18
H index
27
i10 index
1338
Citations
University of Illinois at Urbana-Champaign | 18 H index 27 i10 index 1338 Citations RESEARCH PRODUCTION: 59 Articles 91 Papers 2 Chapters RESEARCH ACTIVITY: 23 years (2000 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pme53 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Marcelo C. Medeiros. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2023 | . Full description at Econpapers || Download paper | |
2024 | Practical 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. Full description at Econpapers || Download paper | |
2023 | Predicting Inflation with Neural Networks. (2021). Paranhos, Livia. In: Papers. RePEc:arx:papers:2104.03757. Full description at Econpapers || Download paper | |
2023 | Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127. Full description at Econpapers || Download paper | |
2023 | Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051. Full description at Econpapers || Download paper | |
2023 | Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089. Full description at Econpapers || Download paper | |
2023 | Distributional Counterfactual Analysis in High-Dimensional Setup. (2022). Masini, Ricardo . In: Papers. RePEc:arx:papers:2202.11671. Full description at Econpapers || Download paper | |
2023 | What does machine learning say about the drivers of inflation?. (2022). Kohlscheen, Emanuel. In: Papers. RePEc:arx:papers:2208.14653. Full description at Econpapers || Download paper | |
2023 | Local Projection Inference in High Dimensions. (2022). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218. Full description at Econpapers || Download paper | |
2023 | Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610. Full description at Econpapers || Download paper | |
2024 | On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052. Full description at Econpapers || Download paper | |
2023 | Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362. Full description at Econpapers || Download paper | |
2023 | Sparse High-Dimensional Vector Autoregressive Bootstrap. (2023). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2302.01233. Full description at Econpapers || Download paper | |
2023 | Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434. Full description at Econpapers || Download paper | |
2023 | Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers || Download paper | |
2023 | Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282. Full description at Econpapers || Download paper | |
2023 | Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192. Full description at Econpapers || Download paper | |
2023 | Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991. Full description at Econpapers || Download paper | |
2023 | Expected Shortfall LASSO. (2023). Barendse, Sander. In: Papers. RePEc:arx:papers:2307.01033. Full description at Econpapers || Download paper | |
2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper | |
2023 | Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993. Full description at Econpapers || Download paper | |
2023 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers || Download paper | |
2023 | Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511. Full description at Econpapers || Download paper | |
2023 | From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks. (2023). Frenette, Mikael ; Coulombe, Philippe Goulet ; Klieber, Karin. In: Papers. RePEc:arx:papers:2311.16333. Full description at Econpapers || Download paper | |
2023 | A Method of Moments Approach to Asymptotically Unbiased Synthetic Controls. (2023). Fry, Joseph. In: Papers. RePEc:arx:papers:2312.01209. Full description at Econpapers || Download paper | |
2024 | Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Colombian inflation forecast using Long Short-Term Memory approach. (2023). Cristiano-Botia, Deicy J ; Cardenas-Cardenas, Julian Alonso ; Martinez-Cortes, Nicolas. In: Borradores de Economia. RePEc:bdr:borrec:1241. Full description at Econpapers || Download paper | |
2023 | A pulse check on recent developments in time series econometrics. (2023). Chan, Felix ; Oxley, Les. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:3-6. Full description at Econpapers || Download paper | |
2023 | Synthetic Control Method: A tool for comparative case studies in economic history. (2023). Spruk, Rok ; Garoupa, Nuno ; Emery, Thomas ; Gilchrist, David. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:409-445. Full description at Econpapers || Download paper | |
2023 | Exploring Okuns law asymmetry: An endogenous threshold logistic smooth transition regression approach. (2023). McAdam, Peter ; Tzavalis, Elias ; Christopoulos, Dimitris. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:123-158. Full description at Econpapers || Download paper | |
2023 | Regional Economic Impacts of the Øresund Cross-Border Fixed Link: Cui Bono?. (2023). Funke, Michael ; Tasane, Helery ; Mannasoo, Kadri. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10557. Full description at Econpapers || Download paper | |
2023 | Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202306. Full description at Econpapers || Download paper | |
2023 | Density forecasts of inflation: a quantile regression forest approach. (2023). Paredes, Joan ; Moutachaker, Ines ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20232830. Full description at Econpapers || Download paper | |
2023 | Determinants of Renewable Energy Production in Egypt New Approach: Machine Learning Algorithms. (2023). Abdallah, Mohammed Galal ; Aly, Hamdy Ahmad ; Mohamed, Mohamed Ahmed ; Arafat, Nabil Medhat ; Abdelraouf, Ibrahim Abdalla ; Elgohari, Mohamed Ibrahim. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-06-71. Full description at Econpapers || Download paper | |
2023 | Short- and long-term forecasting for building energy consumption considering IPMVP recommendations, WEO and COP27 scenarios. (2023). Rodrigues, Rafael Nilson ; Cordeiro, Pedro Cesar ; Orsi, Gustavo Cardoso ; Luiz, Vinicius Viana ; Avila, Sergio Luciano ; Dos, Deilson Martins ; Santos, Greicili Dos. In: Applied Energy. RePEc:eee:appene:v:339:y:2023:i:c:s0306261923003446. Full description at Econpapers || Download paper | |
2023 | Nowcasting Chinese GDP in a data-rich environment: Lessons from machine learning algorithms. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000160. Full description at Econpapers || Download paper | |
2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper | |
2023 | Structural inference in sparse high-dimensional vector autoregressions. (2023). Trenkler, C ; Paparoditis, E ; Krampe, J. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:276-300. Full description at Econpapers || Download paper | |
2023 | Forward-selected panel data approach for program evaluation. (2023). Huang, Jingyi ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:512-535. Full description at Econpapers || Download paper | |
2023 | Synthetic Learner: Model-free inference on treatments over time. (2023). Bradic, Jelena ; Viviano, Davide. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:691-713. Full description at Econpapers || Download paper | |
2023 | Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64. Full description at Econpapers || Download paper | |
2023 | Penalized time-varying model averaging. (2023). Hong, Yongmiao ; Zhang, Xinyu ; Wang, Shouyang ; Sun, Yuying. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1355-1377. Full description at Econpapers || Download paper | |
2023 | Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46. Full description at Econpapers || Download paper | |
2023 | Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074. Full description at Econpapers || Download paper | |
2023 | Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; He, Lidan ; Bai, LU ; Zhu, Haibin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:251-271. Full description at Econpapers || Download paper | |
2023 | Forecasting global stock market volatilities in an uncertain world. (2023). Zhang, Ting ; Wang, Gang-Jin ; Zeng, Zhi-Jian ; Xie, Chi ; Li, Zhao-Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004136. Full description at Econpapers || Download paper | |
2023 | Risk appetite and option prices: Evidence from the Chinese SSE50 options market. (2023). Sui, Cong ; Wang, Shouyang ; Liu, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000571. Full description at Econpapers || Download paper | |
2023 | Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model. (2023). Li, Lihong ; Zhang, LI. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002247. Full description at Econpapers || Download paper | |
2023 | A three-factor stochastic model for forecasting production of energy materials. (2023). Orlando, Giuseppe ; Bufalo, Michele. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005347. Full description at Econpapers || Download paper | |
2023 | Forecast Targeting and Financial Stability: Evidence from the European Central Bank and Bank of England. (2023). Murgia, Lucia Milena ; Curi, Claudia. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006626. Full description at Econpapers || Download paper | |
2023 | Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures. (2023). Reh, Laura ; Hartkopf, Jan Patrick. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005019. Full description at Econpapers || Download paper | |
2023 | Climate risks and realized volatility of major commodity currency exchange rates. (2023). GUPTA, RANGAN ; Pierdzioch, Christian ; Cepni, Oguzhan ; Bonato, Matteo. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000519. Full description at Econpapers || Download paper | |
2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper | |
2023 | Nowcasting food inflation with a massive amount of online prices. (2023). Szafranek, Karol ; Stelmasiak, Damian ; Macias, Pawe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:809-826. Full description at Econpapers || Download paper | |
2023 | Targeting predictors in random forest regression. (2023). Nielsen, Mikkel Slot ; Muhlbach, Nicolaj Sondergaard ; Christensen, Bent Jesper ; Borup, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:841-868. Full description at Econpapers || Download paper | |
2023 | Real-time inflation forecasting using non-linear dimension reduction techniques. (2023). Huber, Florian ; Klieber, Karin ; Hauzenberger, Niko. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:901-921. Full description at Econpapers || Download paper | |
2023 | Mixed-frequency machine learning: Nowcasting and backcasting weekly initial claims with daily internet search volume data. (2023). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1122-1144. Full description at Econpapers || Download paper | |
2023 | Forecasting CPI inflation components with Hierarchical Recurrent Neural Networks. (2023). Benchimol, Jonathan ; Koenigstein, Noam ; Hammer, Allon ; Cohen, Eliya ; Caspi, Itamar ; Barkan, Oren. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1145-1162. Full description at Econpapers || Download paper | |
2023 | Penalized estimation of panel vector autoregressive models: A panel LASSO approach. (2023). Camehl, Annika. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1185-1204. Full description at Econpapers || Download paper | |
2023 | Model combinations through revised base rates. (2023). Panagiotelis, Anastasios ; Spiliotis, Evangelos ; Petropoulos, Fotios. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1477-1492. Full description at Econpapers || Download paper | |
2023 | Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing. (2023). Ye, Jing ; Liu, Huiling ; Xue, Minggao ; Lei, Heng. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006134. Full description at Econpapers || Download paper | |
2023 | Dynamic spillover between traditional energy markets and emerging green markets: Implications for sustainable development. (2023). Ren, Xiaohang ; Duan, Xiaoping ; Taghizadeh-Hesary, Farhad ; Xiao, YA. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001915. Full description at Econpapers || Download paper | |
2023 | Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models. (2023). Gaglianone, Wagner ; Araujo, Gustavo Silva. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:2:s2666143823000042. Full description at Econpapers || Download paper | |
2023 | Firm-level business uncertainty and the predictability of the aggregate U.S. stock market volatility during the COVID-19 pandemic. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza ; van Eyden, Renee. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:295-302. Full description at Econpapers || Download paper | |
2023 | Trading strategies and the frequency of time-series. (2023). Isaenko, Sergey. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:267-283. Full description at Econpapers || Download paper | |
2023 | Cloning mutual fund returns. (2023). Niemann, Sebastian ; Schuhmacher, Frank ; Auer, Benjamin R. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:31-37. Full description at Econpapers || Download paper | |
2023 | Stock market volatility prediction: Evidence from a new bagging model. (2023). Huang, Dengshi ; Xu, Weiju ; Bu, Jinfeng ; Luo, Qin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:445-456. Full description at Econpapers || Download paper | |
2023 | Oil futures volatility prediction: Bagging or combination?. (2023). Zhang, Jixiang ; Ma, Feng ; Lyu, Zhichong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:457-467. Full description at Econpapers || Download paper | |
2023 | Machine learning sentiment analysis, COVID-19 news and stock market reactions. (2023). Pelizzon, Loriana ; Nofer, Michael ; Hinz, Oliver ; Costola, Michele. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000077. Full description at Econpapers || Download paper | |
2023 | Optimization of Short-Term Forecast of Electric Power Demand in the city of Yaoundé-Cameroon by a hybrid model based on the combination of neural networks and econometric methods from a designed energ. (2023). Claude, Aloyem Kaze ; Hermann, Djeudjo Temene ; Franck, Talla Konchou ; Dieudonne, Nzoko Tayo ; Rene, Tchinda. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:187:y:2023:i:c:s0040162522007338. Full description at Econpapers || Download paper | |
2023 | Comparing the Simple to Complex Automatic Methods with the Ensemble Approach in Forecasting Electrical Time Series Data. (2023). Yudhanto, Yudho ; Sulandari, Winita ; Rodrigues, Paulo Canas ; Hapsari, Riskhia ; Setiawan, Crisma Devika ; Subanti, Sri. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:22:p:7495-:d:1276497. Full description at Econpapers || Download paper | |
2023 | Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review. (2023). Spyromitros, Eleftherios ; Panagiotidis, Minas ; Oikonomou, Georgios ; Dokas, Ioannis. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:3:p:1491-:d:1055891. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Predicting Raw Milk Price Based on Depth Time Series Features for Consumer Behavior Analysis. (2023). Li, Cuixia ; Zuo, Anmin. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:8:p:6647-:d:1123429. Full description at Econpapers || Download paper | |
2023 | Forecasting Renewable Energy Generation with Machine Learning and Deep Learning: Current Advances and Future Prospects. (2023). Semie, Addisu Gezahegn ; Chaka, Mesfin Diro ; Benti, Natei Ermias. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7087-:d:1130894. Full description at Econpapers || Download paper | |
2023 | Augmented Difference-in-Differences. (2023). van den Bulte, Christophe ; Li, Kathleen T. In: Marketing Science. RePEc:inm:ormksc:v:42:y:2023:i:4:p:746-767. Full description at Econpapers || Download paper | |
2023 | A Quasi Synthetic Control Method for Nonlinear Models. (2023). Wu, Zixuan ; Lin, Ming ; Fang, Ying ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202305. Full description at Econpapers || Download paper | |
2023 | Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors. (2023). Gooijer, Jan G. ; de Gooijer, Jan G. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10289-9. Full description at Econpapers || Download paper | |
2023 | Comparing Out-of-Sample Performance of Machine Learning Methods to Forecast U.S. GDP Growth. (2023). Qureshi, Shafiullah ; Chu, BA. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10312-z. Full description at Econpapers || Download paper | |
2023 | Does Automatic Wage Indexation Destroy Jobs? A Machine Learning Approach. (2023). Bijnens, Gert ; Konings, Jozef ; Karimov, Shyngys. In: De Economist. RePEc:kap:decono:v:171:y:2023:i:1:d:10.1007_s10645-023-09418-y. Full description at Econpapers || Download paper | |
2023 | The Effect of the Great Recession on Italian Life Expectancy. (2023). Carboni, Gianni ; Benassi, Federico ; Salinari, Giambattista. In: Population Research and Policy Review. RePEc:kap:poprpr:v:42:y:2023:i:1:d:10.1007_s11113-023-09755-5. Full description at Econpapers || Download paper | |
2023 | Improving out-of-sample Forecasts of Stock Price Indexes with Forecast Reconciliation and Clustering. (2023). Mattera, Raffaele ; Hyndman, Rob J ; Athanasopoulos, George. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-17. Full description at Econpapers || Download paper | |
2023 | Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:202308. Full description at Econpapers || Download paper | |
2023 | Stock Market Volatility and Multi-Scale Positive and Negative Bubbles. (2023). Pierdzioch, Christian ; Nielsen, Joshua ; Nel, Jacobus ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202310. Full description at Econpapers || Download paper | |
2023 | Financial Stress and Realized Volatility: The Case of Agricultural Commodities. (2023). Pierdzioch, Christian ; Gupta, Rangan ; Cepni, Oguzhan ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202320. Full description at Econpapers || Download paper | |
2023 | ARIMA and LSTM: A Comparative Analysis of Financial Time Series Forecasting. (2023). Lima, Gilberto ; Matos, Joao Vitor ; Alexandre, Michel. In: Working Papers, Department of Economics. RePEc:spa:wpaper:2023wpecon13. Full description at Econpapers || Download paper | |
2023 | Forecasting the term structure of commodities future prices using machine learning. (2023). Saporito, Yuri F ; Figueiredo, Mario. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-022-00069-3. Full description at Econpapers || Download paper | |
2023 | Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1. Full description at Econpapers || Download paper | |
2023 | Phillips curve and the exchange rate pass-through: a time–frequency approach. (2023). Ferreira, Roberto Tatiwa ; Alves, Weider Loureto. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:5:d:10.1007_s00181-022-02317-2. Full description at Econpapers || Download paper | |
2023 | Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility. (2023). Cho, Dooyeon ; Rho, Seunghwa ; Baillie, Richard T. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02357-8. Full description at Econpapers || Download paper | |
2023 | Big data forecasting of South African inflation. (2023). Steenkamp, Daan ; Rankin, Neil ; Kotze, Kevin ; Burger, Rulof ; Botha, Byron. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02329-y. Full description at Econpapers || Download paper | |
2023 | The impact of pandemic on dynamic volatility spillover network of international stock markets. (2023). Shao, Liuguo ; Lan, Tingting ; Yuan, Caijun ; Zhang, Hua. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:5:d:10.1007_s00181-023-02422-w. Full description at Econpapers || Download paper | |
2023 | Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach. (2023). GUPTA, RANGAN ; Pierdzioch, Christian. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00435-5. Full description at Econpapers || Download paper | |
2023 | The effect of intraday periodicity on realized volatility measures. (2023). Kellermann, Janosch ; Golosnoy, Vasyl ; Dette, Holger. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:3:d:10.1007_s00184-022-00875-0. Full description at Econpapers || Download paper | |
2023 | ESG performance, herding behavior and stock market returns: evidence from Europe. (2023). Floros, Christos ; Gavrilakis, Nektarios. In: Operational Research. RePEc:spr:operea:v:23:y:2023:i:1:d:10.1007_s12351-023-00745-1. Full description at Econpapers || Download paper | |
2023 | Predicting inflation component drivers in Nigeria: a stacked ensemble approach. (2023). Anthony, Abel ; Joshua, Jeremiah D ; Taiwo, Oyedamola F ; Akanni, Elijah O ; Akande, Emmanuel O. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00384-2. Full description at Econpapers || Download paper | |
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2007 | Modeling and predicting the CBOE market volatility index.(2007) In: Textos para discussão. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 115 | paper | |
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2017 | Adaptive LASSO estimation for ARDL models with GARCH innovations.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2005 | Evaluating the Forecasting Performance of GARCH Models Using White’s Reality Check In: Brazilian Review of Econometrics. [Full Text][Citation analysis] | article | 1 |
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