Marcelo C. Medeiros : Citation Profile


Are you Marcelo C. Medeiros?

Pontifícia Universidade Católica do Rio de Janeiro

13

H index

16

i10 index

699

Citations

RESEARCH PRODUCTION:

47

Articles

81

Papers

RESEARCH ACTIVITY:

   17 years (2000 - 2017). See details.
   Cites by year: 41
   Journals where Marcelo C. Medeiros has often published
   Relations with other researchers
   Recent citing documents: 120.    Total self citations: 65 (8.51 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme53
   Updated: 2018-12-08    RAS profile: 2018-04-08    
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Relations with other researchers


Works with:

Carvalho, Carlos (4)

Garcia, Marcio (4)

Fernandes, Marcelo (4)

Callot, Laurent (3)

Hillebrand, Eric (3)

Kock, Anders (3)

Medeiros, Marcelo (2)

Scharth, Marcel (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 (95)

Asai, Manabu (31)

Chang, Chia-Lin (29)

Allen, David (24)

Santucci de Magistris, Paolo (20)

Scharth, Marcel (17)

Caporin, Massimiliano (15)

Claveria, Oscar (14)

Grassi, Stefano (13)

Audrino, Francesco (13)

Corsi, Fulvio (12)

Cites to:

Bollerslev, Tim (71)

Teräsvirta, Timo (56)

McAleer, Michael (44)

Andersen, Torben (41)

Diebold, Francis (34)

Engle, Robert (21)

Granger, Clive (19)

Asai, Manabu (17)

Hansen, Peter (16)

Gali, Jordi (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
Computational Statistics & Data Analysis2
Economia2
Journal of Applied Econometrics2
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
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo4
Discussion Papers / Instituto de Pesquisa Econmica Aplicada - IPEA4
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
Documentos de Trabajo del ICAE / Universidad Complutense de Madrid, Facultad de Ciencias Econmicas y Empresariales, Instituto Complutense de Anlisis Econmico2
KIER Working Papers / Kyoto University, Institute of Economic Research2
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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2018Transparency in Long-Term Electric Demand Forecast: A Perspective on Regional Load Forecasting. (2018). Sun, Bixuan ; Konidena, Rao ; Eryilmaz, Derya . In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274396.

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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 ; Torra, Salvador ; Monte, Enric. 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). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe. In: Papers. RePEc:arx:papers:1708.02073.

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2018An Exact and Robust Conformal Inference Method for Counterfactual and Synthetic Controls. (2018). Wüthrich, Kaspar ; Chernozhukov, Victor ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1712.09089.

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

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2018The G-20 regulatory agenda and bank risk. (2018). Cabrera, Matias ; Nieto, Maria J ; Dwyer, Gerald P. 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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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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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 ; Tripathy, Trilochan ; Maria, Caporale Guglielmo . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7243.

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

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

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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.

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2018Forecasting realized variance measures using time-varying coefficient models. (2018). Bekierman, Jeremias ; Manner, Hans. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:276-287.

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2018Macroeconomic forecasting using penalized regression methods. (2018). Smeekes, Stephan ; Wijler, Etienne. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:408-430.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Chini, Emilio Zanetti. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:711-732.

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2018Improving time series forecasting: An approach combining bootstrap aggregation, clusters and exponential smoothing. (2018). Dantas, Tiago Mendes ; Cyrino, Fernando Luiz. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:748-761.

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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.

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2018Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39.

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2018Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange. (2018). Takaishi, Tetsuya. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:500:y:2018:i:c:p:139-154.

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2018Does US Economic Policy Uncertainty matter for European stock markets volatility?. (2018). Mei, Dexiang ; Hou, Wenjing ; Zhang, Yaojie ; Zeng, Qing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:215-221.

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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.

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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.

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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.

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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.

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2018Predicting daily oil prices: Linear and non-linear models. (2018). Dbouk, Wassim ; Jamali, Ibrahim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:149-165.

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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.

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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.

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2018Asymmetric Risk Impacts of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:107294.

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2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, T-L., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111552.

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

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

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

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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.

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:23-:d:143630.

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2018Value of Residential Investment in Photovoltaics and Batteries in Networks: A Techno-Economic Analysis. (2018). Shaw-Williams, Damian ; Walker, Geoffrey ; Susilawati, Connie . In: Energies. RePEc:gam:jeners:v:11:y:2018:i:4:p:1022-:d:142728.

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2018Robust Building Energy Load Forecasting Using Physically-Based Kernel Models. (2018). Prakash, Anand Krishnan ; Noh, Hae Young ; Rajagopal, Ram ; Xu, Susu. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:4:p:862-:d:140034.

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2018Brexit and Uncertainty in Financial Markets. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:1:p:21-:d:131390.

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2017Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models. (2017). McAleer, Michael ; Asai, Manabu ; Peiris, Shelton. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:23-:d:122610.

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2018Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis. (2018). Maheu, John ; Jensen, Mark. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:52-:d:167993.

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2018Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:58-:d:172906.

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2018RMB Exchange Rates and Volatility Spillover across Financial Markets in China and Japan. (2018). Qin, Fengming ; Zhang, Zhaoyong. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:120-:d:175263.

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2018Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market. (2018). Zhang, Junru ; Djajadikerta, Hadrian Geri. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3361-:d:170985.

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2018GMDH-Based Semi-Supervised Feature Selection for Electricity Load Classification Forecasting. (2018). Yang, Lintao ; Liu, Haitao. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:1:p:217-:d:127251.

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2018Generalized Correlation Measures of Causality and Forecasts of the VIX Using Non-Linear Models. (2018). Allen, David E ; Hooper, Vince . In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:8:p:2695-:d:161253.

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2017Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics. (2017). GUEGAN, Dominique ; Veiga, Alvaro ; Epprecht, Camila . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00917797.

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2017An exact and robust conformal inference method for counterfactual and synthetic controls. (2017). Chernozhukov, Victor ; Wuthrich, Kaspar. In: CeMMAP working papers. RePEc:ifs:cemmap:62/17.

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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 ; Torra, Salvador ; Monte, Enric. In: IREA Working Papers. RePEc:ira: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: IREA Working Papers. RePEc:ira:wpaper:201805.

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2018“Scaling Down Downside Risk with Inter-Quantile Semivariances”. (2018). Uribe, Jorge M. In: IREA Working Papers. RePEc:ira:wpaper:201826.

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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.

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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.

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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.

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

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0156.

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

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2017Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2017). Maheu, John ; Yang, Qiao ; Jin, Xin. In: MPRA Paper. RePEc:pra:mprapa:81920.

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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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: Working Papers. RePEc:pre:wpaper:201739.

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2017Forecasting Stock Market Realized Variance with Echo State Neural Networks. (2017). Fiura, Milan. In: European Financial and Accounting Journal. RePEc:prg:jnlefa:v:2017:y:2017:i:3:id:193:p:145-156.

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2018Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices. (2018). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Working Paper series. RePEc:rim:rimwps:18-02.

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2018Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector. (2018). Hecq, Alain ; Cubadda, Gianluca ; Riccardo, Antonio. In: CEIS Research Paper. RePEc:rtv:ceisrp:445.

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2017Functional Autoregressive Models: An Application to Brazilian Hourly Electricity Load. (2017). Vaz, Lucelia Viviane ; da Silveira, Getulio Borges. In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:37:y:2017:i:2:a:62293.

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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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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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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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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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2011Estimating Strategic Complementarity in a State-Dependent Pricing Model.(2011) In: 2011 Meeting Papers.
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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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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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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: Econometric Institute Research Papers.
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2011Modelling and Forecasting Noisy Realized Volatility.(2011) In: KIER Working Papers.
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2009Modelling and Forecasting Noisy Realized Volatility.(2009) In: CIRJE F-Series.
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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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2011Asymmetry and Long Memory in Volatility Modelling.(2011) In: Documentos de Trabajo del ICAE.
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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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2009Asymmetry and Leverage in Realized Volatility In: CARF F-Series.
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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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2009Forecasting Realized Volatility with Linear and Nonlinear Models.(2009) In: Econometric Institute Research Papers.
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2010Forecasting Realized Volatility with Linear and Nonlinear Models.(2010) In: Textos para discussão.
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2009Forecasting Realized Volatility with Linear and Nonlinear Models.(2009) In: CIRJE F-Series.
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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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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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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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2011Moment-based estimation of smooth transition regression models with endogenous variables In: Journal of Econometrics.
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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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2010Linear Programming-Based Estimators in Simple Linear Regression.(2010) In: Textos para discussão.
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2016ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors In: Journal of Econometrics.
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article4
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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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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2009Asymmetric effects and long memory in the volatility of Dow Jones stocks In: International Journal of Forecasting.
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article28
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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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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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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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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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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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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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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2016O Impacto de Anúncios Econômicos no Mercado Futuro Brasileiro de Ações, Juros e Câmbio In: Discussion Papers.
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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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2001What are the effects of forecasting linear time series with neural networks In: Textos para discussão.
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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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2003Formação de preços de commodities: padrões de vinculação dos preços internos ao externos In: Textos para discussão.
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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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2006Modeling and forecasting the volatility of Brazilian asset returns In: Textos para discussão.
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2006Realized volatility: a review In: Textos para discussão.
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paper155
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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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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