
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article0
2013Estimating Strategic Complementarity in a State-Dependent Pricing Model In: Working Papers Series.
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paper0
2011Estimating Strategic Complementarity in a State-Dependent Pricing Model.(2011) In: 2011 Meeting Papers.
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paper
2004Local Global Neural Networks: A New Approach for Nonlinear Time Series Modeling In: Journal of the American Statistical Association.
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article3
2003Local-global neural networks: a new approach for nonlinear time series modelling.(2003) In: Textos para discussão.
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2011FORECASTING REALIZED VOLATILITY WITH LINEAR AND NONLINEAR UNIVARIATE MODELS In: Journal of Economic Surveys.
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2010Forecasting Realized Volatility with Linear and Nonlinear Univariate Models.(2010) In: Working Papers in Economics.
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2003Diagnostic Checking in a Flexible Nonlinear Time Series Model In: Journal of Time Series Analysis.
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article11
2001Diagnostic Checking in a Flexible Nonlinear Time Series Model.(2001) In: SSE/EFI Working Paper Series in Economics and Finance.
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2014Parametric Portfolio Selection: Evaluating and Comparing to Markowitz Portfolios In: Brazilian Review of Finance.
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2014Economic gains of realized volatility in the Brazilian stock market In: Brazilian Review of Finance.
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2014Economic gains of realized volatility in the Brazilian stock market.(2014) In: Textos para discussão.
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2006Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach In: Brazilian Review of Finance.
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2006Foreign Exchange Rate Futures Trends: Foreign Exchange Risk or Systematic Forecasting Errors? In: Brazilian Review of Finance.
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2010A Note on Nonlinear Cointegration, Misspecification and Bimodality In: Working Papers in Economics.
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2014A Note on Nonlinear Cointegration, Misspecification, and Bimodality.(2014) In: Econometric Reviews.
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2010Modelling and Forecasting Noisy Realized Volatility In: Working Papers in Economics.
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2012Modelling and forecasting noisy realized volatility.(2012) In: Computational Statistics & Data Analysis.
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2009Modelling and Forecasting Noisy Realized Volatility.(2009) In: CIRJE F-Series.
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2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: Econometric Institute Research Papers.
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2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: Documentos de Trabajo del ICAE.
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2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: KIER Working Papers.
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2010Asymmetry and Long Memory in Volatility Modelling In: Working Papers in Economics.
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2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: Econometric Institute Research Papers.
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2010Asymmetry and Long Memory in Volatility Modelling.(2010) In: KIER Working Papers.
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2012Asymmetry and Long Memory in Volatility Modeling.(2012) In: Journal of Financial Econometrics.
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2011Asymmetry and Long Memory in Volatility Modelling.(2011) In: Documentos de Trabajo del ICAE.
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2009Asymmetry and Leverage in Realized Volatility In: CARF F-Series.
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paper1
2008Asymmetry and leverage in realized volatility.(2008) In: Econometric Institute Research Papers.
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2009Asymmetry and Leverage in Realized Volatility.(2009) In: CIRJE F-Series.
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2009Forecasting Realized Volatility with Linear and Nonlinear Models In: CARF F-Series.
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paper1
2009Forecasting Realized Volatility with Linear and Nonlinear Models.(2009) In: Econometric Institute Research Papers.
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paper
2009Forecasting Realized Volatility with Linear and Nonlinear Models.(2009) In: CIRJE F-Series.
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2010Forecasting Realized Volatility with Linear and Nonlinear Models.(2010) In: Textos para discussão.
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2009MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL In: Econometric Theory.
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2008Tree-structured smooth transition regression models In: Computational Statistics & Data Analysis.
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2016Forecasting macroeconomic variables in data-rich environments In: Economics Letters.
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article2
2016Instrument selection for estimation of a forward-looking Phillips Curve In: Economics Letters.
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2008A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries In: Journal of Econometrics.
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2007A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries.(2007) In: Textos para discussão.
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2008A neural network demand system with heteroskedastic errors In: Journal of Econometrics.
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article4
2008An alternative approach to estimating demand: Neural network regression with conditional volatility for high frequency air passenger arrivals In: Journal of Econometrics.
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article15
2011Moment-based estimation of smooth transition regression models with endogenous variables In: Journal of Econometrics.
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article14
2008Moment-bases estimation of smooth transition regression models with endogenous variables.(2008) In: Econometric Institute Research Papers.
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2010Moment-based estimation of smooth transition regression models with endogenous variables.(2010) In: Textos para discussão.
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2009Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables.(2009) In: CIRJE F-Series.
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2011Linear programming-based estimators in simple linear regression In: Journal of Econometrics.
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article4
2010Linear Programming-Based Estimators in Simple Linear Regression.(2010) In: Textos para discussão.
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paper
2016ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors In: Journal of Econometrics.
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article6
2005Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination In: International Journal of Forecasting.
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article76
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.
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2004Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination.(2004) In: Textos para discussão.
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2005Reply In: International Journal of Forecasting.
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2008Modeling and forecasting short-term electricity load: A comparison of methods with an application to Brazilian data In: International Journal of Forecasting.
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article44
2009Asymmetric effects and long memory in the volatility of Dow Jones stocks In: International Journal of Forecasting.
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article29
2006Asymmetric effects and long memory in the volatility of Dow Jones stocks.(2006) In: Textos para discussão.
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2017Real-time inflation forecasting with high-dimensional models: The case of Brazil In: International Journal of Forecasting.
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article9
2014Modeling and predicting the CBOE market volatility index In: Journal of Banking & Finance.
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2013Modeling and predicting the CBOE market volatility index.(2013) In: Textos para discussão.
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2007Modeling and predicting the CBOE market volatility index.(2007) In: Textos para discussão.
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2013A (semi-)parametric functional coefficient autoregressive conditional duration model In: Textos para discussão.
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paper2
2006A (semi-)parametric functional coefficient autoregressive conditional duration model.(2006) In: Textos para discussão.
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2017Arco: an artificial counterfactual approach for high-dimensional panel time-series data In: Textos para discussão.
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2016ARCO: an artificial counterfactual approach for high-dimensional panel time-series data.(2016) In: Textos para discussão.
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2017The perils of counterfactual analysis with integrated processes In: Textos para discussão.
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paper1
2016The perils of Counterfactual Analysis with Integrated Processes.(2016) In: Textos para discussão.
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2005Monetary Policy During Brazil´s Real Plan: Estimating the Central Bank´s Reaction Function In: Revista Brasileira de Economia - RBE.
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article12
2001Monetary policy during Brazil´s Real Plan: estimating the Central Bank´s reaction function.(2001) In: Textos para discussão.
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2000A Flexible Coefficient Smooth Transition Time Series Model In: SSE/EFI Working Paper Series in Economics and Finance.
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paper9
2000A Combinatorial Approach to Piecewise Linear Time Series Analysis In: SSE/EFI Working Paper Series in Economics and Finance.
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paper2
2002Building neural network models for time series: A statistical approach In: SSE/EFI Working Paper Series in Economics and Finance.
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paper20
2006Building neural network models for time series: a statistical approach.(2006) In: Journal of Forecasting.
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2002Building Neural Network Models for Time Series: A Statistical Approach.(2002) In: Textos para discussão.
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2014Price Discovery no Mercado de Câmbio Brasileiro: O Preço é Formado no Mercado à Vista ou Futuro? In: Discussion Papers.
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2016A Estabilidade da Desigualdade no Brasil entre 2006 e 2012: resultados adicionais In: Discussion Papers.
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paper1
2016O Impacto de Anúncios Econômicos no Mercado Futuro Brasileiro de Ações, Juros e Câmbio In: Discussion Papers.
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paper0
2016Desigualdades de gênero em tempo de trabalho pago e não pago no Brasil, 2013 In: Discussion Papers.
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2000Modelling exchange rates: smooth transitions, neural networks, and linear models In: Textos para discussão.
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2001Statistical methods for modelling neural networks In: Textos para discussão.
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paper0
2001What are the effects of forecasting linear time series with neural networks In: Textos para discussão.
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paper1
2002Evaluating the performance of GARCH models using White´s Reality Check In: Textos para discussão.
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paper2
2003Three-structured smooth transition regression models based on CART algorithm In: Textos para discussão.
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paper0
2003Formação de preços de commodities: padrões de vinculação dos preços internos ao externos In: Textos para discussão.
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paper2
2004Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model In: Textos para discussão.
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paper2
2005Modelling and forecasting short-term electricity load: a two step methodology In: Textos para discussão.
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paper4
2006Modeling and forecasting the volatility of Brazilian asset returns In: Textos para discussão.
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paper3
2006Realized volatility: a review In: Textos para discussão.
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paper188
2008Realized Volatility: A Review.(2008) In: Econometric Reviews.
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2007ESTIMATION AND ASYMPTOTIC THEORY FOR A NEW CLASS OF MIXTURE MODELS In: Textos para discussão.
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2007Forecasting realized volatility models:the benefits of bagging and nonlinear specifications In: Textos para discussão.
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2010Linearity Testing Against a Fuzzy Rule-based Model In: Textos para discussão.
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2010Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging In: Textos para discussão.
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2011Modeling and forecasting short‐term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging.(2011) In: Journal of Applied Econometrics.
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2010Nonlinear Cointegration, Misspecification and Bimodality In: Textos para discussão.
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2014Price Discovery in Brazilian FX Markets In: Textos para discussão.
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2015Price Discovery in Brazilian FX Markets.(2015) In: Brazilian Review of Econometrics.
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2015l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations In: Textos para discussão.
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2015Adaptative LASSO estimation for ARDL models with GARCH innovations In: Textos para discussão.
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2017Adaptive LASSO estimation for ARDL models with GARCH innovations.(2017) In: Econometric Reviews.
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2005Evaluating the Forecasting Performance of GARCH Models Using White’s Reality Check In: Brazilian Review of Econometrics.
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2007Inflation Dynamics in Brazil: The Case of a Small Open Economy In: Brazilian Review of Econometrics.
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2013Nonlinear Error Correction Models With an Application to Commodity Prices In: Brazilian Review of Econometrics.
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2015Unobserved Heterogeneity in Regression Models: A Semiparametric Approach Based on Nonlinear Sieves In: Brazilian Review of Econometrics.
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2016The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets In: Brazilian Review of Econometrics.
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2016Forecasting Brazilian Inflation with High-Dimensional Models In: Brazilian Review of Econometrics.
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2002Currency Risk in Brazil under Two Different Exchange Rate Regimes In: Computing in Economics and Finance 2002.
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2002Are There Multiple Regimes in Financial Volatility? In: Computing in Economics and Finance 2002.
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2010The Link Between Statistical Learning Theory and Econometrics: Applications in Economics, Finance, and Marketing In: Econometric Reviews.
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2010The Benefits of Bagging for Forecast Models of Realized Volatility In: Econometric Reviews.
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2016A (Semi)Parametric Functional Coefficient Logarithmic Autoregressive Conditional Duration Model In: Econometric Reviews.
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2016Model Selection and Shrinkage: An Overview In: Econometric Reviews.
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2013Bagging Constrained Equity Premium Predictors In: Working Papers.
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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.
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2017Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice In: Journal of Applied Econometrics.
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